Integrating market, credit and operational risk: acomplete guide for bankers and risk professionals
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
London
Risk books
2006
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XXVIII, 275 S. graph. Darst. |
| ISBN: | 1904339964 9781904339960 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804137125506973696 |
|---|---|
| adam_text | Contents
Acknowledgements
ix
Authors Note
xi
About the Authors
xiii
Forewords
xvii
Introduction
xxi
1
Market Risk
1
Introduction
Identifying Market Risk Factors
Market Risk Models
Specific Market Risk
Backtesting and Stress-Testing Market Risk Exposures
Summary
2
Credit Risk
67
Introduction
Credit Risk Assessment Models
Credit Risk Parameters: Definitions and Estimations
Credit Rating Systems and Validation
Summary
3
Operational Risk
115
Introduction
Operational Risk Capital Requirements
Operational Risk Identification and Loss Profiling
Operational Value-at-Risk
Summary
4
Extreme Value Theory in Risk Management
151
Introduction
Extreme Value Theory
Clustering Analysis in EVT
Summan·
INTEGRATING MARKET,
CREDITÂND
OPERATIONAL RISK
Characteristics, Strengths and Weaknesses
of the Basel II Framework
171
Introduction
The Framework for Market Risk
The Framework for Credit Risk
The Framework for Operational Risk
Summary
Integrated Risk Management Framework
193
Introduction
Integrating Market, Credit and Operational Risk
Integrating Market, Credit and Operational Losses
Economic and Regulatory Capital Integration
Aspects of Integrated
VAR
Summary
Conclusions
235
Appendix
245
Capital Asset Pricing Theory
Complex Financial Instruments
Bootstrapping
Glossary of Abbreviations
269
Index
271
Integrating Market, Credit and Operational Risk provides an overview of the exact method¬
ological steps needed to evaluate and manage these three major sources of risk. Focusing on
the construction of a common, reliable and historically based framework for measuring on¬
going risks and conducting stress tests for the entire banking structure, the book assists the
reader to develop an integrated view for the quantification of economic and regulatory capital
for each source of risk under consideration.
Detailed analysis allows the reader to:
•
Identify and measure the risks on an integrated basis
•
Align the integrated risks to business objectives
φ
Manage integrated risks in order to optimise the overall value of integrated and individual
risks as well as their capital requirements
•
Allocate the resources needed for integrated risk management
•
Deal with the implementation of Basel II for integrated risk assessment
This book presents a unique way to evaluate integrated risks within complex operational
processes and is an ideal working manual, handbook or reference for anyone working on or
studying these sources of risk.
|
| adam_txt |
Contents
Acknowledgements
ix
Authors' Note
xi
About the Authors
xiii
Forewords
xvii
Introduction
xxi
1
Market Risk
1
Introduction
Identifying Market Risk Factors
Market Risk Models
Specific Market Risk
Backtesting and Stress-Testing Market Risk Exposures
Summary
2
Credit Risk
67
Introduction
Credit Risk Assessment Models
Credit Risk Parameters: Definitions and Estimations
Credit Rating Systems and Validation
Summary
3
Operational Risk
115
Introduction
Operational Risk Capital Requirements
Operational Risk Identification and Loss Profiling
Operational Value-at-Risk
Summary
4
Extreme Value Theory in Risk Management
151
Introduction
Extreme Value Theory
Clustering Analysis in EVT
Summan·
INTEGRATING MARKET,
CREDITÂND
OPERATIONAL RISK
Characteristics, Strengths and Weaknesses
of the Basel II Framework
171
Introduction
The Framework for Market Risk
The Framework for Credit Risk
The Framework for Operational Risk
Summary
Integrated Risk Management Framework
193
Introduction
Integrating Market, Credit and Operational Risk
Integrating Market, Credit and Operational Losses
Economic and Regulatory Capital Integration
Aspects of Integrated
VAR
Summary
Conclusions
235
Appendix
245
Capital Asset Pricing Theory
Complex Financial Instruments
Bootstrapping
Glossary of Abbreviations
269
Index
271
Integrating Market, Credit and Operational Risk provides an overview of the exact method¬
ological steps needed to evaluate and manage these three major sources of risk. Focusing on
the construction of a common, reliable and historically based framework for measuring on¬
going risks and conducting stress tests for the entire banking structure, the book assists the
reader to develop an integrated view for the quantification of economic and regulatory capital
for each source of risk under consideration.
Detailed analysis allows the reader to:
•
Identify and measure the risks on an integrated basis
•
Align the integrated risks to business objectives
φ
Manage integrated risks in order to optimise the overall value of integrated and individual
risks as well as their capital requirements
•
Allocate the resources needed for integrated risk management
•
Deal with the implementation of Basel II for integrated risk assessment
This book presents a unique way to evaluate integrated risks within complex operational
processes and is an ideal working manual, handbook or reference for anyone working on or
studying these sources of risk. |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
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| dewey-ones | 658 - General management |
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
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| id | DE-604.BV022867874 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:45:57Z |
| indexdate | 2024-07-09T21:07:19Z |
| institution | BVB |
| isbn | 1904339964 9781904339960 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016073030 |
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| owner_facet | DE-355 DE-BY-UBR |
| physical | XXVIII, 275 S. graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Risk books |
| record_format | marc |
| spelling | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals by Lampros Kalyvas ... London Risk books 2006 XXVIII, 275 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Bank Banks and banking Credit Risk Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Operationelles Risiko (DE-588)7518581-7 gnd rswk-swf Marktrisiko (DE-588)4506224-9 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Bank (DE-588)4004436-1 s Marktrisiko (DE-588)4506224-9 s Kreditrisiko (DE-588)4114309-7 s Operationelles Risiko (DE-588)7518581-7 s Risikomanagement (DE-588)4121590-4 s DE-604 Kalyvas, Lampros Sonstige oth Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016073030&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016073030&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals Bank Banks and banking Credit Risk Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd Operationelles Risiko (DE-588)7518581-7 gnd Marktrisiko (DE-588)4506224-9 gnd Bank (DE-588)4004436-1 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4121590-4 (DE-588)7518581-7 (DE-588)4506224-9 (DE-588)4004436-1 |
| title | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals |
| title_auth | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals |
| title_exact_search | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals |
| title_exact_search_txtP | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals |
| title_full | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals by Lampros Kalyvas ... |
| title_fullStr | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals by Lampros Kalyvas ... |
| title_full_unstemmed | Integrating market, credit and operational risk acomplete guide for bankers and risk professionals by Lampros Kalyvas ... |
| title_short | Integrating market, credit and operational risk |
| title_sort | integrating market credit and operational risk acomplete guide for bankers and risk professionals |
| title_sub | acomplete guide for bankers and risk professionals |
| topic | Bank Banks and banking Credit Risk Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd Operationelles Risiko (DE-588)7518581-7 gnd Marktrisiko (DE-588)4506224-9 gnd Bank (DE-588)4004436-1 gnd |
| topic_facet | Bank Banks and banking Credit Risk Kreditrisiko Risikomanagement Operationelles Risiko Marktrisiko |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016073030&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016073030&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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