The seminal guide to risk management, streamlined and updated
Risk Management in Banking is a comprehensive reference for the risk management industry, covering all aspects of the field. Now in its fourth edition, this useful guide has been updated with the latest information on ALM, Basel 3, derivatives, liquidity analysis, market risk, structured products, credit risk, securitizations, and more. The new companion website features slides, worked examples, a solutions manual, and the new streamlined, modular approach allows readers to easily find the information they need. Coverage includes asset liability management, risk-based capital, value at risk, loan portfolio management, capital allocation, and other vital topics, concluding with an examination of the financial crisis through the utilisation of new views such as behavioural finance and nonlinearity of risk.
Considered a seminal industry reference since the first edition's release, Risk Management in Banking has been streamlined for easy navigation and updated to reflect the changes in the field, while remaining comprehensive and detailed in approach and coverage. Students and professionals alike will appreciate the extended scope and expert guidance as they: * Find all "need-to-know" risk management topics in a single text * Discover the latest research and the new practices * Understand all aspects of risk management and banking management * See the recent crises and the lessons learned from a new perspective
Risk management is becoming increasingly vital to the banking industry even as it grows more complex. New developments and advancing technology continue to push the field forward, and professionals need to stay up-to-date with in-depth information on the latest practices. Risk Management in Banking provides a comprehensive reference to the most current state of the industry, with complete information and expert guidance.
Foreword vii
Preface ix
About the Author xi
1 Risks and Risk Management 1
2 Banking Regulations Overview 13
3 Balance Sheet Management and Regulations 21
4 Liquidity Management and Liquidity Gaps 31
5 Interest Rate Gaps 43
6 Hedging and Gap Management 57
7 Economic Value of the Banking Book 67
8 Convexity Risk in Banking 81
9 Convexity Risk: The Case of Mortgages 91
10 Funds Transfer Pricing Systems 109
11 Returns, Random Shocks and Value-at-Risk 123
12 Portfolio Risk and Factor Models 135
13 Delta-normal VaR and Historical VaR 149
14 Extensions of Traditional VaR 159
15 Volatility 169
16 Simulation of Interest Rates 179
17 Market Risk Regulations 189
18 Credit Risk 199
19 Credit Risk Data 211
20 Scoring Models and Credit Ratings 221
21 Default Models 237
22 Counterparty Credit Risk 253
23 Credit Event Dependencies 263
24 Credit Portfolio Risk: Analytics 271
25 Credit Portfolio Risk: Simulations 283
26 Credit Risk Regulations 293
27 Capital Allocation and Risk Contributions 303
28 Risk-adjusted Performance Measures 315
29 Credit Derivatives 323
30 Securitizations 331
References 345
Index 351
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