Risk Management in Banking (eBook, PDF) - Bessis, Joël
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Never before has risk management been so important. Now in its third edition, this seminal work by Joël Bessishas been comprehensively revised and updated to take into accountthe changing face of risk management. Fully restructured, featuring new material and discussions onnew financial products, derivatives, Basel II, credit models basedon time intensity models, implementing risk systems and intensitymodels of default, it also includes a section on Subprime thatdiscusses the crisis mechanisms and makes numerous referencesthroughout to the recent stressed financial conditions. The…mehr

Produktbeschreibung
Never before has risk management been so important. Now in its third edition, this seminal work by Joël Bessishas been comprehensively revised and updated to take into accountthe changing face of risk management. Fully restructured, featuring new material and discussions onnew financial products, derivatives, Basel II, credit models basedon time intensity models, implementing risk systems and intensitymodels of default, it also includes a section on Subprime thatdiscusses the crisis mechanisms and makes numerous referencesthroughout to the recent stressed financial conditions. The bookpostulates that risk management practices and techniques remain ofmajor importance, if implemented in a sound economic way withproper governance. Risk Management in Banking, Third Edition considers allaspects of risk management emphasizing the need to understandconceptual and implementation issues of risk management andexamining the latest techniques and practical issues,including: * Asset-Liability Management * Risk regulations and accounting standards * Market risk models * Credit risk models * Dependencies modeling * Credit portfolio models * Capital Allocation * Risk-adjusted performance * Credit portfolio management Building on the considerable success of this classic work, thethird edition is an indispensable text for MBA students,practitioners in banking and financial services, bank regulatorsand auditors alike.

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  • Produktdetails
  • Verlag: John Wiley & Sons
  • Seitenzahl: 840
  • Erscheinungstermin: 22.11.2011
  • Englisch
  • ISBN-13: 9780470689875
  • Artikelnr.: 38208722
Autorenporträt
Joël Bessis (Paris, France) graduated as an Engineer from Ecole Centrale in Paris, earned a Master in Business Administration at Columbia University in New York, and received a Ph. D. in Finance at the University of Paris Dauphine. Since 1980, he has been working as a Professor of Finance at Group HEC, the leading French business school. As an academic, Joel Bessis published various papers and books in the fields of corporate finance, industrial economics, and financial markets. He is a frequent speaker at professional conferences. Joel Bessis developed a dual expertise, as an academic and as a practitioner, holding permanent consulting assignments in corporations and, later, in banks. Joel Bessis worked over 15 years in this area for financial institutions. Joel Bessis has acquired experience in bank wide risk management in many well-known financial institutions. He has been a consultant to risk departments of several banking institutions in Europe. He held a permanent consultancy position for 7 years at Banque Paribas in the Risk Department and for two years at the European Bank for Development (EIB). On leave of absence from HEC Paris from 2000, he was Director of Research at FitchRatings in 2000-2001, Head of Validation at the Risk Department of Ixis, a Paris-based Investment Bank, and held the same position at "Groupe Caisse d'Epargne", one the major French banks, until 2006. He is now Professor at HEC Paris and maintains consultancy assignments in Banks. He conducts executive training in risk management in Eastern Europe, US and Asia.
Inhaltsangabe
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