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008			110524s2010 enka b 001 0 eng
010			_a 2011288737
020			_a9780470019122 (hbk.)
040			_aDLC _cDLC
042			_apcc
050	0	0	_aHG1615.B45
100	1		_aBessis, Joël.
245	1	0	_aRisk management in banking. / _cJoël Bessis.
250			_a3rd ed.
260			_aChichester, United Kingdom : _bJohn Wiley, _c2010.
300			_axvii, 821 p. : _bill. ; _c25 cm.
504			_aIncludes bibliographical references (p. [799]-801) and index.
505			_aContents: Section 1: The Financial Crisis. 1 The 2007-2008 Financial Crisis. Section 2: Business Lines, Risks, and Risk Management. 2 banking Business Lines. 3 Risks and Risk Management. 4 Risk Management. Section 3: Financial Products. 5 Banking and Financial Products. 6 Essentials on Derivative Products. 7 Interest Rate Risk and Interest Rate Derivatives. 8 Foreign Exchange Risk and Foreign Exchange Derivatives. 9 Credit Derivatives. Section 4: Valuation. 10 Distribution Functions. 11 Discrete and Continuous Returns. 12 Stochastic Processes. 13 Valuation and Pricing Risk. 14 Some Applications of Valuation Techniques. Section 5: Risk Modeling. 15 Sensitivity. 16 Volatility. 17 The Value-at-Risk Measure. 18 VaR and Capital. Section 6: Regulations. 19 Banking Regulations: Basel 1 and Market Risk. 20 Banking Regulations: The Basel 2 Accord. 21 Accounting Standards. Section 7: Asset Liability Management (ALM). 22 Liquidity Management and Liquidity Gaps. 23 Interest Rate Gaps. 24 ALM and Hedging Policies. 25 Implicit Options Risk. 26 Economic Value of the Balance Sheet. 27 Economic Value and Convexity Risk. Section 8: Funds Transfer Pricing Systems. 28 Funds Transfer Pricing Systems. 29 Economic Transfer Prices. Section 9: Dependencies and Portfolio Risk. 30 Correlations and Covariances. 31 Conditional Probabilities. 32 Factor Models. 33 Dependencies and Copula Functions. 34 Simulations with Factor Models or the Copula Approach. Section 10: Market Risk. 35 Delta-normal VaR. 36 Historical and Hypothetical Simulations. 37 Simulation of Interest Rates. 38 Back Tests, Benchmarks and Stress Tests. Section 11: Credit Risk: Standalone. 39 Credit Risk Data. 40 Rating Systems. 41 Statistical and Scoring Models. 42 The Option Approach to Defaults and Migrations. 43 Default Probability and Default Intensity. 44 Credit Risk Potential Exposure. 45 Modeling Recoveries. 46 Credit Risk Valuation and Credit Spreads. Section 12: Credit Portfolio Risk. 47 Credit Event Dependencies. 48 Example of Portfolio Loss Distribution. 49 Analytical Loss Distributions. 50 Simulation of Credit Portfolio Loss Distributions. 51 Credit Portfolio Models. Section 13: Capital Allocation. 52 Economic Capital and Credit Risk VaR. 53 Capital Allocation and Risk Contributions. 54 Marginal Risk Contributions. Section 14: Risk-adjusted Performance. 55 RaRoC and Shareholders' Value Added. 56 Economic Income Statements. Section 15: Credit Portfolio Management. 57 Portfolio Analysis. 58 Securitization and Capital Management. 59 Credit Portfolio Management. Section 16: Conclusion and Financial Reforms. 60 The Financial System and Reforms. References. Index.
520			_aCompletely revised and updated edition of seminal work, this new edition of a very successful work takes into account the changing face of risk management and examines all aspects of financial risk management in banking, from global considerations to the fundamental aspects of the management of a particular profit centre
650		0	_aBank management.
650		0	_aRisk management.
650		0	_aAsset-liability management.
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942			_2lcc _cBK
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