European University Institute Library

Risk management in banking, Joël Bessis

eng

Includes bibliographical references (pages [799]-801) and index

illustrations

index present

non fiction

Risk management in banking

bibliography

373480169

Joël Bessis

Sect. 1. The Financial Crisis -- 1. The 2007-2008 Financial Crisis -- Sect. 2. Business Lines, Risks, and Risk Management -- 2. Banking Business Lines -- 3. Risks and Risk Management -- 4. Risk Management -- Sect. 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 -- . Credit Derivatives -- Sect. 4. Valuation -- 10. Distribution Functions -- 11. Discrete and Continuous Returns -- 12. Stochastic Processes -- 13. Valuation and Pricing Risk -- 14. Some Applications of Valuation Techniques -- Sect. 5. Risk Modeling -- 15. Sensitivity -- 16. Volatility -- 17. The Value-at-Risk Measure -- 18. VaR and Capital -- Sect. 6. Regulations -- 1. Banking Regulations: Basel 1 and Market Risk -- 20. Banking Regulations: The Basel 2 Accord -- 21. Accounting Standards -- Sect. 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 -- Sect. 8. Funds Transfer Pricing Systems -- 28. Funds Transfer Pricing Systems -- 2. Economic Transfer Prices -- Sect. . 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 -- Sect. 10. Market Risk -- 35. Delta-normal VaR -- 36. Historical and Hypothetical Simulations -- 37. Simulation of Interest Rates -- 38. Back Tests, Benchmarks and Stress Tests -- Sect. 11. Credit Risk: Standalone -- 3. 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 -- Sect. 12. Credit Portfolio Risk -- 47. Credit Event Dependencies -- 48. Example of Portfolio Loss Distribution -- 4. Analytical Loss Distributions -- 50. Simulation of Credit Portfolio Loss Distributions -- 51. Credit Portfolio Models -- Sect. 13. Capital Allocation -- 52. Economic Capital and Credit Risk VaR -- 53. Capital Allocation and Risk Contr ibutions -- 54. Marginal Risk Contributions -- Sect. 14. Risk-adjusted Performance -- 55. RaRoC and Shareholders' Value Added -- 56. Economic Income Statements -- Sect. 15. Credit Portfolio Management -- 57. Portfolio Analysis -- 58. Securitization and Capital Management -- 5. Credit Portfolio Management -- Sect. 16. Conclusion and Financial Reforms -- 60. The Financial System and Reforms