Risk Management in Banking, 2nd Edition

by Joel Bessis

• ISBN13: 9780471893363
• ISBN10: 0471893366
• Edition: 2nd
• Format: Paperback
• Copyright: 2002-05-01
• Publisher: WILEY

Summary

This new edition has been fully revised and updated to reflect new developments in the field, the latest research, and the changing emphasis in current practice. It considers all aspects of risk management, a vital topic within the banking industry, including: asset liability management, risk-based capital, value at risk, loan portfolio management, credit risk, market risk, interest rate risk, liquidity risk, fund transfer pricing, and capital allocation.

Author Biography

<B>JOEL BESSIS</B> is in charge of risk analytics at the risk department of CDC IXIS, in Paris, France and was previously Director of Research at Fitch. He is Professor of Finance at HEC School of Management, Paris, France, and a frequent speaker at professional conferences. He has been a consultant to risk departments of several banking institutions in Europe, and held a permanent consultancy position for seven years at Banque Paribas in the Risk Department. John Wiley & Sons 20020510 2001 01 000 01 245.5 mm 02 168.0 mm 03 44.699 mm 08 48.32 oz John Wiley & Sons IP 10 01 P 75.00 0471321745 03 0471321745 BB The Bit and the Pendulum From Quantum Computing to M Theory&mdash;The New Physics of Information 1 A01 Tom Siegfried Siegfried, Tom Tom Siegfried eng 288 SCI000000 2.3 01 "Funny, clear, deep, and right on target, Tom Siegfrieds The Bit and the Pendulum is a friendly guide to a profound revolution now taking place on the forefront of science. From the horizons of black holes to the inner recesses of the human brain, bits are us and everything else too. Taking a lighthearted approach to weighty ideas, Siegfried takes us into the tangled web of quantum teleportation, curled up extra dimensions of space and time, and the wetware of computational cells. He lets us get a handle on ideas that are essential for understanding the evolving world." &mdash;K. C. Cole, author of <I>The Universe and the Teacup</I> <p> Is all life made up of yes-no, heads-tails decisions? Is the computer, with its binary 0û1 "bits" of information, our best model yet for describing the universe? Acclaimed science writer Tom Siegfried offers a fascinating introduction to the hot new physics of information. The Bit and the Pendulum takes us on a thrilling journey from quantum teleportation, to DNA computing, to the insides of black holes and other cosmological puzzles. Siegfried interviews top scientists biologists working with the mathematics of DNA, quantum physicists studying quantum cryptography, and neuroscientists mapping the mysterious workings of the brain all using the mysteries of information science to solve the seemingly unsolvable. Lively, engaging, and topical, The Bit and the Pendulum shows how the computer and the "bit" are revealing secrets of the brain, the nature of matter, and the workings of the universe. 04 02 Beam Up the Goulash. <p> Machines and Metaphors. <p> Information Is Physical. <p> The Quantum and the Computer. <p> The Computational Cell. <p> The Computational Brain. <p> Consciousness and Complexity. <p> IGUSes. <p> Quantum Reality. <p> From Black Holes to Supermatter. <p> The Magical Mystery Theory. <p> The Bit and the Pendulum. <p> Notes. <p> Glossary. <p> Further Reading. <p> Index.TOM SIEGFRIED is the science editor of the Dallas Morning News. He is the recipient of the American Association for the Advancement of Science&#146;s Westinghouse Award for science journalism.

Table of Contents

1. Banking Risks

Banking Business Lines

Banking Risks

2. Risk Regulations

Banking Regulations

3. Risk Management Processes

Risk Management Processes

Risk Management Organization

4. Risk Models

Risk Measures

VaR and Capital

Valuation

Risk Model Building Blocks

5. Asset-Liability Management

ALM Overview

Liquidity Gaps

The Term Structure of Interest Rates

Interest Rate Gaps

Hedging and Derivatives

6. Asset-Liability Management Models

Overview of ALM Models

Hedging Issues

ALM Simulations

ALM and Business Risk

ALM 'Risk and Return' Reporting and Policy

7. Options and Convexity Risk in Banking

Implicit Options Risk

The Value of Implicit Options

8. Mark-to-Market Management in Banking

Market Value and NPV of the Balance Sheet

NPV and Interest Rate Risk

NPV and Convexity Risks

NPV Distribution and VaR

9. Funds Transfer Pricing

FTP Systems

Economic Transfer Prices

10. Portfolio Analysis: Correlations

Correlations and Portfolio Effects

11. Market Risk

Market Risk Building Blocks

Standalone Market Risk

Modelling Correlations and Multi-factor Models for Market Risk

Portfolio Market Risk

12. Credit Risk Models

Overview of Credit Risk Models

13. Credit Risk: 'Standalone Risk'

Credit Risk Drivers

Rating Systems

Credit Risk: Historical Data

Statistical and Econometric Models of Credit Risk

The Option Approach to Defaults and Migrations

Credit Risk Exposure

From Guarantees to Structures

Modelling Recoveries

Credit Risk Valuaiton and Credit Spreads

Standalone Credit Risk Distributions

14. Credit Risk: 'Portfolio Risk'

Modelling Credit Risk Correlations

Generating Loss Distributions: Overview

Portfolio Loss Distriburtions: Example

Analytical Loss Distributions

Loss Distributions: Monte Carlo Simulations

Loss Distribution and Transition Matrices

Capital and Credit Risk VaR

16. Capital Allocation

Capital Allocation and Risk Contributions

Marginal Risk Contributions

16. Risk-adjusted Performance

Risk-adjusted Performance

Risk-adjusted Performance Implementation

17. Portfolio and Capital Management (Credit Risk)

Portfolio Reporting (1)

Portfolio Reporting (2)

Portfolio Applications

Credit Derivatives: Definitions

Applications of Credit Derivatives

Securitization and Capital Management

Bibliography

Index