Financial risk management : applications in market, credit, asset and liability management and firmwide risk /
| Κύριος συγγραφέας: | |
|---|---|
| Άλλοι συγγραφείς: | |
| Μορφή: | Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
Hoboken, New Jersey :
John Wiley & Sons, Inc.,
[2015]
|
| Σειρά: | Wiley finance series.
|
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- ""Series page
- Title Page
- Copyright
- Table of Contents
- Preface
- About this book
- Whom is this book for?
- Outline of the book
- Acknowledgments
- Chapter 1: Introduction
- Banks and Risk Management
- Evolution of Bank Capital Regulation
- Creating Value from Risk Management
- Financial Risk Systems
- Model Risk Management
- Part One: Market Risk
- Chapter 2: Market Risk with the Normal Distribution
- Linear Portfolios
- Quadratic Portfolios
- Simulation-Based Valuation
- Chapter 3: Advanced Market Risk Analysis""
- ""Risk Measures, Risk Contributions, and Risk Information
- Modeling the Stylized Facts of Financial Time Series
- Time Scaling VaR and VaR with Trading
- Market Liquidity Risk
- Scenario Analysis and Stress Testing
- Portfolio Optimization
- Developments in the Market Risk Internal Models Capital Regulation
- Part Two: Credit Risk
- Chapter 4: Portfolio Credit Risk
- Issuer Credit Risk in Wholesale Exposures and Trading Book
- Credit Models for the Banking Book
- Firmwide Portfolio Credit Risk and Credit Risk Dependence
- Credit Risk Stress Testing""
- ""Features of New Generation Portfolio Credit Risk Models
- Hedging Credit Risk
- Regulatory Capital for Credit Risk
- Appendix
- Chapter 5: Counterparty Credit Risk
- Counterparty Pricing and Exposure
- CVA Risks
- Portfolios of Derivatives
- Recent Counterparty Credit Risk Developments
- Counterparty Credit Risk Regulation
- Part Three: Asset and Liability Management
- Chapter 6: Liquidity Risk Management with Cash Flow Models
- Measurement of Liquidity Risk
- Liquidity Exposure
- Hedging the Liquidity Exposure
- Structural Liquidity Planning""
- ""Components of the Liquidity Hedging Program
- Cash Liquidity Risk and Liquidity Risk Measures
- Regulation for Liquidity Risk
- Chapter 7: Funds Transfer Pricing and Profitability of Cash Flows
- Basic Funds Transfer Pricing Concept
- Risk-Based Funds Transfer Pricing
- Funds Transfer Rate and Risk Adjusted Returns
- Profitability Measures and Decompositions
- Banking Book Fair Value with Funds Transfer Rates
- A Note on the Scope of Funds Transfer Pricing
- Regulation and Profitability Analysis
- Part Four: Firmwide Risk""
- ""Chapter 8: Firmwide Risk Aggregation
- Correlated Aggregation and Firmwide Risk Levels
- Mixed Copula Aggregation
- Capital Allocation in Risk Aggregation
- Risk Aggregation and Regulation
- Chapter 9: Firmwide Scenario Analysis and Stress Testing
- Firmwide Scenario Model Approaches
- Firmwide Risk Capital Measures
- Regulatory Stress Scenario Approach
- The Future of Firmwide Stress Testing
- References
- Index
- End User License Agreement""
