Financial Risk Management : Applications in Market, Credit, Asset and Liability Management and Firmwide Risk.

Intro -- 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.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.