000			04514nam a22004813i 4500
001			EBC4041088
003			MiAaPQ
005			20240729130044.0
006			m o d |
007			cr cnu||||||||
008			240724s2015 xx o ||||0 eng d
020			_a9781119157243 _q(electronic bk.)
020			_z9781119135517
035			_a(MiAaPQ)EBC4041088
035			_a(Au-PeEL)EBL4041088
035			_a(CaPaEBR)ebr11114061
035			_a(CaONFJC)MIL828507
035			_a(OCoLC)910664681
040			_aMiAaPQ _beng _erda _epn _cMiAaPQ _dMiAaPQ
050		4	_aHG173 -- .S575 2015eb
082	0		_a658.15/5
100	1		_aSkoglund, Jimmy.
245	1	0	_aFinancial Risk Management : _bApplications in Market, Credit, Asset and Liability Management and Firmwide Risk.
250			_a1st ed.
264		1	_aNewark : _bJohn Wiley & Sons, Incorporated, _c2015.
264		4	_c©2015.
300			_a1 online resource (712 pages)
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aWiley Finance Series
505	0		_aIntro -- 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.
505	8		_aChapter 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.
588			_aDescription based on publisher supplied metadata and other sources.
590			_aElectronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
650		0	_aBanks and banking -- Risk management.
655		4	_aElectronic books.
700	1		_aChen, Wei.
776	0	8	_iPrint version: _aSkoglund, Jimmy _tFinancial Risk Management _dNewark : John Wiley & Sons, Incorporated,c2015 _z9781119135517
797	2		_aProQuest (Firm)
830		0	_aWiley Finance Series
856	4	0	_uhttps://ebookcentral.proquest.com/lib/orpp/detail.action?docID=4041088 _zClick to View
999			_c101373 _d101373