Screen LibraryFinancial risk management : applications in market, credit, asset and liability management and firmwide risk /
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| Main Authors: | |
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| Corporate Authors: | |
| Group Author: | |
| Published: |
John Wiley & Sons, Inc.,
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| Publisher Address: | Hoboken, New Jersey : |
| Publication Dates: | [2015] |
| Literature type: | eBook |
| Language: | English |
| Series: |
Wiley finance series
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| Subjects: | |
| Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9781119157502 |
| Carrier Form: | 1 online resource. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: |
9781119157236 1119157234 9781119157243 1119157242 |
| Index Number: | HG173 |
| CLC: |
F830 F272.35 |
| Contents: |
""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"" |