Financial risk management : applications in market, credit, asset and liability management and firmwide risk / Jimmy Skoglund, Wei Chen.

Format:

Book

Author/Creator:

Skoglund, Jimmy, 1971- author.

Chen, Wei, 1968 November 10- author.

Series:

Wiley finance series.

Wiley Finance Series

Language:

English

Subjects (All):

Financial institutions--Risk management.

Financial institutions.

Banks and banking--Risk management.

Banks and banking.

Financial risk management.

Physical Description:

1 online resource (712 p.)

Edition:

1st edition

Place of Publication:

Hoboken, New Jersey : Wiley, 2015.

Language Note:

English

System Details:

text file

Summary:

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace...

Contents:

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.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781119157243

1119157242

9781119157502

1119157501

9781119157236

1119157234

OCLC:

910664681