Risk Management in Banking (Paperback, 3 Rev ed)

About the Author. Introduction. Section 1: The Financial Crisis. 1 The 2007 2008 Financial Crisis. Section 2: Business Lines, Risks, and Risk Management. 2 banking Business Lines. 2 Risks and Risk Management. 4 Risk Management. Section 3: Financial Products. 5 Banking and Financial Products. 6 Essentials on Derivative Products. 7 Interest Rate Risk and Interest Rate Derivatives. 8 Foreign Exchange Risk and Foreign Exchange Derivatives. 9 Credit Derivatives. Section 4: Valuation. 10 Distribution Functions. 11 Discrete and Continuous Returns. 12 Stochastic Processes. 13 Valuation and Pricing Risk. 14 Some Applications of Valuation Techniques. Section 5: Risk Modeling. 15 Sensitivity. 16 Volatility. 17 The Value at Risk Measure. 18 VaR and Capital. Section 6: Regulations. 19 Banking Regulations: Basel 1 and Market Risk. 20 Banking Regulations: The Basel 2 Accord. 21 Accounting Standards. Section 7: Asset Liability Management (ALM). 22 Liquidity Management and Liquidity Gaps. 23 Interest Rate Gaps. 24 ALM and Hedging Policies. 25 Implicit Options Risk. 26 Economic Value of the Balance Sheet. 27 Economic Value and Convexity Risk. Section 8: Funds Transfer Pricing Systems. 28 Funds Transfer Pricing Systems. 29 Economic Transfer Prices. Section 9: Dependencies and Portfolio Risk. 30 Correlations and Covariances. 31 Conditional Probabilities. 32 Factor Models. 33 Dependencies and Copula Functions. 34 Simulations with Factor Models or the Copula Approach. Section 10: Market Risk. 35 Delta normal VaR. 36 Historical and Hypothetical Simulations. 37 Simulation of Interest Rates. 38 Back Tests, Benchmarks and Stress Tests. Section 11: Credit Risk: Standalone. 39 Credit Risk Data. 40 Rating Systems. 41 Statistical and Scoring Models. 42 The Option Approach to Defaults and Migrations. 43 Default Probability and Default Intensity. 44 Credit Risk Potential Exposure. 45 Modeling Recoveries. 46 Credit Risk Valuation and Credit Spreads. Section 12: Credit Portfolio Risk. 47 Credit Event Dependencies. 48 Example of Portfolio Loss Distribution. 49 Analytical Loss Distributions. 50 Simulation of Credit Portfolio Loss Distributions. 51 Credit Portfolio Models. Section 13: Capital Allocation. 52 Economic Capital and Credit Risk VaR. 53 Capital Allocation and Risk Contributions. 54 Marginal Risk Contributions. Section 14: Risk adjusted Performance. 55 RaRoC and Shareholders Value Added. 56 Economic Income Statements. Section 15: Credit Portfolio Management. 57 Portfolio Analysis. 58 Securitization and Capital Management. 59 Credit Portfolio Management. Section 16: Conclusion and Financial Reforms. 60 The Financial System and Reforms. References. Index.