内容

目次

The Need for Risk Management Systems. The New Regulatory and CorporateEnvironment. Structuring and Managing the Risk Management Function in aBank. The New BIS Capital Requirements for Financial Risks. MeasuringMarket Risk: The VaR Approach. Measuring Market Risk: Extensions of the VaRApproach and Testing the Models. Credit Rating Systems. Credit MigrationApproach to Measuring Credit Risk. The Contingent Claim Approach toMeasuring Credit Risk. Other Approaches: The Actuarial and Reduced-formApproaches to Measuring Credit Risk. Comparison of Industry-sponsored CreditModels and Associated Back-Testing Issues. Hedging Credit Risk. ManagingOperational Risk. Capital Allocation and Performance Measurement. ModelRisk. Risk Management in Nonbank Corporations. Risk Management in theFuture.