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【銀行業におけるリスクマネジメント　第２版】

Risk Management in Banking 2nd ed. H 812 p. 02

Bessis, Joël 　著

絶版
価格 \34,580（税込）

発行年月	2002年04月
出版社／提供元	Wiley-Blackwell
出版国	イギリス
言語	英語
媒体	冊子
装丁	hardcover
ページ数／巻数	812 p.
ジャンル	洋書／社会科学／経済学／金融経済学
ISBN	9780471499770
商品コード	0200056526
商品URL	https://kw.maruzen.co.jp/ims/itemDetail.html?itmCd=0200056526

内容

The measurement of risk is a complex task, despite recent advances in risk management tools. Nonetheless, although risk is not as easily quantifiable as revenues and costs, its importance is critical. This greatly expanded new edition of Joël Bessis' seminal work Risk Management in Banking has been comprehensively revised and updated to take into account the changing face of risk management. Extensive new material has been included to reflect new developments in the field and to broaden the scope of the work, making this a welcome update to an already successful book. Wider reaching and more comprehensive, the second edition is an indispensable text for MBA students, practitioners in banking and financial services, bank regulators and auditors.

Introduction SECTION 1. Banking Risks Banking Business Lines Banking Risks SECTION 2. Risk Regulations Banking Regulations SECTION 3. Risk Management Processes Risk Management Processes Risk Management Organization SECTION 4. Risk Models Risk Measures VaR and Capital Valuation Risk Model Building Blocks SECTION 5. Asset–Liability Management ALM Overview Liquidity Gaps The Term Structure of Interest Rates Interest Rate Gaps Hedging and Derivatives SECTION 6. Asset–Liability Management Models Overview of ALM Models Hedging Issues ALM Simulations ALM and Business Risk ALM 'Risk and Return' Reporting and Policy SECTION 7. Options and Convexity Risk in Banking Implicit Options Risk The Value of Implicit Options SECTION 8. Mark–to–Market Management in Banking Market Value and NPV of the Balance Sheet NPV and Interest Rate Risk NPV and Convexity Risks NPV Distribution and VaR SECTION 9. Funds Transfer Pricing FTP Systems Economic Transfer Prices SECTION 10. Portfolio Analysis: Correlations Correlations and Portfolio Effects 11. Market Risk Market Risk Building Blocks Standalone Market Risk Modelling Correlations and Multi–factor Models for Market Risk Portfolio Market Risk SECTION 12. Credit Risk Models Overview of Credit Risk Models SECTION 13. Credit Risk: 'Standalone Risk' Credit Risk Drivers Rating Systems Credit Risk: Historical Data Statistical and Econometric Models of Credit Risk The Option Approach to Defaults and Migrations Credit Risk Exposure From Guarantees to Structures Modelling Recoveries Credit Risk Valuaiton and Credit Spreads Standalone Credit Risk Distributions SECTION 14. Credit Risk: 'Portfolio Risk' Modelling Credit Risk Correlations Generating Loss Distributions: Overview Portfolio Loss Distriburtions: Example Analytical Loss Distributions Loss Distributions: Monte Carlo Simulations Loss Distribution and Transition Matrices Capital and Credit Risk VaR SECTION 15. Capital Allocation Capital Allocation and Risk Contributions Marginal Risk Contributions SECTION 16. Risk–adjusted Performance Risk–adjusted Performance Risk–adjusted Performance Implementation SECTION 17. Portfolio and Capital Management (Credit Risk) Portfolio Reporting (1) Portfolio Reporting (2) Portfolio Applications Credit Derivatives: Definitions Applications of Credit Derivatives Securitization and Capital Management Bibliography Index