{"product_id":"financial-risk-management-9781119135517","title":"Financial Risk Management","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cb\u003eA global banking risk management guide geared toward the practitioner\u003c\/b\u003e \u003cp\u003e\u003ci\u003eFinancial Risk Management\u003c\/i\u003e 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 \u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAcknowledgments xvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 Introduction 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBanks and Risk Management 1\u003c\/p\u003e \u003cp\u003eEvolution of Bank Capital Regulation 4\u003c\/p\u003e \u003cp\u003eCreating Value from Risk Management 9\u003c\/p\u003e \u003cp\u003eFinancial Risk Systems 10\u003c\/p\u003e \u003cp\u003eRisk Analytics 11\u003c\/p\u003e \u003cp\u003eRisk Infrastructure 13\u003c\/p\u003e \u003cp\u003eRisk Technology 15\u003c\/p\u003e \u003cp\u003eModel Risk Management 17\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART ONE \u003c\/b\u003e\u003cb\u003eMarket Risk\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 Market Risk with the Normal Distribution 23\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eLinear Portfolios 24\u003c\/p\u003e \u003cp\u003eBasic Model 24\u003c\/p\u003e \u003cp\u003eRisk Measures 28\u003c\/p\u003e \u003cp\u003eRisk Contributions 31\u003c\/p\u003e \u003cp\u003eEstimating the Covariance Matrix of Risk Factors 39\u003c\/p\u003e \u003cp\u003eDistribution of Risk Measures 40\u003c\/p\u003e \u003cp\u003eProbabilistic Stress Testing 41\u003c\/p\u003e \u003cp\u003eQuadratic Portfolios 43\u003c\/p\u003e \u003cp\u003eQuadratic Portfolio Representation 44\u003c\/p\u003e \u003cp\u003eQuadratic Portfolio Distribution 50\u003c\/p\u003e \u003cp\u003eCalculation of Risk Measures for the Quadratic Portfolio 51\u003c\/p\u003e \u003cp\u003eSimulation-Based Valuation 53\u003c\/p\u003e \u003cp\u003eExample of Barrier Stock Options and Position Nonlinearity 54\u003c\/p\u003e \u003cp\u003eSimulation from the Multivariate Normal Distribution 56\u003c\/p\u003e \u003cp\u003eRisk Factor Dimension Reduction 60\u003c\/p\u003e \u003cp\u003eIncorporating Model Estimation Error in the Simulation Scheme 65\u003c\/p\u003e \u003cp\u003eVariance Reduction by Importance Sampling 66\u003c\/p\u003e \u003cp\u003eReducing Pricing Time 69\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 Advanced Market Risk Analysis 75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRisk Measures, Risk Contributions, and Risk Information 75\u003c\/p\u003e \u003cp\u003eVaR Interval Estimation 76\u003c\/p\u003e \u003cp\u003eCoherent Measures of Risk 79\u003c\/p\u003e \u003cp\u003eSimulation-Based Risk Contributions 80\u003c\/p\u003e \u003cp\u003eRisk Information Measures 88\u003c\/p\u003e \u003cp\u003eRisk Distortion Measures 93\u003c\/p\u003e \u003cp\u003eModeling the Stylized Facts of Financial Time Series 97\u003c\/p\u003e \u003cp\u003eUnivariate Time Series 97\u003c\/p\u003e \u003cp\u003eMultivariate Time Series 110\u003c\/p\u003e \u003cp\u003eModel Validation and Backtesting 122\u003c\/p\u003e \u003cp\u003eA Multivariate Model of Risk Factor Returns 127\u003c\/p\u003e \u003cp\u003eTime Scaling VaR and VaR with Trading 134\u003c\/p\u003e \u003cp\u003eTime Aggregation of VaR with Constant Portfolios 134\u003c\/p\u003e \u003cp\u003eTime Aggregation of VaR with Trading 135\u003c\/p\u003e \u003cp\u003eMarket Liquidity Risk 136\u003c\/p\u003e \u003cp\u003eCloseout Time with No Liquidity Cost 137\u003c\/p\u003e \u003cp\u003eA Note on General Market Illiquidity Models 140\u003c\/p\u003e \u003cp\u003eScenario Analysis and Stress Testing 142\u003c\/p\u003e \u003cp\u003ePortfolio Sensitivity Analysis 143\u003c\/p\u003e \u003cp\u003eSystematic Portfolio Stress Tests 143\u003c\/p\u003e \u003cp\u003eHypothetical Scenario from Reverse Stress Testing 147\u003c\/p\u003e \u003cp\u003eIntegration of Stress and Model Analysis 154\u003c\/p\u003e \u003cp\u003ePortfolio Optimization 155\u003c\/p\u003e \u003cp\u003ePortfolio Mean Risk Optimization 156\u003c\/p\u003e \u003cp\u003eCash Flow Replication 161\u003c\/p\u003e \u003cp\u003eDevelopments in the Market Risk Internal Models Capital Regulation 165\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART TWO \u003c\/b\u003e\u003cb\u003eCredit Risk\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 Portfolio Credit Risk 171\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIssuer Credit Risk in Wholesale Exposures and Trading Book 174\u003c\/p\u003e \u003cp\u003eMarket Pricing of Corporate Bonds 174\u003c\/p\u003e \u003cp\u003eMerton’s Structural Model for Corporate Bond Pricing 178\u003c\/p\u003e \u003cp\u003eThe Multivariate Merton Model 185\u003c\/p\u003e \u003cp\u003eApplied Portfolio Migration and Default Risk Models 187\u003c\/p\u003e \u003cp\u003eEconomic Capital for a Portfolio of Traded Bonds 230\u003c\/p\u003e \u003cp\u003eCredit Models for the Banking Book 235\u003c\/p\u003e \u003cp\u003eThe Binomial Loss Model 236\u003c\/p\u003e \u003cp\u003eCredit Transition Score Models 242\u003c\/p\u003e \u003cp\u003eSimulation of State Transitions and Markov Iteration 254\u003c\/p\u003e \u003cp\u003eMortgage Portfolio Risk Analysis: An Illustration 258\u003c\/p\u003e \u003cp\u003ePoint in Time and Through the Cycle Models—with Applications to Regulatory Stress Testing 277\u003c\/p\u003e \u003cp\u003eAn Economic Capital Model for Loan Portfolios 285\u003c\/p\u003e \u003cp\u003eThe Poisson Mixture Model and CreditRisk\u003csup\u003e+\u003c\/sup\u003e 289\u003c\/p\u003e \u003cp\u003eFirmwide Portfolio Credit Risk and Credit Risk Dependence 296\u003c\/p\u003e \u003cp\u003eJoint Codependency with Different Models 297\u003c\/p\u003e \u003cp\u003eIndirect and Direct Codependency in Credit Risk Models 298\u003c\/p\u003e \u003cp\u003eCredit Risk Stress Testing 299\u003c\/p\u003e \u003cp\u003eStress Testing with Multifactor Model 301\u003c\/p\u003e \u003cp\u003eStress Testing with Macroeconomic Credit Score Model 303\u003c\/p\u003e \u003cp\u003eFeatures of New Generation Portfolio Credit Risk Models 309\u003c\/p\u003e \u003cp\u003eMulti-Horizon Models for Banking Book 309\u003c\/p\u003e \u003cp\u003eModeling the Recovery Process for Banking Book Portfolios 310\u003c\/p\u003e \u003cp\u003eEarnings and Loss Rather than Just Loss 311\u003c\/p\u003e \u003cp\u003eLoan-Level Models 314\u003c\/p\u003e \u003cp\u003eGranularity of Credit Factors 314\u003c\/p\u003e \u003cp\u003eHedging Credit Risk 315\u003c\/p\u003e \u003cp\u003eSingle-Name Credit Default Swaps 315\u003c\/p\u003e \u003cp\u003eCredit Default Swaps on Portfolio Indices 320\u003c\/p\u003e \u003cp\u003eBasket Credit Default Swaps 321\u003c\/p\u003e \u003cp\u003eRegulatory Capital for Credit Risk 324\u003c\/p\u003e \u003cp\u003eRegulatory Risk Components 326\u003c\/p\u003e \u003cp\u003eRisk Mitigation and Regulatory Capital 327\u003c\/p\u003e \u003cp\u003eAppendix 328\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 Counterparty Credit Risk 333\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCounterparty Pricing and Exposure 335\u003c\/p\u003e \u003cp\u003eMarket Standard Pricing Metrics 335\u003c\/p\u003e \u003cp\u003eAssessment of Counterparty Default Probability 343\u003c\/p\u003e \u003cp\u003eExposure Simulation Framework for CVA 346\u003c\/p\u003e \u003cp\u003eMarket Correlations, Wrong-Way Risk, and Counterparty Pricing 360\u003c\/p\u003e \u003cp\u003eCollateralized Exposures 364\u003c\/p\u003e \u003cp\u003eCVA Risks 382\u003c\/p\u003e \u003cp\u003ePortfolios of Derivatives 384\u003c\/p\u003e \u003cp\u003eNetting 384\u003c\/p\u003e \u003cp\u003eMarginal and Incremental Portfolio Trades 386\u003c\/p\u003e \u003cp\u003eRecent Counterparty Credit Risk Developments 392\u003c\/p\u003e \u003cp\u003eOIS Discounting for Derivatives 392\u003c\/p\u003e \u003cp\u003eAdvanced CVA Calculations and CVA Greeks 393\u003c\/p\u003e \u003cp\u003eFunding Value Adjustments 394\u003c\/p\u003e \u003cp\u003eCounterparty Credit Risk Regulation 395\u003c\/p\u003e \u003cp\u003eBasel Counterparty Default Risk Charges 395\u003c\/p\u003e \u003cp\u003eEnhanced Requirements on Counterparty Default Risk Charges 396\u003c\/p\u003e \u003cp\u003eNew Basel III Capital Requirements for Counterparty Credit Risk 397\u003c\/p\u003e \u003cp\u003eMitigating Regulatory Costs 399\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART THREE \u003c\/b\u003e\u003cb\u003eAsset and Liability Management\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 Liquidity Risk Management with Cash Flow Models 403\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMeasurement of Liquidity Risk 407\u003c\/p\u003e \u003cp\u003eLiquidity Exposure with General Liquidity Hedging Capacity 408\u003c\/p\u003e \u003cp\u003eLiquidity Exposure with Cash Hedging Capacity 411\u003c\/p\u003e \u003cp\u003eComponents of the Liquidity Measure 412\u003c\/p\u003e \u003cp\u003eLiquidity Exposure 414\u003c\/p\u003e \u003cp\u003eBalance Sheet Cash Flows and Facilities 417\u003c\/p\u003e \u003cp\u003eOff–Balance-Sheet Derivative Flows 427\u003c\/p\u003e \u003cp\u003eCombining the Risk and Finance View 428\u003c\/p\u003e \u003cp\u003eHedging the Liquidity Exposure 428\u003c\/p\u003e \u003cp\u003eRanking-Based Liquidity Hedging Strategy 432\u003c\/p\u003e \u003cp\u003eOptimal Liquidity Hedging Strategy 433\u003c\/p\u003e \u003cp\u003eStructural Liquidity Planning 441\u003c\/p\u003e \u003cp\u003eMitigating Balance Sheet Vulnerability with Contractual Cash Flows 442\u003c\/p\u003e \u003cp\u003eChoosing the Optimal Liquidity Hedging Portfolio 445\u003c\/p\u003e \u003cp\u003eComponents of the Liquidity Hedging Program 449\u003c\/p\u003e \u003cp\u003eCash Liquidity Risk and Liquidity Risk Measures 450\u003c\/p\u003e \u003cp\u003eCash Liquidity at Risk 450\u003c\/p\u003e \u003cp\u003ePortfolio Cash Liquidity Exposure 451\u003c\/p\u003e \u003cp\u003eAllocating Cash Liquidity Risk 453\u003c\/p\u003e \u003cp\u003eRegulation for Liquidity Risk 455\u003c\/p\u003e \u003cp\u003eLiquidity Coverage Ratio 455\u003c\/p\u003e \u003cp\u003eNet Stable Funding Ratio 458\u003c\/p\u003e \u003cp\u003eRegulatory Liquidity Monitoring Tools 459\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 Funds Transfer Pricing and Profitability of Cash Flows 463\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasic Funds Transfer Pricing Concept 465\u003c\/p\u003e \u003cp\u003eExample of FTP for a Mortgage and a Loan 466\u003c\/p\u003e \u003cp\u003eRisk-Based Funds Transfer Pricing 468\u003c\/p\u003e \u003cp\u003eCredit Risk and Capital 468\u003c\/p\u003e \u003cp\u003eEmbedded Optionality 470\u003c\/p\u003e \u003cp\u003eLiquidity Risk 477\u003c\/p\u003e \u003cp\u003eFunds Transfer Rate and Risk Adjusted Returns 481\u003c\/p\u003e \u003cp\u003eExample of Mortgage Risk Adjusted Returns 481\u003c\/p\u003e \u003cp\u003eProfitability Measures and Decompositions 482\u003c\/p\u003e \u003cp\u003eBalance Sheet Breakdown with Funds Transfer Instruments 482\u003c\/p\u003e \u003cp\u003eApplication to Net Interest Income and Economic Value View 483\u003c\/p\u003e \u003cp\u003eBanking Book Fair Value with Funds Transfer Rates 486\u003c\/p\u003e \u003cp\u003eExample of Fair Values with FTP 486\u003c\/p\u003e \u003cp\u003eA Note on the Scope of Funds Transfer Pricing 486\u003c\/p\u003e \u003cp\u003eRegulation and Profitability Analysis 487\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePART FOUR \u003c\/b\u003e\u003cb\u003eFirmwide Risk\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 Firmwide Risk Aggregation 493\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCorrelated Aggregation and Firmwide Risk Levels 494\u003c\/p\u003e \u003cp\u003eLinear Risk Aggregation 495\u003c\/p\u003e \u003cp\u003eCopula Aggregation 497\u003c\/p\u003e \u003cp\u003eExample of Copula Aggregation 497\u003c\/p\u003e \u003cp\u003eMixed Copula Aggregation 498\u003c\/p\u003e \u003cp\u003eExample of Mixed Copula Aggregation 499\u003c\/p\u003e \u003cp\u003eCapital Allocation in Risk Aggregation 501\u003c\/p\u003e \u003cp\u003eExample of Mixed Copula Capital Allocation 502\u003c\/p\u003e \u003cp\u003eMeasuring Concentration and Diversification 503\u003c\/p\u003e \u003cp\u003eRisk Aggregation and Regulation 503\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 Firmwide Scenario Analysis and Stress Testing 507\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFirmwide Scenario Model Approaches 509\u003c\/p\u003e \u003cp\u003eSilo Approach 509\u003c\/p\u003e \u003cp\u003eFirmwide Risk Model Approach 510\u003c\/p\u003e \u003cp\u003eMultiple Model Approaches 512\u003c\/p\u003e \u003cp\u003eFirmwide Risk Capital Measures 512\u003c\/p\u003e \u003cp\u003eRisk Measures and Stress Scenarios 512\u003c\/p\u003e \u003cp\u003eA Risk Reserve Approach—A Practical Illustration 514\u003c\/p\u003e \u003cp\u003eRegulatory Stress Scenario Approach 516\u003c\/p\u003e \u003cp\u003eBank-Specific Approach: A Total Balance Sheet View 517\u003c\/p\u003e \u003cp\u003eBank-Specific Approach: More on Scenarios and Models 520\u003c\/p\u003e \u003cp\u003eSystemic View: Financial System Analysis and Financial Contagion 523\u003c\/p\u003e \u003cp\u003eThe Future of Firmwide Stress Testing 524\u003c\/p\u003e \u003cp\u003eReferences 527\u003c\/p\u003e \u003cp\u003eIndex 543\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49406994612567,"sku":"9781119135517","price":71.25,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781119135517.jpg?v=1730497822","url":"https:\/\/bookcurl.com\/products\/financial-risk-management-9781119135517","provider":"Book Curl","version":"1.0","type":"link"}