Financial Risk Management

Jimmy Skoglund , Wei Chen 지음

Wiley 2015년 09월 04일 출간

작품소개

책소개

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 r

목차

Preface i Acknowledgements vii 1 Introduction 1 1.1 Banks and Risk Management 1 1.2 Evolution of Bank Capital Regulation 4 1.3 Creating Value from Risk Management 9 1.4 Financial Risk Systems 11 1.5 Model Risk Management 18 I Market Risk 23 2 Market Risk with the Normal Distribution 25 2.1 Linear Portfolios 26 2.2 Quadratic Portfolios 47 2.3 Simulation Based Valuation 58 3 Advanced Market Risk Analysis 81 3.1 Risk Measures, Risk Contributions and Risk Information 82 3.2 Modeling the Stylized Facts of Financial Time Series 104 3.3 Scaling VaR and VaR with Trading 143 3.4 Market Liquidity Risk 146 3.5 Scenario Analysis and Stress Testing 152 3.6 Portfolio Optimization 166 3.7 Developments in the Market Risk Internal Models Capital Regulation 175 II Credit Risk 179 4 Portfolio Credit Risk 181 4.1 Issuer Credit Risk in Wholesale Exposures and Trading Book 184 4.2 Credit Models for the Banking Book 247 4.3 Firmwide Portfolio Credit Risk and Credit Risk Dependence 307 4.4 Credit Risk Stress Testing 310 4.5 Features of New Generation Portfolio Credit Risk Models 320 4.6 Hedging Credit Risk 326 4.7 Regulatory Capital for Credit Risk 336 5 Counterparty Credit Risk 345 5.1 Counterparty Pricing and Exposure 347 5.2 CVA Risks 397 5.3 Portfolios of Derivatives 398 5.4 A Note on Recent Counterparty Credit Risk Developments 409 5.5 Counterparty Credit Risk Regulation 411 III Asset and Liability Management 417 6 Liquidity Risk Management 419 6.2 Liquidity Exposure 431 6.3 Hedging the Liquidity Exposure 446 6.4 Structural Liquidity Planning 460 6.5 Components of the Liquidity Hedging Program 468 6.6 Cash Liquidity Risk and Liquid

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저자(글) Jimmy Skoglund

Jimmy Skoglund is principal product manager of global risk products at SAS. He has more than fifteen years of market experience developing and implementing risk methodologies, and his articles have appeared in such publications as the Journal of Risk, Journal of Banking and Finance, and Journal of Risk Management in Financial Institutions. Jimmy holds a PhD from the Stockholm School of Economics. Wei Chen is director of stress testing solutions at SAS. He has more than fifteen years' experience in risk analytics and technology in banking and insurance, and he is an associate editor of the Journal of Risk Model Validation. His publications have appeared in several journals including Journal of Risk and Journal of Risk Model Validation. Wei holds a PhD from the University of Iowa.

저자(글) Wei Chen