Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk - Rilegato

Skoglund, Jimmy; Chen, Wei

Rilegato

ISBN 10: 1119135516 ISBN 13: 9781119135517

Casa editrice: John Wiley & Sons Inc, 2015

Riassunto

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 risk management guide specifically for the practitioner.

• Compute and manage market, credit, asset, and liability risk
• Perform macroeconomic stress testing and act on the results
• Get up to date on regulatory practices and model risk management
• Examine the structure and construction of financial risk systems
• Delve into funds transfer pricing, profitability analysis, and more

Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Su questo libro

Informazioni sull?autore

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 methodo ogies, 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 Schooof 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 severa journals including Journal of Risk and Journal of Risk Model Validation. Wei holds a PhD from the University of Iowa.

Dalla quarta di copertina

Risk management is one of the fastest growing functions 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. Financial Risk Management came from the authors' desire to compile their extensive experience in developing and implementing risk analytics in banks around the globe to provide a comprehensive, quantitative-oriented risk management guide specifically for practitioners.

Risk professionals with a quantitative background can elevate their skill set and value with this book's highly focused coverage on application. Beginning with sufficient reviews of the economic foundation of modern risk management and its current state, advanced material dissects three silos of risk management?market, credit, and asset and liability management?and then looks at the realities of working in the big picture firmwide. This practical, holistic view of risk management is reinforced by cross-referencing methodologies in different risk categories and dedicating two entire chapters to firmwide risk aggregation, scenario analysis, and stress testing. It's easy to integrate into a bank's business practices when you can:

• Incorporate market illiquidity in market risk models
• Analyze and interpret optimal portfolio hedges and replicate portfolios for future risk measurement and management
• Extend credit models to include macroeconomic information and use these models in calculating economic capital and stress testing
• Price and measure counterparty credit risk
• Execute advanced analysis and optimal models of liquidity hedging and structural liquidity planning
• Use fund transfer pricing to advance traditional asset and liability management in terms of granularity, cost of risks, and optionality
• Measure firmwide risk using top-down and bottom-up approaches
• Perform firmwide macroeconomic stress testing and make informed decisions based on the results

From quantitative methodology and risk analytics to the risk based decision framework connecting your management plan to the entire business operations of a bank? Financial Risk Management is your solution to real-world success.

Dal risvolto di copertina interno

Risk management is one of the fastest growing functions 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. Financial Risk Management came from the authors' desire to compile their extensive experience in developing and implementing risk analytics in banks around the globe to provide a comprehensive, quantitative-oriented risk management guide specifically for practitioners.

Risk professionals with a quantitative background can elevate their skill set and value with this book's highly focused coverage on application. Beginning with sufficient reviews of the economic foundation of modern risk management and its current state, advanced material dissects three silos of risk management—market, credit, and asset and liability management—and then looks at the realities of working in the big picture firmwide. This practical, holistic view of risk management is reinforced by cross-referencing methodologies in different risk categories and dedicating two entire chapters to firmwide risk aggregation, scenario analysis, and stress testing. It's easy to integrate into a bank's business practices when you can:

• Incorporate market illiquidity in market risk models
• Analyze and interpret optimal portfolio hedges and replicate portfolios for future risk measurement and management
• Extend credit models to include macroeconomic information and use these models in calculating economic capital and stress testing
• Price and measure counterparty credit risk
• Execute advanced analysis and optimal models of liquidity hedging and structural liquidity planning
• Use fund transfer pricing to advance traditional asset and liability management in terms of granularity, cost of risks, and optionality
• Measure firmwide risk using top-down and bottom-up approaches
• Perform firmwide macroeconomic stress testing and make informed decisions based on the results

From quantitative methodology and risk analytics to the risk based decision framework connecting your management plan to the entire business operations of a bank— Financial Risk Management is your solution to real-world success.

Dettagli dell'edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2015
• Lingua: Inglese
• ISBN 10: 1119135516
• ISBN 13: 9781119135517
• Rilegatura: Copertina rigida
• Numero edizione: 1
• Numero di pagine: 557
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile