| Description |
xviii, 430 pages : illustrations ; 24 cm |
| Contents |
Pt. I. Risk Management. 1. Risks. 2. Profitability. 3. Risk Management. 4. Banking Regulations -- Pt. II. Measuring Risks. 5. Risk Measurement. 6. VAR -- Pt. III. Credit Risk. 7. Credit Risk. 8. Credit Risk for Banking Transactions. 9. Credit Risk for Market Instruments -- Pt. IV. Liquidity and Interest Rate Risks. 10. The Liquidity Gap. 11. The Term Structure of Interest Rates. 12. Interest Rate Gaps. 13. The Limitations of Interest Rate Gaps. 14. Simulations -- Pt. V. Mark-to-Market Value Management. 15. Market Values. 16. Market Values and Interest Rate Risk -- Pt. VI. Quantitative Capital Management. 17. Capital Requirements. 18. Securitization and Capital Management -- Pt. VII. Risk-Based Capital. 19. CAR. 20. Measuring CAR. 21. Risk-adjusted Performance -- Pt. VIII. Portfolio Credit and Market Risks. 22. The Risk of Portfolios. 23. Correlations and Portfolio Risk. 24. Credit Risk of Portfolios. 25. Market Risk of Portfolios |
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Pt. I. Risk Management. 1. Risks. 2. Profitability. 3. Risk Management. 4. Banking Regulations -- Pt. II. Measuring Risks. 5. Risk Measurement. 6. VAR --Pt. III. Credit Risk. 7. Credit Risk. 8. Credit Risk for Banking Transactions. 9. Credit Risk for Market Instruments -- Pt. IV. Liquidity and Interest Rate Risks. 10. The Liquidity Gap. 11. The Term Structure of Interest Rates. 12. Interest Rate Gaps. 13. The Limitations of Interest Rate Gaps. 14. Simulations -- Pt. V. Mark-to-Market Value Management. 15. Market Values. 16. Market Values and Interest Rate Risk -- Pt. VI. Quantitative Capital Management. 17. Capital Requirements. 18. Securitization and Capital Management -- Pt. VII. Risk-Based Capital. 19. CAR. 20. Measuring CAR. 21. Risk-adjusted Performance -- Pt. VIII. Portfolio Credit and Market Risks. 22. The Risk of Portfolios. 23. Correlations and Portfolio Risk. 24. Credit Risk of Portfolios. 25. Market Risk of Portfolios |
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Pt. IX. Funds Transfer Pricing and Capital Allocation. 26. Funds Transfer Pricing Systems. 27. Economic Transfer Prices -- Pt. X. Portfolio Management. 28. The Management of Banking Portfolios -- Pt. XI. Implicit Options in Banking Products. 29. Embedded Options. 30. The Value of Embedded Options. 31. Convexity Risks |
| Notes |
Includes index |
| Bibliography |
Includes bibliographical references (pages [411]-420) and index |
| Notes |
Also available online via the World Wide Web, by subscription to ECHO (Ebrary) |
| Subject |
Asset-liability management.
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Bank management.
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Risk management.
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| Author |
ebrary, Inc.
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| LC no. |
97025521 |
| ISBN |
047197465X (alk. paper) |
|
0471974668 (paperback: alk. paper) |
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