Understanding Market Credit And Operational Risk

Author : Linda Allen,Jacob Boudoukh,Anthony Saunders
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 55,9 Mb
Release : 2009-02-04
Category : Business & Economics
ISBN : 9781405142267

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Understanding Market, Credit, and Operational Risk by Linda Allen,Jacob Boudoukh,Anthony Saunders Pdf

A step-by-step, real world guide to the use of Value at Risk (VaR) models, this text applies the VaR approach to the measurement of market risk, credit risk and operational risk. The book describes and critiques proprietary models, illustrating them with practical examples drawn from actual case studies. Explaining the logic behind the economics and statistics, this technically sophisticated yet intuitive text should be an essential resource for all readers operating in a world of risk. Applies the Value at Risk approach to market, credit, and operational risk measurement. Illustrates models with real-world case studies. Features coverage of BIS bank capital requirements.

Author : GARP (Global Association of Risk Professionals),Richard Apostolik,Christopher Donohue
Publisher : John Wiley & Sons
Page : 368 pages
File Size : 49,8 Mb
Release : 2015-05-27
Category : Business & Economics
ISBN : 9781119106395

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Foundations of Financial Risk by GARP (Global Association of Risk Professionals),Richard Apostolik,Christopher Donohue Pdf

Gain a deeper understanding of the issues surrounding financial risk and regulation Foundations of Financial Risk details the various risks, regulations, and supervisory requirements institutions face in today's economic and regulatory environment. Written by the experts at the Global Association of Risk Professionals (GARP), this book represents an update to GARP's original publication, Foundations of Banking Risk. You'll learn the terminology and basic concepts surrounding global financial risk and regulation, and develop an understanding of the methods used to measure and manage market, credit, and operational risk. Coverage includes traded market risk and regulation, treasury risk and regulation, and much more, including brand new coverage of risk management for insurance companies. Clear explanations, focused discussion, and comprehensive relevancy make this book an ideal resource for an introduction to risk management. The textbook provides an understanding of risk management methodologies, governance structures for risk management in financial institutions and the regulatory requirements dictated by the Basel Committee on Banking Supervision. It provides thorough coverage of the issues surrounding financial risk, giving you a solid knowledgebase and a practical, applicable understanding. Understand risk measurement and management Learn how minimum capital requirements are regulated Explore all aspects of financial institution regulation and disclosure Master the terminology of global risk and regulation Financial institutions and supervisors around the world are increasingly recognizing how vital sound risk management practices are to both individual firms and the capital markets system as a whole. Savvy professionals recognize the need for authoritative and comprehensive training, and Foundations of Financial Risk delivers with expert-led education for those new to risk management.

Author : M. A. H. Dempster
Publisher : Cambridge University Press
Page : 290 pages
File Size : 41,5 Mb
Release : 2002-01-10
Category : Mathematics
ISBN : 9781139437493

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Risk Management by M. A. H. Dempster Pdf

The use of derivative products in risk management has spread from commodities, stocks and fixed income items, to such virtual commodities as energy, weather and bandwidth. All this can give rise to so-called volatility and there has been a consequent development in formal risk management techniques to cover all types of risk: market, credit, liquidity, etc. One of these techniques, Value at Risk, was developed specifically to help manage market risk over short periods. Its success led, somewhat controversially, to its take up and extension to credit risk over longer time-scales. This extension, ultimately not successful, led to the collapse of a number of institutions. The present book, which was originally published in 2002, by some of the leading figures in risk management, examines the complex issues that concern the stability of the global financial system by presenting a mix of theory and practice.

Author : Amanat Hussain
Publisher : Elsevier
Page : 284 pages
File Size : 40,8 Mb
Release : 2000-05-01
Category : Business & Economics
ISBN : 9780080491745

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Managing Operational Risk in Financial Markets by Amanat Hussain Pdf

Risk Management is one of the biggest issues facing the financial markets today. 'Managing Operational Risk in Financial Markets' outlines the major issues for risk management and focuses on operational risk as a key activity in managing risk on an enterprise-wide basis. While risk management had always been an integral part of financial activity, the 1990s has seen the requirement for risk management establish itself as a key function within banks and other financial institutions. With greater emphasis on ensuring that money is not lost through adverse market conditions, counterparty failure or inappropriate controls, systems or people, risk management has become a discipline in its own right. Managing risk is now THE paramount topic within the financial sector. Recurring major losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and controls. The collapse of Barings and losses made by Metallgescellschaft, Orange County, Diawa and Sumitomo as a result of a lack of procedures, systems or managerial control has demonstrated to organisations the need to broaden the scope of their risk management activity from merely looking at market and credit risk. This has brought into focus the need for managing operational risk. Operational risk can only be managed on an enterprise wide basis as it includes the entire process of policies, culture, procedures, expertise and systems that an institution needs in order to manage all the risks resulting from its financial transactions. In fact, in order to effectively manage market and credit risks it is necessary to have the relevant skills and expertise in the staff, technical and organisational infrastructure, as well as monitoring and control systems. As all of these are components of operational risk, it then becomes apparent that an integrated risk management approach needs to focus on operational risk. Provides a comprehensive framework for the management of operational risk Defines the spectrum of risks faced by organisations and how they can effectively manage these Develops an enterprise-wide risk information system and defines the major challenges that need to be addressed in developing such a system

Author : Lampros Kalyvas,Ioannis Akkizidis,Ioanna Zourka,Vivianne Bouchereau
Publisher : Bloomberg Press
Page : 276 pages
File Size : 49,6 Mb
Release : 2006-01-01
Category : Business & Economics
ISBN : 1904339964

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Integrating Market, Credit and Operational Risk by Lampros Kalyvas,Ioannis Akkizidis,Ioanna Zourka,Vivianne Bouchereau Pdf

Covering the three major sources of risk this book gives an excellent overview of the exact methodological steps needed for you to evaluate and manage market, credit and operational risks arising from banking activities. It moves on to reveal the strengths and weaknesses of Basel II and explains ways for you to integrate these sources of financial risk into this regulatory framework.

Author : Robert Jarrow
Publisher : World Scientific
Page : 208 pages
File Size : 40,5 Mb
Release : 2016-11-02
Category : Business & Economics
ISBN : 9789813147539

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The Economic Foundations of Risk Management by Robert Jarrow Pdf

The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-known risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why.

Author : David Murphy
Publisher : CRC Press
Page : 472 pages
File Size : 47,5 Mb
Release : 2008-04-23
Category : Business & Economics
ISBN : 1584888946

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Understanding Risk by David Murphy Pdf

Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial Risk Management explains how to understand financial risk and how the severity and frequency of losses can be controlled. It combines a quantitative approach with a

Author : Charles Smithson
Publisher : John Wiley & Sons
Page : 354 pages
File Size : 47,5 Mb
Release : 2003-04-07
Category : Business & Economics
ISBN : 9780471465423

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Credit Portfolio Management by Charles Smithson Pdf

A cutting-edge text on credit portfolio management Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and managed at financial institutions. Charles Smithson, author of the bestselling Managing Financial Risk, introduces a portfolio management approach to credit in his latest book. Understanding how to manage the inherent risks of this market has become increasingly important over the years. Credit Portfolio Management provides readers with a complete understanding of the alternative approaches to credit risk measurement and portfolio management. This definitive guide discusses the pricing and managing of credit risks associated with a variety of off-balance-sheet products such as credit default swaps, total return swaps, first-to-default baskets, and credit spread options; as well as on-balance-sheet customized structured products such as credit-linked notes, repackage notes, and synthetic collateralized debt obligations (CDOs). Filled with expert insight and advice, this book is a must-read for all credit professionals. Charles W. Smithson, PhD (New York, NY), is the Managing Partner of Rutter Associates and Executive Director of the International Association of Credit Portfolio Managers (IACPM). He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its Third Edition).

Author : Andrea Sironi,Andrea Resti
Publisher : John Wiley & Sons
Page : 820 pages
File Size : 41,7 Mb
Release : 2007-05-21
Category : Business & Economics
ISBN : 9780470029787

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Risk Management and Shareholders' Value in Banking by Andrea Sironi,Andrea Resti Pdf

This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes: * Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more * formulae for risk-adjusted loan pricing and risk-adjusted performance measurement * extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv * a complete, up-to-date introduction to Basel II * focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics

Author : GARP (Global Association of Risk Professionals)
Publisher : John Wiley & Sons
Page : 267 pages
File Size : 54,5 Mb
Release : 2014-08-22
Category : Business & Economics
ISBN : 9780470555699

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Foundations of Banking Risk by GARP (Global Association of Risk Professionals) Pdf

GARP's Foundations of Banking Risk and Regulation introduces risk professionals to the advanced components and terminology in banking risk and regulation globally. It helps them develop an understanding of the methods for the measurement and management of credit risk and operational risk, and the regulation of minimum capital requirements. It educates them about banking regulation and disclosure of market information. The book is GARP's required text used by risk professionals looking to obtain their International Certification in Banking Risk and Regulation.

Author : Moorad Choudhry,Didier Joannas
Publisher : Financial Times/Prentice Hall
Page : 128 pages
File Size : 53,9 Mb
Release : 2003
Category : Electronic
ISBN : 0273661973

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Enterprise-Wide Risk Management by Moorad Choudhry,Didier Joannas Pdf

Author : Patrick Naim,Laurent Condamin
Publisher : John Wiley & Sons
Page : 327 pages
File Size : 44,5 Mb
Release : 2019-05-28
Category : Business & Economics
ISBN : 9781119508502

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Operational Risk Modeling in Financial Services by Patrick Naim,Laurent Condamin Pdf

Transform your approach to oprisk modelling with a proven, non-statistical methodology Operational Risk Modeling in Financial Services provides risk professionals with a forward-looking approach to risk modelling, based on structured management judgement over obsolete statistical methods. Proven over a decade’s use in significant banks and financial services firms in Europe and the US, the Exposure, Occurrence, Impact (XOI) method of operational risk modelling played an instrumental role in reshaping their oprisk modelling approaches; in this book, the expert team that developed this methodology offers practical, in-depth guidance on XOI use and applications for a variety of major risks. The Basel Committee has dismissed statistical approaches to risk modelling, leaving regulators and practitioners searching for the next generation of oprisk quantification. The XOI method is ideally suited to fulfil this need, as a calculated, coordinated, consistent approach designed to bridge the gap between risk quantification and risk management. This book details the XOI framework and provides essential guidance for practitioners looking to change the oprisk modelling paradigm. Survey the range of current practices in operational risk analysis and modelling Track recent regulatory trends including capital modelling, stress testing and more Understand the XOI oprisk modelling method, and transition away from statistical approaches Apply XOI to major operational risks, such as disasters, fraud, conduct, legal and cyber risk The financial services industry is in dire need of a new standard — a proven, transformational approach to operational risk that eliminates or mitigates the common issues with traditional approaches. Operational Risk Modeling in Financial Services provides practical, real-world guidance toward a more reliable methodology, shifting the conversation toward the future with a new kind of oprisk modelling.

Author : Mark Laycock
Publisher : John Wiley & Sons
Page : 348 pages
File Size : 54,8 Mb
Release : 2014-03-28
Category : Business & Economics
ISBN : 9781118497456

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Risk Management At The Top by Mark Laycock Pdf

With over 30 years’ experience of risk management in banks, Mark Laycock provides a comprehensive but succinct non-technical overview of risk and its governance in financial institutions. Bridging the gap between texts on governance and the increasingly technical aspects of risk management the book covers the main risk types experienced by banks – credit, market, operational and liquidity - outlines those risks before considering them from a governance perspective including the Board and Executive Management. Addressing terminology issues that can confuse dialogue, and by providing a bibliography alongside each chapter for more detailed discussion of the topic this book will ground readers with the knowledge they require to understand the unknown unknowns.

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 47,5 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Weidong Tian
Publisher : Springer
Page : 439 pages
File Size : 45,7 Mb
Release : 2016-12-08
Category : Business & Economics
ISBN : 9781137594426

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Commercial Banking Risk Management by Weidong Tian Pdf

This edited collection comprehensively addresses the widespread regulatory challenges uncovered and changes introduced in financial markets following the 2007-2008 crisis, suggesting strategies by which financial institutions can comply with stringent new regulations and adapt to the pressures of close supervision while responsibly managing risk. It covers all important commercial banking risk management topics, including market risk, counterparty credit risk, liquidity risk, operational risk, fair lending risk, model risk, stress test, and CCAR from practical aspects. It also covers major components of enterprise risk management, a modern capital requirement framework, and the data technology used to help manage risk. Each chapter is written by an authority who is actively engaged with large commercial banks, consulting firms, auditing firms, regulatory agencies, and universities. This collection will be a trusted resource for anyone working in or studying the commercial banking industry.