Download or read book Risk Management and Shareholders Value in Banking written by Andrea Sironi and published by John Wiley & Sons. This book was released on 2007-05-21 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

Download or read book Credit Risk Management In and Out of the Financial Crisis written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2010-04-16 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.

Download or read book Counterparty Credit Risk Collateral and Funding written by Damiano Brigo and published by John Wiley & Sons. This book was released on 2013-03-05 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book’s content is focused on rigorous and advanced quantitative methods for the pricing and hedging of counterparty credit and funding risk. The new general theory that is required for this methodology is developed from scratch, leading to a consistent and comprehensive framework for counterparty credit and funding risk, inclusive of collateral, netting rules, possible debit valuation adjustments, re-hypothecation and closeout rules. The book however also looks at quite practical problems, linking particular models to particular ‘concrete’ financial situations across asset classes, including interest rates, FX, commodities, equity, credit itself, and the emerging asset class of longevity. The authors also aim to help quantitative analysts, traders, and anyone else needing to frame and price counterparty credit and funding risk, to develop a ‘feel’ for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others, although the problems originated by counterparty credit and funding risk point in the direction of global valuation. Finally, proposals for restructuring counterparty credit risk, ranging from contingent credit default swaps to margin lending, are considered.

Download or read book Advanced Financial Risk Management written by Donald R. Van Deventer and published by John Wiley & Sons. This book was released on 2013-02-06 with total page 834 pages. Available in PDF, EPUB and Kindle. Book excerpt: Practical tools and advice for managing financial risk, updated for a post-crisis world Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the analytics of these issues from A to Z, and lays out a comprehensive strategy for risk management measurement, objectives, and hedging techniques that apply to all types of institutions. Written by experienced risk managers, the book covers everything from the basics of present value, forward rates, and interest rate compounding to the wide variety of alternative term structure models. Revised and updated with lessons from the 2007-2010 financial crisis, Advanced Financial Risk Management outlines a framework for fully integrated risk management. Credit risk, market risk, asset and liability management, and performance measurement have historically been thought of as separate disciplines, but recent developments in financial theory and computer science now allow these views of risk to be analyzed on a more integrated basis. The book presents a performance measurement approach that goes far beyond traditional capital allocation techniques to measure risk-adjusted shareholder value creation, and supplements this strategic view of integrated risk with step-by-step tools and techniques for constructing a risk management system that achieves these objectives. Practical tools for managing risk in the financial world Updated to include the most recent events that have influenced risk management Topics covered include the basics of present value, forward rates, and interest rate compounding; American vs. European fixed income options; default probability models; prepayment models; mortality models; and alternatives to the Vasicek model Comprehensive and in-depth, Advanced Financial Risk Management is an essential resource for anyone working in the financial field.

Download or read book Financial Risk Management written by Steve L. Allen and published by John Wiley & Sons. This book was released on 2012-12-19 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: A top risk management practitioner addresses the essentialaspects of modern financial risk management In the Second Edition of Financial Risk Management +Website, market risk expert Steve Allen offers an insider'sview of this discipline and covers the strategies, principles, andmeasurement techniques necessary to manage and measure financialrisk. Fully revised to reflect today's dynamic environment and thelessons to be learned from the 2008 global financial crisis, thisreliable resource provides a comprehensive overview of the entirefield of risk management. Allen explores real-world issues such as proper mark-to-marketvaluation of trading positions and determination of needed reservesagainst valuation uncertainty, the structuring of limits to controlrisk taking, and a review of mathematical models and how they cancontribute to risk control. Along the way, he shares valuablelessons that will help to develop an intuitive feel for market riskmeasurement and reporting. Presents key insights on how risks can be isolated, quantified,and managed from a top risk management practitioner Offers up-to-date examples of managing market and creditrisk Provides an overview and comparison of the various derivativeinstruments and their use in risk hedging Companion Website contains supplementary materials that allowyou to continue to learn in a hands-on fashion long after closingthe book Focusing on the management of those risks that can besuccessfully quantified, the Second Edition of FinancialRisk Management + Websiteis the definitive source for managingmarket and credit risk.

Download or read book Financial Risk Management written by Allan M. Malz and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: Market risk, from Value-at-Risk (VaR) to risk models for options Credit risk, from portfolio credit risk to structured credit products Model risk and validation Risk capital and stress testing Liquidity risk, leverage, systemic risk, and the forms they take Financial crises, historical and current, their causes and characteristics Financial regulation and its evolution in the wake of the global crisis And much more Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.

Download or read book Risk written by and published by . This book was released on 2003 with total page 706 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Economic Foundations Of Risk Management The Theory Practice And Applications written by Robert A Jarrow and published by World Scientific. This book was released on 2016-11-02 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'The book is an ideal complement to existing monographs on financial risk management. The reader will benefit from a standard background in no-arbitrage pricing. A tour of risk types and risk management principles is presented in a terse, no-fuss manner. Plenty of pointers to additional literature are given, allowing the interested reader to go deeper into any of the topics presented.'Newsletter of the Bachelier Finance Society 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.

Download or read book Active Credit Portfolio Management written by Jochen Felsenheimer and published by John Wiley & Sons. This book was released on 2006-03-10 with total page 581 pages. Available in PDF, EPUB and Kindle. Book excerpt: The introduction of the euro in 1999 marked the starting point of the development of a very liquid and heterogeneous EUR credit market, which exceeds EUR 350bn with respect to outstanding corporate bonds. As a result, credit risk trading and credit portfolio management gained significantly in importance. The book shows how to optimize, manage, and hedge liquid credit portfolios, i.e. applying innovative derivative instruments. Against the background of the highly complex structure of credit derivatives, the book points out how to implement portfolio optimization concepts using credit-relevant parameters, and basic Markowitz or more sophisticated modified approaches (e.g., Conditional Value at Risk, Omega optimization) to fulfill the special needs of an active credit portfolio management on a single-name and on a portfolio basis (taking default correlation within a credit risk model framework into account). This includes appropriate strategies to analyze the impact from credit-relevant newsflow (macro- and micro-fundamental news, rating actions, etc.). As credits resemble equity-linked instruments, we also highlight how to implement debt-equity strategies, which are based on a modified Merton approach. The book is obligatory for credit portfolio managers of funds and insurance companies, as well as bank-book managers, credit traders in investment banks, cross-asset players in hedge funds, and risk controllers.

Download or read book Risk Management and Simulation written by Aparna Gupta and published by CRC Press. This book was released on 2016-04-19 with total page 518 pages. Available in PDF, EPUB and Kindle. Book excerpt: The challenges of the current financial environment have revealed the need for a new generation of professionals who combine training in traditional finance disciplines with an understanding of sophisticated quantitative and analytical tools. Risk Management and Simulation shows how simulation modeling and analysis can help you solve risk managemen

Download or read book The Risk Management Process written by Christopher L. Culp and published by John Wiley & Sons. This book was released on 2001-04-06 with total page 628 pages. Available in PDF, EPUB and Kindle. Book excerpt: Das Risikomanagement ist heute wesentlicher Bestandteil jeder modernen Unternehmensstrategie. Dieses Buch erläutert, warum Risikomanagement so wichtig ist für den Unternehmenserfolg, und warum es sich bei den größten internationalen Finanzinstituten zu einem zentralen Prozeß auf höchster Ebene entwickelt hat. "The Risk Management Process" ist das erste Buch zum Thema Kreditrisikomanagement, das das Risikomanagement für das gesamte Unternehmen detailliert behandelt plus Hedging-Strategien und -Taktiken auf der Basis von Derivaten umfassend diskutiert. Autor Christopher Culp, ein anerkannter Experte und Dozent, hat mit "The Risk Management Process" ein ausgewogenes und umfasssendes Nachschlagewerk geschaffen, und zwar für einen breitgefächerten Leserkreis.

Download or read book Financial Risk Manager Handbook written by Philippe Jorion and published by John Wiley & Sons. This book was released on 2009-06-08 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential reference for financial risk management Filled with in-depth insights and practical advice, theFinancial Risk Manager Handbook is the core text for riskmanagement training programs worldwide. Presented in a clear andconsistent fashion, this completely updated FifthEdition-which comes with an interactive CD-ROM containinghundreds of multiple-choice questions from previous FRM exams-isone of the best ways to prepare for the Financial Risk Manager(FRM) exam. Financial Risk Manager Handbook, Fifth Edition supportscandidates studying for the Global Association of RiskProfessional's (GARP) annual FRM exam and prepares you to assessand control risk in today's rapidly changing financial world.Authored by renowned risk management expert Philippe Jorion-withthe full support of GARP-this definitive guide summarizes the corebody of knowledge for financial risk managers. * Offers valuable insights on managing market, credit,operational, and liquidity risk * Examines the importance of structured products, futures,options, and other derivative instruments * Identifies regulatory and legal issues * Addresses investment management and hedge fund risk Financial Risk Manager Handbook is the most comprehensiveguide on this subject, and will help you stay current on bestpractices in this evolving field. The FRM Handbook is the officialreference book for GARP's FRM® certification program. Note: CD-ROM/DVD and other supplementary materials arenot included as part of eBook file.

Download or read book Credit Derivatives written by Gunter Meissner and published by John Wiley & Sons. This book was released on 2009-02-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market for credit derivatives--financial instruments designedto transfer credit risk from one party to another--has grownexponentially in recent years, with volume expected to reach morethan $4.8 trillion by 2004. With demand increasing from the privatesector for finance professionals trained in the opportunities--anddangers--inherent in this fast-changing market, finance courses arealready springing up to meet this need. Credit Derivatives: Explains the field of credit derivatives to business studentswith a background in finance Cites real-world examples throughout, reinforced byend-of-chapter questions and internet links to pricing models Provides a concise overview of the field that is ideal forinstructors seeking to supplement traditional derivatives coursematerial, as well as those looking to offer a stand-alone course oncredit derivatives.

Download or read book Powering Forward written by Bill Ritter, Jr. and published by Fulcrum Publishing. This book was released on 2016-03-15 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: A historic energy revolution is underway in the United States. Wind, sunlight, and other sustainable resources are now the fastest growing sources of energy in the U.S. and worldwide. American families are installing power plants on their roofs and entire communities are switching to 100 percent renewable energy. The urgent need to prevent climate change is causing people around the planet to question their reliance on carbon-intensive oil, coal, and natural gas. Author Bill Ritter, Jr., the 41st governor of Colorado and one of America's key thought leaders on this topic, discusses the forces behind the energy revolution, the new ways we must think about energy, and the future of fossil and renewable fuels. It is an essential read for any who want to understand one of history's biggest challenges to peace, prosperity, and security in the United States. Written in partnership with the Center for a New Energy Economy.

Download or read book Financial Risk Manager Diploma Master s level City of London College of Economics 12 months 100 online self paced written by City of London College of Economics and published by City of London College of Economics. This book was released on with total page 739 pages. Available in PDF, EPUB and Kindle. Book excerpt: Overview This diploma course covers all aspects you need to know to become a successful Financial Risk Manager. Content - Bond fundamentals - Fundamentals of probability - Fundamentals of statistics - Monte Carlo Methods - Introduction to derivatives - Options - Fixed-income securities - Fixed-income derivatives - Equity markets - Currencies and commodities markets - Introduction to market risk measurement - Identification of risk factors - Hedging linear risk - Nonlinear risk: Options - Modelling risk factors - VAR methods - Introduction to credit risk - Questions and answers - And much more Duration 12 months Assessment The assessment will take place on the basis of one assignment at the end of the course. Tell us when you feel ready to take the exam and we’ll send you the assignment questions. Study material The study material will be provided in separate files by email / download link.

Download or read book Alternative Risk Transfer written by Erik Banks and published by John Wiley & Sons. This book was released on 2004-03-05 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical approach to ART-an alternative method by which companies take on various types of risk This comprehensive book shows readers what ART is, how it can be used to mitigate risk, and how certain instruments/structures associated with ART should be implemented. Through numerous examples and case studies, readers will learn what actually works and what doesn't when using this technique. Erik Banks (CT) joined XL Capital's weather/energy risk management subsidiary, Element Re, as a Partner and Chief Risk Officer in 2001.

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: