Author : Lampros Kalyvas
Publisher : Bloomberg Press
Page : 276 pages
File Size : 45,9 MB
Release : 2006-01-01
Category : Business & Economics
ISBN : 9781904339960
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 : Amanat Hussain
Publisher : Butterworth-Heinemann
Page : 292 pages
File Size : 11,22 MB
Release : 2000-06-05
Category : Business & Economics
ISBN : 9780750647328
Risk management is one of the biggest issues facing the financial markets today. This volume outlines the major issues for risk management and focuses on operational risk as a key activity in managing risk on an enterprise-wide basis.
Author : Linda Allen
Publisher : John Wiley & Sons
Page : 312 pages
File Size : 31,66 MB
Release : 2009-02-04
Category : Business & Economics
ISBN : 140514226X
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 : Tiziano Bellini
Publisher : Academic Press
Page : 318 pages
File Size : 25,49 MB
Release : 2016-11-26
Category : Mathematics
ISBN : 0128036117
Stress Testing and Risk Integration in Banks provides a comprehensive view of the risk management activity by means of the stress testing process. An introduction to multivariate time series modeling paves the way to scenario analysis in order to assess a bank resilience against adverse macroeconomic conditions. Assets and liabilities are jointly studied to highlight the key issues that a risk manager needs to face. A multi-national bank prototype is used all over the book for diving into market, credit, and operational stress testing. Interest rate, liquidity and other major risks are also studied together with the former to outline how to implement a fully integrated risk management toolkit. Examples, business cases, and exercises worked in Matlab and R facilitate readers to develop their own models and methodologies. - Provides a rigorous statistical framework for modeling stress test in line with U.S. Federal Reserve FRB CCAR (Comprehensive Capital Analysis Review), U.K. PRA (Prudential Regulatory Authority), EBA (European Baning Authorithy) and comply with Basel Accord requirements - Follows an integrated bottom-up approach central in the most advanced risk modelling practice - Provides numerous sample codes in Matlab and R
Author :
Publisher : Lulu.com
Page : 294 pages
File Size : 47,72 MB
Release : 2004
Category : Bank capital
ISBN : 9291316695
Author : Mark Carey
Publisher : University of Chicago Press
Page : 669 pages
File Size : 27,8 MB
Release : 2007-11-01
Category : Business & Economics
ISBN : 0226092984
Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.
Author : I. Akkizidis
Publisher : Springer
Page : 249 pages
File Size : 42,93 MB
Release : 2015-12-04
Category : Business & Economics
ISBN : 0230598757
Financial institutions are increasingly providing Islamic financial contracts in global markets. As a result of this market growth there is a high demand to understand how to assess and manage the risks arising from applying Islamic financial products and services. Credit, operational, market and liquidity risks together with the risk of non compliance with the Shariah law are becoming very hot issues for financial institutions. This book presents a common framework on how to efficiently manage the risks faced.
Author : José A. Soler Ramos
Publisher : IDB
Page : 422 pages
File Size : 35,85 MB
Release : 2000
Category : Business & Economics
ISBN : 9781886938717
"Drawing on practical methods used by successful risk managers in emerging and developed markets throughout the world, the book provides specific guidance on establishing a modern risk management framework and developing efficient approaches to increase the profitability of risk management activities in emerging market settings."--BOOK JACKET.
Author : Peter Christoffersen
Publisher : Academic Press
Page : 346 pages
File Size : 28,63 MB
Release : 2011-11-22
Category : Business & Economics
ISBN : 0123744482
The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises
Author : Kevin Dowd
Publisher : John Wiley & Sons
Page : 395 pages
File Size : 10,93 MB
Release : 2003-02-28
Category : Business & Economics
ISBN : 0470855215
The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.
