Risk Management in Banking

The seminal guide to risk management, streamlined and updated

Risk Management in Banking is a comprehensive reference for the risk management industry, covering all aspects of the field. Now in its fourth edition, this useful guide has been updated with the latest information on ALM, Basel 3, derivatives, liquidity analysis, market risk, structured products, credit risk, securitizations, and more. The new companion website features slides, worked examples, a solutions manual, and the new streamlined, modular approach allows readers to easily find the information they need. Coverage includes asset liability management, risk-based capital, value at risk, loan portfolio management, capital allocation, and other vital topics, concluding with an examination of the financial crisis through the utilisation of new views such as behavioural finance and nonlinearity of risk.

Considered a seminal industry reference since the first edition’s release, Risk Management in Banking has been streamlined for easy navigation and updated to reflect the changes in the field, while remaining comprehensive and detailed in approach and coverage. Students and professionals alike will appreciate the extended scope and expert guidance as they:

• Find all “need-to-know” risk management topics in a single text
• Discover the latest research and the new practices
• Understand all aspects of risk management and banking management
• See the recent crises – and the lessons learned – from a new perspective

Risk management is becoming increasingly vital to the banking industry even as it grows more complex. New developments and advancing technology continue to push the field forward, and professionals need to stay up-to-date with in-depth information on the latest practices. Risk Management in Banking provides a comprehensive reference to the most current state of the industry, with complete information and expert guidance.

Table of Contents

1: Risks and Risk Management

2: Banking Regulations Overview

3: Balance Sheet Management and Regulations

4: Liquidity Management and Liquidity Gaps

5: Interest Rate Gaps

6: Hedging and Gap Management

7: Economic Value of the Banking Book

8: Convexity Risk in Banking

9: Convexity Risk: the Case of Mortgages

10: Funds Transfer Pricing Systems

11: Returns, Random Shocks and Value-At-Risk

12: Portfolio Risk and Factor Models

13: Delta-Normal Var and Historical Var

14: Extensions of Traditional Var

15: Volatility

16: Simulation of Interest Rates

17: Market Risk Regulations

18: Credit Risk

19: Credit Risk Data

20: Scoring Models and Credit Ratings

21: Default Models

22: Counterparty Credit Risk

23: Credit Event Dependencies

24: Credit Portfolio Risk: Analytics

25: Credit Portfolio Risk: Simulations

26: Credit Risk Regulations

27: Capital Allocation and Risk Contributions

28: Risk-Adjusted Performance Measures

29: Credit Derivatives

30: Securitizations

About the Author

Joël Bessis is Professor of Finance at HEC Paris, the leading French business school, where he conducts training in risk management throughout Europe, the US, and Asia. Over the course of his career Joël has developed a dual expertise – as an academic and as a practitioner, holding permanent consulting assignments in corporations and later, in banks.