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Risk management in banking

Risk management in banking (1회 대출)

자료유형
단행본
개인저자
Bessis, Joel.
서명 / 저자사항
Risk management in banking / Joel Bessis.
발행사항
Chichester ;   New York :   Wiley,   1998.  
형태사항
xviii, 430 p. : ill. ; 24 cm.
ISBN
047197465X (alk. paper) 0471974668 (pbk. : alk. paper)
서지주기
Includes bibliographical references (p. [411]-420) and index.
일반주제명
Bank management. Risk management. Asset-liability management.
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005 19991215140208
008 970612s1998 enka b 001 0 eng
010 ▼a 97025521
015 ▼a GB98-4335
019 ▼a 39963298
020 ▼a 047197465X (alk. paper)
020 ▼a 0471974668 (pbk. : alk. paper)
040 ▼a DLC ▼c DLC ▼d C#P ▼d UKM
041 0 ▼a eng ▼h fre
049 1 ▼l 121042332 ▼f 과학
050 0 0 ▼a HG1615 ▼b .B45713 1998
082 0 0 ▼a 332.1/068/1 ▼2 21
090 ▼a 332.10681 ▼b B559r
100 1 ▼a Bessis, Joel.
240 1 0 ▼a Gestion des risques et gestion actif-passif des banques. ▼l English
245 1 0 ▼a Risk management in banking / ▼c Joel Bessis.
260 ▼a Chichester ; ▼a New York : ▼b Wiley, ▼c 1998.
300 ▼a xviii, 430 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references (p. [411]-420) and index.
650 0 ▼a Bank management.
650 0 ▼a Risk management.
650 0 ▼a Asset-liability management.
950 1 ▼b US$49.95

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 과학도서관/Sci-Info(2층서고)/ 청구기호 332.10681 B559r 등록번호 121042332 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차


CONTENTS

Abbreviations = xi

Introduction = xii

PART Ⅰ. RISK MANAGEMENT = 1

 1. Risks = 3

  1.1 The Environment and the Evolution of Risks = 3

  1.2 Banking Risks = 5

  1.3 Credit Risk = 5

  1.4 Liquidity Risk = 7

  1.5 Interest Rate Risk = 8

  1.6 Market Risk = 9

  1.7 Foreign Exchange Risk = 10

  1.8 Solvency Risk = 11

  1.9 Operational Risk = 12

 2. Profitability = 16

  2.1 The Balance Sheet and Banking Transactions = 16

  2.2 The Income Statement and the Margins = 19

  2.3 Mark-to-Market Measures of Performance = 20

  2.4 Risk-adjusted Performance = 21

 3. Risk Management = 23

  3.1 The Roles of Risk Management = 23

  3.2 The Risk management Process = 31

  3.3 Quantitative Risk Management: VAR and CAR = 34

  3.4 The Organization of Risk Management = 36

 4. Banking Regulations = 39

  4.1 Regulatory issues = 39

  4.2 Capital Adequacy = 42

  4.3 The Current Capital Regulation = 45

PART Ⅱ. MEASURING RISKS = 49

 5. Risk Measurement = 51

  5.1 Measuring Uncertainty = 52

  5.2 Sensitivity = 53

  5.3 Volatility = 56

  5.4 Unexpected Loss and VAR = 61

  5.5 Appendix 1: Calculation of Means and Standard Deviations = 64

 6. VAR = 66

  6.1 VAR, CAR and Risk Management = 66

  6.2 VAR and Common Indicators of Risks = 67

  6.3 Potential Loss = 68

  6.4 The Measurement of Unexpected Loss = 70

  6.5 Issues in Measuring VAR = 73

PART Ⅲ. CREDIT RISK = 79

 7. Credit Risk = 81

  7.1 Credit Risk = 81

  7.2 Credit Risk Management = 85

 8. Credit Risk for Banking Transactions = 90

  8.1 Default Risk = 90

  8.2 Exposure Risk =94

  8.3 Recovery Risk = 97

  8.4 Credit Risk and Potential Losses = 99

  8.5 Appendix 1: Default Probabilities over Varying Horizons = 101

  8.6 Appendix 2: The Term Structure of Default Risk = 103

  8.7 Appendix 3: Default Rates and Transition Matrices = 104

 9. Credit Risk for Market Instruments = 106

  9.1 Credit Risk for Market Instruments = 107

  9.2 Credit Risk for Derivatives = 107

  9.3 Implementation = 111

  9.4 Credit Risk Exposure for Portfolios of Derivatives = 113

PART Ⅳ. LIQUIDITY AND INTEREST RATE RISKS = 117

 10. The Liquidity Gap = 119

  10.1 The Liquidity Gap = 119

  10.2 Cash Matching = 123

  10.3 Liquidity Management = 127

  10.4 Issues for Determining the Liquidity Gap Time Profile = 131

 11. The Term Structure of Interest Rates = 134

  11.1 Interest Rates = 134

  11.2 The Term Structure of Interest Rates = 135

  11.3 Interest Rate Expectations = 138

  11.4 Liquidity and Costs of Liquidity = 142

 12. Interest Rate Gaps = 146

  12.1 The Interest Rate Gap = 146

  12.2 Marginal Interest Rate Gaps = 150

  12.3 The Risk-Reward Trade-off for Interest Rate Risk = 154

  12.4 Controlling Interest Rate Risk = 157

 13. The Limitations of Interest Rate Gaps = 160

  13.1 Determining Interest Rate Gaps = 160

  13.2 Interest Rate Gaps and Interest Indexes = 162

  13.3 Marginal Gaps and Intermediate Flows = 164

 14. Simulations = 169

  14.1 The Framework of Simulations = 170

  14.2 The Interest Rate Scenarios = 170

  14.3 Balance Sheet Projections = 172

  14.4 Projected Gap Profiles = 173

  14.5 Interest Margin Projections = 174

  14.6 Interest Rate Policy = 176

  14.7 Multiple Scenario Analysis with Business and Interest Rate Risks = 178

  14.8 The Simulations = 181

  14.9 Risk-Return Combinations = 184

  14.10 Simulations and Information = 186

PART Ⅴ. MARK-TO-MARKET VALUE MANAGEMENT = 189

 15. Market Values = 191

  15.1 The Discount Rates = 191

  15.2 NPV and Margins for a "Bank Without Capital" = 194

  15.3 Discounted Margins and NPV with Capital = 198

  15.4 NPV and the Market Value of Equity = 200

  15.5 Appendix: NPV and Discounted Margind = 201

 16. Market Values and Interest Rate Risk = 205

  16.1 The Sensitivity of Market Values and Duration = 205

  16.2 Immunization of the Interest Margin = 208

  16.3 The Duration Gap and the Targets of Interest Rate Policy = 208

  16.4 The VAR Derived from the NPV = 211

  16.5 Appendix: The Immunization of the Net Margin over a Period = 212

PART Ⅵ. QUANTITATIVE CAPITAL MANAGEMENT = 215

 17. Capital Requirements = 217

  17.1 The Required Profitability on Capital = 217

  17.2 Profitability Targets = 217

  17.3 Quantitative Constraints Generated by Regulatory Capital = 224

 18. Securitization and Capital Management = 226

  18.1 The Mechanism of Securitization = 226

  18.2 The Analysis of a Securitization Transaction = 229

  18.3 Securitization and the Return on Equity = 232

PART Ⅶ. RISK-BASED CAPITAL = 237

 19. CAR = 239

  19.1 The Limitations of Simple Approaches to CAR = 239

  19.2 The Measure of Economic Capital = 241

  19.3 Economic Capital and Solvency = 244

  19.4 Choice of a Horizon for the Measure of Capittal = 248

 20. Measuring CAR = 251

  20.1 Credit Risk = 251

  20.2 Market Risk = 257

  20.3 Interest Rate Risk = 258

  20.4 Aggregating Risks over Portfolios = 260

 21. Risk-adjusted Performance = 261

  21.1 Profitability Measures = 262

  21.2 Calculation of RAROC and SVA for Credit Risk = 265

  21.3 Risk-based Pricing = 268

  21.4 RAROC and Market Risk = 271

  21.5 The Price of Risk = 272

PART Ⅷ. PORTFOLIO CREDIT AND MARKET RISKS = 277

 22. The Risk of Portfolios = 279

  22.1 Measuring Risk Diversifacatopn = 279

  22.2 Standalone Risk and Risk Contribution = 283

  22.3 Risk Allocation and Management = 285

 23. Correlations and Portfolio Risk = 289

  23.1 Risks and Correlations = 289

  23.2 Correlation and Covariance = 291

  23.3 The Implementation of Correlations = 294

 24. Credit Risk of Portfolios = 298

  24.1 Standalone Risk and Portfolio Risk = 298

  24.2 Default Statistics and Portfolio Losses = 302

  24.3 Portfolio Loss with Diversified Risks = 304

  24.4 The Correlation Methodology and the Portfolio Credit Risk = 309

  24.5 From Individual Risks to Portfolio Losses = 311

  34.6 Appendix: The Corrlation Methodology = 314

 25. Market Risk of Portfolio = 316

  25.1 Correlations between Market Parameters and their Implications = 316

  25.2 The Volatility of the Portfolio Valuse = 319

  25.3 The Correlation Methodology = 320

  25.4 Interest Rate Exposures = 323

  25.5 The Multiple Simulations Methodology = 325

PART Ⅸ. FUNDS TRANSFER PRICING AND CAPITAL ALLOCATION = 329

 26. Funds Transfer Pricing Systems = 331

  26.1 The Internal Management of Funds and Netting = 332

  26.2 The Commercial and the Financial margins = 334

  26.3 Transfer Prices and Policy = 340

 27. Economic transfer Prices = 344

  27.1 Setting Target Margins = 344

  27.2 From Transfer Prices to Customer Prices = 347

  27.3 The Cost of Funds for Assets = 349

  27.4 The Separation of Commercial and Financial Risks = 353

PART Ⅹ. PORTFOLIO MANAGEMENT = 357

 28. The Management of Banking Portfolios = 359

  28.1 The Allocation of Capital = 359

  28.2 Risk=adjusted Performance = 362

  28.3 RAROC and Risk Pricing = 365

  28.4 Portfolio Management = 367

  28.5 Appendix: Quantitative Portfolio Management = 372

PART XI. IMPLICIT OPTIONS IN BANKING PRODUCTS = 375

 29. Embedded Options = 377

  29.1 Optional Risk: Two Examples = 377

  29.2 Modelling Prepayments = 378

  29.3 Gains and Losses from the Prepayment Option = 379

 30. The Value of Embedded Options = 384

  30.1 The Valuaion of Options = 384

  30.2 Generating Simulated Interest Rates = 386

  30.3 The Valuation of the Prepayment Option = 391

  30.4 The Option Adjusted Spread (OAS) = 395

 31. Convexity Risks = 398

  31.1 The market Value of the Balance Sheet and the Interest Rates = 398

  31.2 Duration and Convexity = 400

  31.3 The Sensitivity of NPV = 404

  31.4 The Impact of Embedded Options on the NPV = 406

  31.5 Controlling the Risk of NPV = 407

Bibliography = 411

Index = 421



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