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eISBN : 9780071821155

Sommaire : Foreword
Introduction to the Second Edition: Reforming Risk Management for the Post-Crisis Era
1. Risk Management: A Helicopter View
1.1 Typology of Risk Exposures
2. Corporate Risk Management: A Primer
3. Banks and Their Regulators: The Post-Crisis Regulatory Framework
3.1 Basel I
3.2 The 1996 Market Risk Amendment
3.3 Basel II and Minimum Capital Requirements for Credit Risk
3.4 Basel 2.5: Enhancements to the Basel II Framework
3.5 Contingent Convertible Bonds
4. Corporate Governance and Risk Management
5. A User-Friendly Guide to the Theory of Risk and Return
6. Interest Rate Risk and Hedging with Derivative Instruments
7. Measuring Market Risk: Value-at-Risk, Expected Shortfall, and Similar Metrics
8. Asset/Liability Management
9. Credit Scoring and Retail Credit Risk Management
10. Commercial Credit Risk and the Rating of Individual Credits
10.1 Definitions of Key Financial Ratios
11. Quantitative Approaches to Credit Portfolio Risk and Credit Modeling
11.1 The Basic Idea of the Reduced Form Model
12. The Credit Transfer Markets and Their Implications
12.1 Why the Rating of CDOs by Rating Agencies Was Misleading
13. Counterparty Credit Risk: CVA, DVA, and FVA
14. Operational Risk
15. Model Risk
16. Stress Testing and Scenario Analysis
16.1 The 2013 Dodd-Frank Severely Adverse Scenarios
17. Risk Capital Attribution and Risk-Adjusted Performance Measurement
Epilogue: Trends in Risk Management
Index

Langue : Anglais

Edition : 2ème

Lieu d'édition : QUEBEC

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque