Authors: Joel Bessis
ISBN-13: 9780470019122, ISBN-10: 0470019123
Format: Hardcover
Publisher: Wiley, John & Sons, Incorporated
Date Published: February 2010
Edition: (Non-applicable)
Joël Bessisis is Professor of Finance at HEC, 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. Joël worked for over fifteen years in risk management departments of financial institutions – as a consultant to the risk departments of several banking institutions in Europe, including Banque Paribas and the European Bank for Development (EIB). Joël took a leave of absence from HEC Paris between 2000 and 2005 where he held positions as Director of Research at Fitch, and Head of Risk Analytics and Model Validation at the Risk Department of IXIS, a Paris based investment bank. Joël graduated as an Engineer from École Centrale in Paris, before earning a Masters in Business Administration from Columbia University in New York, and a PhD in Finance from the Université Paris-Dauphine. As an academic, Joël has published various papers and books in the fields of corporate finance, industrial economics, and financial markets.
“Highly recommended to professionals, risk managers and students in risk management who look for a relevant comprehensive view of how risk management expands and evolves towards greater sophistication.”
Alain Canac, former Senior Credit Officer at Banque Paribas and IXIS Corporate & Investment Bank
“The recent global financial crisis has highlighted the need for all participants in the banking system to understand and intelligently utilize risk management. Updated and expanded, the new edition of Bessis’s Risk Management in Banking is the best overall guide to the concepts and tools needed to avoid the next banking crisis. Bessis reveals his roots as both academic and practitioner by his combination of intellectual rigor and pragmatic application. Concisely integrating a wide body of work within a comprehensive analytic framework, the careful exposition as well as practical illustrations will be appreciated by students and bankers alike. Highly recommended!”
Stephen Kealhofer, Co-founder of KMV Corporation
“Risk Management in Banking has been a constant companion in my work. Over my career I have developed three different corporate risk management programs and have found Dr. Bessis’ writing to be highly valuable and especially practical. This updated edition expands greatly on previous volumes and benefits from recent international experiences which have greatly challenged some approaches to the understanding of risk. It is essential reading for those managing risks in today’s complex banking environment.”
David R. Koenig, Chief Executive Officer, The Governance Fund, LLC and Past Chair, Board of Directors, Professional Risk Managers’ International Association (PRMIA)
Characterizing banks as "risk machines," Bessis (finance, HEC School of Management, Paris) presents a risk management toolbox for quantifying, monitoring, and hopefully controlling the spectrum of risks that challenge financial institutions. In a modular approach to banking risks, regulations (applicable to internationally active banks in the G10 countries), and management processes, he discusses and graphically charts the underlying concepts and statistical and econometric models yielding risk-return profiles, plus their application. Includes an example of portfolio loss distributions, and a substantial bibliography. The author is in charge of risk analytics at a French firm. Annotation c. Book News, Inc., Portland, OR (booknews.com)
Introduction | ||
Sect. 1 | Banking Risks | 1 |
1 | Banking Business Lines | 3 |
2 | Banking Risks | 11 |
Sect. 2 | Risk Regulations | 23 |
3 | Banking Regulations | 25 |
Sect. 3 | Risk Management Processes | 51 |
4 | Risk Management Processes | 53 |
5 | Risk Management Organization | 67 |
Sect. 4 | Risk Models | 75 |
6 | Risk Measures | 77 |
7 | VaR and Capital | 87 |
8 | Valuation | 98 |
9 | Risk Model Building Blocks | 113 |
Sect. 5 | Asset - Liability Management | 129 |
10 | ALM Overview | 131 |
11 | Liquidity Gaps | 136 |
12 | The Term Structure of Interest Rates | 151 |
13 | Interest Rate Gaps | 164 |
14 | Hedging and Derivatives | 180 |
Sect. 6 | Asset - Liability Management Models | 191 |
15 | Overview of ALM Models | 193 |
16 | Hedging Issues | 201 |
17 | ALM Simulations | 210 |
18 | ALM and Business Risk | 224 |
19 | ALM 'Risk and Return' Reporting and Policy | 233 |
Sect. 7 | Options and Convexity Risk in Banking | 245 |
20 | Implicit Options Risk | 247 |
21 | The Value of Implicit Options | 254 |
Sect. 8 | Mark-to-Market Management in Banking | 269 |
22 | Market Value and NPV of the Balance Sheet | 271 |
23 | NPV and Interest Rate Risk | 280 |
24 | NPV and Convexity Risks | 289 |
25 | NPV Distribution and VaR | 300 |
Sect. 9 | Funds Transfer Pricing | 309 |
26 | FTP Systems | 311 |
27 | Economic Transfer Prices | 325 |
Sect. 10 | Portfolio Analysis: Correlations | 337 |
28 | Correlations and Portfolio Effects | 339 |
Sect. 11 | Market Risk | 357 |
29 | Market Risk Building Blocks | 359 |
30 | Standalone Market Risk | 363 |
31 | Modelling Correlations and Multi-factor Models for Market Risk | 384 |
32 | Portfolio Market Risk | 396 |
Sect. 12 | Credit Risk Models | 417 |
33 | Overview of Credit Risk Models | 419 |
Sect. 13 | Credit Risk: 'Standalone Risk' | 433 |
34 | Credit Risk Drivers | 435 |
35 | Rating Systems | 443 |
36 | Credit Risk: Historical Data | 451 |
37 | Statistical and Econometric Models of Credit Risk | 459 |
38 | The Option Approach to Defaults and Migrations | 479 |
39 | Credit Risk Exposure | 495 |
40 | From Guarantees to Structures | 508 |
41 | Modelling Recoveries | 521 |
42 | Credit Risk Valuation and Credit Spreads | 538 |
43 | Standalone Credit Risk Distributions | 554 |
Sect. 14 | Credit Risk: 'Portfolio Risk' | 563 |
44 | Modelling Credit Risk Correlations | 565 |
45 | Generating Loss Distributions: Overview | 580 |
46 | Portfolio Loss Distributions: Example | 586 |
47 | Analytical Loss Distributions | 595 |
48 | Loss Distributions: Monte Carlo Simulations | 608 |
49 | Loss Distribution and Transition Matrices | 622 |
50 | Capital and Credit Risk VaR | 627 |
Sect. 15 | Capital Allocation | 637 |
51 | Capital Allocation and Risk Contributions | 639 |
52 | Marginal Risk Contributions | 655 |
Sect. 16 | Risk-adjusted Performance | 667 |
53 | Risk-adjusted Performance | 669 |
54 | Risk-adjusted Performance Implementation | 679 |
Sect. 17 | Portfolio and Capital Management (Credit Risk) | 689 |
55 | Portfolio Reporting (1) | 691 |
56 | Portfolio Reporting (2) | 701 |
57 | Portfolio Applications | 714 |
58 | Credit Derivatives: Definitions | 721 |
59 | Applications of Credit Derivatives | 733 |
60 | Securitization and Capital Management | 744 |
Bibliography | 762 | |
Index | 781 |