The Fundamentals of Risk Measurement

1st Edition
0071736883 · 9780071736886
A step-by-step guidebook for understanding—and implementing—integrated financial risk measurement and managementThe Fundamentals of Risk Measurement introduces the state-of-the-art tools and practices necessary for planning, executing, and mainta… Read More
US$49.50
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Chapter 1: The Basics of Risk Management

Chapter 2: Risk Measurement at the Corporate Level: Economic Capital and RAROC

Chapter 3: Review of Statistics

MARKET RISK SECTION

Chapter 4: Background on Traded Instruments

Chapter 5: Market Risk Measurement

Chapter 6: The Three Common Approaches for Calculating Value at Risk

Chapter 7: Value at Risk Contribution

Chapter 8: Testing VaR Results to Ensure Proper Risk Measurement

Chapter 9: Calculating Capital for Market Risk

Chapter 10: Overcoming VaR Limitations

Chapter 11: The Management of Market Risk

ASSET/LIABILITY MANGEMENT SECTION

Chapter 12: Introduction to Asset Liability Management

Chapter 13: Measurement of Interest Rate Risk for ALM

Chapter 14: Funding Liquidity Risk in ALM

Chapter 15: Funds Transfer Pricing and the Management of ALM Risks

CREDIT RISK SECTION

Chapter 16: Introduction to Credit Risk

Chapter 17: Types of Credit Structure

Chapter 18: Risk Measurement for a Single Facility

Chapter 19: Estimating Parameter Values for Single Facilities

Chapter 20: Risk Measurement For A Credit Portfolio: Part One

Chapter 21: Risk Measurement For A Credit Portfolio: Part Two

Chapter 22: Risk Adjusted Performance and Pricing for Loans

Chapter 23: Regulatory Capital for Credit Risk

OPERATING RISK SECTION

Chapter 24: Operating risk

INTEGRATED RISK SECTION

Chapter 25: Inter-risk Diversification and Bank-Level RAROC