LEADER 06750nam 2200685 450 001 9910460066003321 005 20200520144314.0 010 $a1-118-95304-5 010 $a1-118-92237-9 035 $a(CKB)3710000000264691 035 $a(EBL)1822532 035 $a(OCoLC)893731931 035 $a(SSID)ssj0001370147 035 $a(PQKBManifestationID)11896701 035 $a(PQKBTitleCode)TC0001370147 035 $a(PQKBWorkID)11292684 035 $a(PQKB)11650400 035 $a(MiAaPQ)EBC1822532 035 $a(DLC) 2014018147 035 $a(Au-PeEL)EBL1822532 035 $a(CaPaEBR)ebr10960592 035 $a(CaONFJC)MIL654922 035 $a(OCoLC)879469587 035 $a(EXLCZ)993710000000264691 100 $a20141106h20142014 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 12$aA risk professional's survival guide $eapplied best practices in risk management /$fClifford Rossi 210 1$aHoboken, New Jersey :$cWiley,$d2014. 210 4$dİ2014 215 $a1 online resource (525 p.) 225 1 $aWiley Finance Series 300 $aIncludes index. 311 $a1-118-04595-5 311 $a1-322-23642-9 327 $aA Risk Professional's Survival Guide; Contents; Preface; Acknowledgments; About the Author; CHAPTER 1 Navigating Risk at Sifi Bank; OVERVIEW; FINANCIAL INTERMEDIATION AND PROFIT MAXIMIZATION; SIFIBANK STRUCTURE AND HISTORY; SIFIBANK ORGANIZATIONAL STRUCTURE AND OVERSIGHT GOVERNANCE; Lines of Business; Sifi Bank Balance Sheet Composition; Industry Structure and Competition; BANK REGULATORY LANDSCAPE; SUMMARY; QUESTIONS; CHAPTER 2 Overview of Financial Risk Management; RISK MANAGEMENT DEFINED; Situational Risk Management; ELEMENTS OF RISK MANAGEMENT; RISK IDENTIFICATION AND TYPOLOGY 327 $aRISK MEASUREMENTRISK ANALYSIS; RISK MITIGATION; SUMMARY; QUESTIONS; CHAPTER 3 Risk Governance and Structure; SIFIBANK'S RISK GOVERNANCE-THE EARLY YEARS; Criteria for Effective Risk Management; A Theory of Risk Governance; PRESCRIPTIONS FOR STRONG RISK GOVERNANCE; QUESTIONS; CHAPTER 4 Economic Capital, Risk-Adjusted Performance, and Capital Allocation; SIFIBANK'S BUSINESS PROBLEM; ECONOMIC CAPITAL AND VALUE-AT-RISK; STRESS TESTING AND SCENARIO ANALYSIS; RISK-ADJUSTED PERFORMANCE MEASUREMENT; RISK-ADJUSTED PERFORMANCE OPTIMIZATION; SUMMARY; QUESTIONS; CHAPTER 5 Credit Risk Theory; OVERVIEW 327 $aA Theory of DefaultPORTFOLIO CREDIT RISK DYNAMICS; ANALYTIC METHODS FOR CREDIT PORTFOLIO ASSESSMENT; COUNTERPARTY RISK; SUMMARY; QUESTIONS; CHAPTER 6 Consumer Credit Risk Measurement; OVERVIEW; MEASURING PRODUCT EXPECTED LOSS; INCORPORATING BORROWER OPTIONS INTO RISK VIEWS AND COMPETING RISK ASSESSMENT; LOSS SEVERITY; GENERATING CREDIT LOSS ESTIMATES; LOAN LOSS RESERVING AND FORECASTING; UNEXPECTED LOSS; SUMMARY; QUESTIONS; CHAPTER 7 Commercial Credit Risk Overview; SIFICOMMERCIAL LENDING DIVISION; DEVELOPING RISK RATINGS; RISK-RATING SCORECARD PROCESS; LOAN REVIEW PROCESS; RATING CRE LOANS 327 $aCOMMERCIAL LOAN SYNDICATIONSUMMARY; QUESTIONS; CHAPTER 8 Credit Risk Mitigation; OVERVIEW; INSURANCE CONTRACTS; CREDIT DERIVATIVES AND RISK MITIGATION; CREDIT DEFAULT SWAP MECHANICS; CREDIT-LINKED NOTE MECHANICS; COLLATERALIZED DEBT OBLIGATION MECHANICS; CREDIT HEDGING OUTCOMES; SUMMARY; QUESTIONS; CHAPTER 9 Interest Rate Risk; OVERVIEW OF SIFIBANK'S INTEREST RATE RISK EXPOSURE; Duration Models; Extensions of the Duration Model; PRINCIPAL COMPONENTS ANALYSIS; ANALYTIC VAR MEASUREMENT OF INTEREST RATE RISK; MONTE CARLO VAR INTEREST RATE RISK METHODS 327 $aMODELING INTEREST RATE RISK OF MORE COMPLEX INSTRUMENTSSUMMARY; QUESTIONS; CHAPTER 10 Market Risk; CALCULATING VAR FOR A PORTFOLIO; SIMULATION ANALYSIS AND VAR; POSITION LIMITS POLICIES; VAR LIMITATIONS AND ISSUES; SUMMARY; QUESTIONS; CHAPTER 11 Liquidity Risk Management; SIFIBANK'S EXPOSURE TO LIQUIDITY RISK; SIFIBANK'S APPROACH TO LIQUIDITY RISK MANAGEMENT; Building a Static Maturity Ladder; STRESS TESTING THE LIQUIDITY PROFILE; Scenario 1: Systemic Risk Event; Scenario 2: Sector-Specific Risk Event; Scenario 3: Sifi Bank-Specific Risk Event; LIQUIDITY CONTINGENCY PLANNING 327 $aLIQUIDITY MEASUREMENT 330 $a"Balanced, practical risk management for post - financial crisis institutionsFundamentals of Risk Management fills a critical gap left by existing risk management texts. Instead of focusing only on quantitative risk analysis or only on institutional risk management, this book takes a comprehensive approach. The disasters of the recent financial crisis taught us that managing risk is both an art and a science, and it is critical for practitioners to understand how individual risks are integrated at the enterprise level.This book is the only resource of its kind to introduce all of the key risk management concepts in a cohesive case study spanning each chapter. A hypothetical bank drawn from elements of several real world institutions serves as a backdrop for topics from credit risk and operational risk to understanding big-picture risk exposure. You will be able to see exactly how each rigorous concept is applied in actual risk management contexts. Fundamentals of Risk Management includes: Supplemental Excel-based Visual Basic (VBA) modules, so you can interact directly with risk models Clear explanations of the importance of risk management in preventing financial disasters Real world examples and lessons learned from past crises Risk policies, infrastructure, and activities that balance limited quantitative models This book provides the element of hands-on application necessary to put enterprise risk management into effective practice. The very best risk managers rely on a balanced approach that leverages every aspect of financial operations for an integrative risk management strategy. With Fundamentals of Risk Management, you can identify and control risk at an expert level"--$cProvided by publisher. 330 $a"Takes a comprehensive approach to risk management, leveraging every aspect of financial operations to develop an integrative, expert risk management strategy. Introduces all of the key risk management concepts in a cohesive case study spanning each chapter"--$cProvided by publisher. 410 0$aWiley finance series. 606 $aRisk management 608 $aElectronic books. 615 0$aRisk management. 676 $a658.15/5 686 $aBUS036000$2bisacsh 700 $aRossi$b Clifford$01028477 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910460066003321 996 $aA risk professional's survival guide$92444497 997 $aUNINA