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A risk professional's survival guide : applied best practices in risk management / / Clifford Rossi
| A risk professional's survival guide : applied best practices in risk management / / Clifford Rossi |
| Autore | Rossi Clifford |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (525 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley Finance Series |
| Soggetto topico | Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-95304-5
1-118-92237-9 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
A 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
RISK 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 A 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 COMMERCIAL 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 MODELING 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 LIQUIDITY MEASUREMENT |
| Record Nr. | UNINA-9910460066003321 |
Rossi Clifford
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A risk professional's survival guide : applied best practices in risk management / / Clifford Rossi
| A risk professional's survival guide : applied best practices in risk management / / Clifford Rossi |
| Autore | Rossi Clifford |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (525 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley Finance Series |
| Soggetto topico | Risk management |
| ISBN |
1-118-95304-5
1-118-92237-9 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
A 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
RISK 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 A 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 COMMERCIAL 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 MODELING 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 LIQUIDITY MEASUREMENT |
| Record Nr. | UNINA-9910787011903321 |
|
Rossi Clifford
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A risk professional's survival guide : applied best practices in risk management / / Clifford Rossi
| A risk professional's survival guide : applied best practices in risk management / / Clifford Rossi |
| Autore | Rossi Clifford |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (525 p.) |
| Disciplina | 658.15/5 |
| Collana | Wiley Finance Series |
| Soggetto topico | Risk management |
| ISBN |
1-118-95304-5
1-118-92237-9 |
| Classificazione | BUS036000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
A 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
RISK 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 A 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 COMMERCIAL 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 MODELING 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 LIQUIDITY MEASUREMENT |
| Record Nr. | UNINA-9910810558403321 |
|
Rossi Clifford
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||