Risk Management in Banking

- Introduction

SECTION 1. Banking Risks
- Banking Business Lines
- Banking Risks

SECTION 2. Risk Regulations
- Banking Regulations

SECTION 3. Risk Management Processes
- Risk Management Processes
- Risk Management Organization

SECTION 4. Risk Models
- Risk Measures
- VaR and Capital
- Valuation
- Risk Model Building Blocks

SECTION 5. Asset-Liability Management
- ALM Overview
- Liquidity Gaps
- The Term Structure of Interest Rates
- Interest Rate Gaps
- Hedging and Derivatives

SECTION 6. Asset-Liability Management Models
- Overview of ALM Models
- Hedging Issues
- ALM Simulations
- ALM and Business Risk
- ALM 'Risk and Return' Reporting and Policy

SECTION 7. Options and Convexity Risk in Banking
- Implicit Options Risk
- The Value of Implicit Options

SECTION 8. Mark-to-Market Management in Banking
- Market Value and NPV of the Balance Sheet
- NPV and Interest Rate Risk
- NPV and Convexity Risks
- NPV Distribution and VaR

SECTION 9. Funds Transfer Pricing
- FTP Systems
- Economic Transfer Prices

SECTION 10. Portfolio Analysis: Correlations
- Correlations and Portfolio Effects
- 11. Market Risk
- Market Risk Building Blocks
- Standalone Market Risk
- Modelling Correlations and Multi-factor Models for Market Risk
- Portfolio Market Risk

SECTION 12. Credit Risk Models
- Overview of Credit Risk Models

SECTION 13. Credit Risk: 'Standalone Risk'
- Credit Risk Drivers
- Rating Systems
- Credit Risk: Historical Data
- Statistical and Econometric Models of Credit Risk
- The Option Approach to Defaults and Migrations
- Credit Risk Exposure
- From Guarantees to Structures
- Modelling Recoveries
- Credit Risk Valuaiton and Credit Spreads
- Standalone Credit Risk Distributions

SECTION 14. Credit Risk: 'Portfolio Risk'
- Modelling Credit Risk Correlations
- Generating Loss Distributions: Overview
- Portfolio Loss Distriburtions: Example
- Analytical Loss Distributions
- Loss Distributions: Monte