TY  - BOOK
AU  - Skoglund,Jimmy
AU  - Chen,Wei
TI  - Financial risk management: applications in market, credit, asset and liability management and firmwide risk 
T2  - Wiley finance series
SN  - 9781119157236
AV  - HG173 
U1  - 658.15/5 23
PY  - 2015///]
CY  - Hoboken, New Jersey
PB  - John Wiley & Sons, Inc.
KW  - Financial institutions
KW  - Risk management
KW  - Banks and banking
KW  - Financial risk management
KW  - Electronic books
N1  - Includes bibliographical references and index; ''Series page'';''Title Page'';''Copyright'';''Table of Contents'';''Preface'';''About this book'';''Whom is this book for?'';''Outline of the book'';''Acknowledgments'';''Chapter 1: Introduction'';''Banks and Risk Management'';''Evolution of Bank Capital Regulation'';''Creating Value from Risk Management'';''Financial Risk Systems'';''Model Risk Management'';''Part One: Market Risk'';''Chapter 2: Market Risk with the Normal Distribution'';''Linear Portfolios'';''Quadratic Portfolios'';''Simulation-Based Valuation'';''Chapter 3: Advanced Market Risk Analysis''; ''Risk Measures, Risk Contributions, and Risk Information''''Modeling the Stylized Facts of Financial Time Series'';''Time Scaling VaR and VaR with Trading'';''Market Liquidity Risk'';''Scenario Analysis and Stress Testing'';''Portfolio Optimization'';''Developments in the Market Risk Internal Models Capital Regulation'';''Part Two: Credit Risk'';''Chapter 4: Portfolio Credit Risk'';''Issuer Credit Risk in Wholesale Exposures and Trading Book'';''Credit Models for the Banking Book'';''Firmwide Portfolio Credit Risk and Credit Risk Dependence'';''Credit Risk Stress Testing''; ''Features of New Generation Portfolio Credit Risk Models''''Hedging Credit Risk'';''Regulatory Capital for Credit Risk'';''Appendix'';''Chapter 5: Counterparty Credit Risk'';''Counterparty Pricing and Exposure'';''CVA Risks'';''Portfolios of Derivatives'';''Recent Counterparty Credit Risk Developments'';''Counterparty Credit Risk Regulation'';''Part Three: Asset and Liability Management'';''Chapter 6: Liquidity Risk Management with Cash Flow Models'';''Measurement of Liquidity Risk'';''Liquidity Exposure'';''Hedging the Liquidity Exposure'';''Structural Liquidity Planning''; ''Components of the Liquidity Hedging Program''''Cash Liquidity Risk and Liquidity Risk Measures'';''Regulation for Liquidity Risk'';''Chapter 7: Funds Transfer Pricing and Profitability of Cash Flows'';''Basic Funds Transfer Pricing Concept'';''Risk-Based Funds Transfer Pricing'';''Funds Transfer Rate and Risk Adjusted Returns'';''Profitability Measures and Decompositions'';''Banking Book Fair Value with Funds Transfer Rates'';''A Note on the Scope of Funds Transfer Pricing'';''Regulation and Profitability Analysis'';''Part Four: Firmwide Risk''; ''Chapter 8: Firmwide Risk Aggregation''''Correlated Aggregation and Firmwide Risk Levels'';''Mixed Copula Aggregation'';''Capital Allocation in Risk Aggregation'';''Risk Aggregation and Regulation'';''Chapter 9: Firmwide Scenario Analysis and Stress Testing'';''Firmwide Scenario Model Approaches'';''Firmwide Risk Capital Measures'';''Regulatory Stress Scenario Approach'';''The Future of Firmwide Stress Testing'';''References'';''Index'';''End User License Agreement''
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ER  -