Financial risk management : applications in market, credit, asset and liability management and firmwide risk / Jimmy Skoglund, Wei Chen.

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''

Description based on print version record and CIP data provided by publisher.