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Item Title:

The Fundamentals of Risk Measurement- Christopher Marrison-Used


Books, Comics, Magazines



Item Condition: Used
Current Time:25 Oct 16 19:18:12
Time & Date displayed is forUnited States - EDT
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Item Specifics - Books ISBN : 9780071386272
Author : Christopher Marrison
0.90 16753734 The Fundamentals of Risk Measurement http://medium.snazal.com/?9780071386272 http://large.snazal.com/?9780071386272 Christopher Marrison 9780071386272 9780071386272 Media Books 24.78 The Fundamentals
Lot # 16753734
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Line Position: 4091
Position In File: 8012
Source Text: #x2019;s risk).ASSET/LIABILITY MANGEMENT SECTIONChapter 12: Introduction to Asset Liability Management Asset Liability Management (ALM) is primarily concerned with the interest rate and liquidity risks that are created when commercial banks take in short term deposits from customers and give out long term loans. This chapter describes how those risks arise and the risk characteristics of different types of deposits and loans. Chapter 13: Measurement of Interest Rate Risk for ALM This chapter discussed the primary techniques used to measure interest rate risk: Gap reports, Rate shift scenarios and SimulationsChapter 14: Funding Liquidity Risk in ALM The measurement of liquidity risk is broken into three groups: expected, unusual and crisis events. Measurement techniques are given for each group.Chapter 15: Funds Transfer Pricing and the Management of ALM Risks A key use of asset/liability measurement is the calculation of the fair price at which funds should be lent from one department to another within a bank. This is one of the keys to integrated risk measurement and is a critical component in measuring risk-adjusted profitability and setting prices to customers. A typical balance sheet is used to illustrate how transfer pricing works in detail. CREDIT RISK SECTIONChapter 16: Introduction to Credit Risk This chapter discusses the sources of credit risk and how measurement is used to manage the risksChapter 17: Types of Credit Structure For readers who are unfamiliar with lending operations, we discuss the ways that credit exposures are structured in commercial and retail lending. It also describes the calculation of credit exposure for derivatives trading operations and gives an overview of credit derivatives.Chapter 18: Risk Measurement for a Single Facility This chapter shows how the Expected Loss and Unexpected Loss for a loan can be calculated from the Probability of Default, Loss In the Event of Default, Exposure at Default and the Grade Migration Matrix.Chapter 19: Estimating Parameter Values for Single Facilities One of the main difficulties in credit risk measurement is the estimation of values for Probability of Default, Loss Given Default and Exposure at Default. This chapter discusses estimation techniques such as Discriminant Analysis and the Merton Model. It also gives parameter values that can be used as the basis for the reader’s own models. The parameter values are used in examples to demonstrate how the credit risk calculations are used.Chapter 20: Risk Measurement For A Credit Portfolio: Part One To estimate the overall risk for a portfolio many credit instruments, we must examine the correlation between losses. This chapter describes the Covariance Credit Portfolio Model and the different approaches available for estimating default correlations. It also describes how the correlations can be used to estimate the Unexpected Loss Contribution and the Economic Capital for a single facility within a portfolio.Chapter 21: Risk Measurement For A Credit Portfolio: Part Two This chapter describes the four other widely used approaches for estimating the risk of credit portfolios: the actuarial model, the Merton-based simulation model, the macro economic default model and the macro economic cashflow model used for structured and project finance. It concludes with a section describing how the models can be combined in a unified framework to create an integrated simulation of all the bank’s risksChapter 22: Risk Adjusted Performance and Pricing for Loans Knowing the economic capital for a loan, this chapter shows how to calculate the minimum price that should be charged to a loan customer. The analysis shows how to include multi-year effects such as grade migration. Illustrative examples are included. (Note: this chapter should be of interest to readers because loan pricing is another difficult and important subject that is rarely discussed in other books)Chapter 23: Regulatory Capital for Credit Risk The Basel Committee on Banking Supervision (often called the BIS) is planning fundam

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