Includes bibliographical references and index.

Risk Management in Banking; Contents; Foreword; Preface; About the Author; 1: Risks and Risk Management; 1.1 UNCERTAINTY, RISK AND EXPOSURE TO RISK; 1.2 BROAD CLASSES OF FINANCIAL RISK; 1.2.1 Credit Risk; 1.2.2 Market Risk; 1.2.3 Liquidity Risk; 1.2.4 Interest Rate Risk; 1.2.5 Foreign Exchange Risk; 1.2.6 Solvency Risk; 1.2.7 Operational Risk; 1.3 BUSINESS LINES IN BANKING; 1.4 BANKING REGULATIONS AND ACCOUNTING STANDARDS; 1.5 RISK MANAGEMENT; 1.5.1 Motivations; 1.5.2 The Risk Processes; 1.5.2.1 Credit Risk Limits and Delegations; 1.5.2.2 Market Risk and Trading Activities 1.5.3 Risk Management Organization and Roles1.5.3.1 The Risk Department and the ``Three Lines of Defense ́́Model; 1.5.3.2 The Asset and Liability Management Department; 1.5.3.3 Enterprise-wide Risk Management (ERM); 2: Banking Regulations Overview; 2.1 REGULATION PRINCIPLES; 2.2 CAPITAL ADEQUACY; 2.3 SOME LESSONS OF THE FINANCIAL CRISIS; 2.3.1 Liquidity; 2.3.2 Fair Value; 2.3.3 Solvency; 2.3.4 Pro-cyclicality; 2.3.5 Securitizations and Contagion of Credit Risk; 2.3.6 Rating Agencies and Credit Enhancers; 2.4 THE RESPONSES OF REGULATORS TO THE FINANCIAL CRISIS 3: Balance Sheet Management and Regulations3.1 THE NEW REGULATORY RATIOS; 3.1.1 Capital Adequacy; 3.1.2 The Liquidity Coverage Ratio (LCR); 3.1.3 The Net Stable Funding Ratio (NSFR); 3.1.4 The Leverage Ratio; 3.2 COMPLIANCE OF A COMMERCIAL BALANCE SHEET: EXAMPLE; 3.2.1 Capital Base; 3.2.2 Risk Weights, Asset Mix and Capital; 3.2.3 Compliance with NSFR; 3.2.4 LCR Compliance; 3.3 CREATION OF VALUE; 4: Liquidity Management and Liquidity Gaps; 4.1 LIQUIDITY AND LIQUIDITY RISK; 4.1.1 Liquidity and Financing; 4.1.2 Liquidity Risk in the Banking Book; 4.2 LIQUIDITY GAP TIME PROFILES 4.3 TYPES OF LIQUIDITY GAPS4.4 MANAGING INCREMENTAL GAPS; 4.5 DYNAMIC LIQUIDITY GAPS; 4.6 FUNDING LIQUIDITY MANAGEMENT; 4.7 LIQUIDITY CRISES AND STRESS SCENARIOS; 5: Interest Rate Gaps; 5.1 INTEREST RATE RISK; 5.1.1 Interest Rate Risk, the Term Structure and Mismatch Risk; 5.2 INTEREST RATE GAPS; 5.3 CALCULATIONS OF INTEREST RATE GAP; 5.3.1 Calculation of Interest Rate Gaps; 5.3.2 Mapping Interest Rates to Selected Risk Factors; 5.3.3 Sample Gap Reports; 5.4 THE GAP MODEL; 5.5 NET INTEREST INCOME AND INTEREST RATE GAPS; 5.6 GAP MANAGEMENT AND HEDGING; 5.7 LIMITATIONS OF INTEREST RATE GAPS 5.7.1 Customers' Rates5.7.2 Regulated Rates; 5.7.3 Embedded Options; 5.8 APPENDIX: GAPS AND INTEREST RATE SENSITIVITY; 6: Hedging and Gap Management; 6.1 THE TRADE-OFFS OF GAP MANAGEMENT; 6.2 MANAGING INTEREST RATE GAPS WITH INTEREST RATE DERIVATIVES; 6.3 MANAGING INTEREST RATE GAPS; 6.4 SETTING LIMITS TO GAPS; 6.5 HEDGING THE VARIATIONS OF THE TERM STRUCTURE OF INTEREST RATES (CASE STUDY); 6.6 HEDGING BUSINESS RISK AND INTEREST RATE RISK; 7: Economic Value of the Banking Book; 7.1 ECONOMIC VALUE AND ITS SENSITIVITY; 7.2 ECONOMIC VALUE AND NET INTEREST INCOME; 7.2.1 Sample Bank Balance Sheet.

The seminal guide to risk management, streamlined and updated Risk Management in Banking is a comprehensive reference for the risk management industry, covering all aspects of the field. Now in its fourth edition, this useful guide has been updated with the latest information on ALM, Basel 3, derivatives, liquidity analysis, market risk, structured products, credit risk, securitizations, and more. The new companion website features slides, worked examples, a solutions manual, and the new streamlined, modular approach allows readers to easily find the information they need. Coverage includes asset liability management, risk-based capital, value at risk, loan portfolio management, capital allocation, and other vital topics, concluding with an examination of the financial crisis through the utilisation of new views such as behavioural finance and nonlinearity of risk. Considered a seminal industry reference since the first edition's release, Risk Management in Banking has been streamlined for easy navigation and updated to reflect the changes in the field, while remaining comprehensive and detailed in approach and coverage. Students and professionals alike will appreciate the extended scope and expert guidance as they: Find all "need-to-know" risk management topics in a single text Discover the latest research and the new practices Understand all aspects of risk management and banking management See the recent crises - and the lessons learned - from a new perspective Risk management is becoming increasingly vital to the banking industry even as it grows more complex. New developments and advancing technology continue to push the field forward, and professionals need to stay up-to-date with in-depth information on the latest practices. Risk Management in Banking provides a comprehensive reference to the most current state of the industry, with complete information and expert guidance.

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