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Fundamentals of Risk Measurement von Marrison, Chris (eBook)

  • Erscheinungsdatum: 27.06.2002
  • Verlag: McGraw-Hill
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Fundamentals of Risk Measurement

TABLE OF CONTENTSChapter 1: The Basics of Risk ManagementThis chapter introduces how banks work. It describes how they make money, how they often lose money, and how they try to manage their losses. It includes thirteen short case studies showing how banks have lost money.Chapter 2: Risk Measurement at the Corporate Level: Economic Capital and RAROCChapter Two discusses the meaning of capital and how the risks that a bank faces are related to the amount of capital that the bank should hold. It then describes the two fundamental building blocks of integrated risk measurement: Economic Capital and Risk Adjusted Return on Capital (RAROC). Chapter 3: Review of StatisticsChapter Three is useful for those readers who do not have a recent working knowledge of statistics. It reviews the statistical relationships that are commonly used in risk measurement and provides reference material for the rest of the book. Examples are provided using financial loss data.MARKET RISK SECTIONChapter 4: Background on Traded InstrumentsThis chapter gives an overview of the main types of traded instruments: bonds, equities and derivatives. It gives a qualitative description of the instrument, examples of calculating the instrument's value and the basic risk metrics such as duration and the Greeks. This chapter is useful for those readers who are new to the finance industry.Chapter 5: Market Risk MeasurementThis chapter describes the most common ways to measure market risks: Sensitivity analysis, Stress testing, Scenario testing, Sharpe Ratio and Value at Risk. It gives detailed examples of using each of the metrics. Chapter 6: The Three Common Approaches for Calculating Value at RiskValue at Risk (VaR) has become the standard approach for measuring market risk. This chapter is devoted to explaining the details of the three common approaches to calculating VaR: Parametric VaR, Historical VaR and Monte Carlo VaR. We work though increasingly complex examples and compare the strengths of each approach. (Note: many readers will be particularly interested in this chapter because the name "VaR" is well known and has a certain mystery)Chapter 7: Value at Risk ContributionThe Value at Risk Contribution (VaRC) is a useful way of pinpointing the source of the portfolio's risk. VaRC can break down the risk by instrument, trading desk or market risk factor. Examples are given for several types of VaRC.Chapter 8: Testing VaR Results to Ensure Proper Risk MeasurementThis chapter discusses the procedures required by regulators to backtest VaR calculators to check that their predictions of losses are consistent with market events.Chapter 9: Calculating Capital for Market RiskVaR is used as the basis for calculating both Regulatory Capital and Economic Capital for Market Risks. In this chapter VaR also extended to measure the risk of Asset Management operations.Chapter 10: Overcoming VaR LimitationsAlthough VaR is the best single metric for market risks, is has several limitations. The limitations and typical solutions are discussed in this chapter.Chapter 11: The Management of Market RiskThis chapter concludes the market risk section by describing how the results of risk measurement are used by management to identify the sources of risk. It also describes the process of setting VaR Limits. (Note: readers should be particularly interested in VaR Limits because it is difficult and an important element in controlling a bank's risk).ASSET/LIABILITY MANGEMENT SECTIONChapter 12: Introduction to Asset Liability ManagementAsset 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 ALMThis chapter discussed the primary techniques used to measure interest rate risk


    Format: ePUB
    Kopierschutz: AdobeDRM
    Erscheinungsdatum: 27.06.2002
    Sprache: Englisch
    ISBN: 9780071736886
    Verlag: McGraw-Hill
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