Risk Management de Michel Crouhy

Risk Management

Autor Michel Crouhy, Dan Galai, Robert Mark

en Limba Engleză Hardback – 16 dec 2000

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Specificații

ISBN-13: 9780071357319
ISBN-10: 0071357319
Pagini: 744
Dimensiuni: 160 x 241 x 46 mm
Greutate: 1.2 kg
Editura: McGraw Hill Education
Colecția McGraw-Hill
Locul publicării:United States

Cuprins

The Need for Risk Management Systems.

The New Regulatory and Corporate Environment.

Structuring and Managing the Risk Management Function in a Bank.

The New BIS Capital Requirements for Financial Risks.

Measuring Market Risk: The VaR Approach.

Measuring Market Risk: Extensions of the VaR Approach and Testing the Models.

Credit Rating Systems.

Credit Migration Approach to Measuring Credit Risk.

The Contingent Claim Approach to Measuring Credit Risk.

Other Approaches: The Actuarial and Reduced-form Approaches to Measuring Credit Risk.

Comparison of Industry-sponsored Credit Models and Associated Back-Testing Issues.

Hedging Credit Risk.

Managing Operational Risk.

Capital Allocation and Performance Measurement.

Model Risk.

Risk Management in Nonbank Corporations.

Risk Management in the Future.