Foreword vii
Preface ix
About the Author xi
1 Risks and Risk Management 1
2 Banking Regulations Overview 13
3 Balance Sheet Management and Regulations 21
4 Liquidity Management and Liquidity Gaps 31
5 Interest Rate Gaps 43
6 Hedging and Gap Management 57
7 Economic Value of the Banking Book 67
8 Convexity Risk in Banking 81
9 Convexity Risk: The Case of Mortgages 91
10 Funds Transfer Pricing Systems 109
11 Returns, Random Shocks and Value-at-Risk 123
12 Portfolio Risk and Factor Models 135
13 Delta-normal VaR and Historical VaR 149
14 Extensions of Traditional VaR 159
15 Volatility 169
16 Simulation of Interest Rates 179
17 Market Risk Regulations 189
18 Credit Risk 199
19 Credit Risk Data 211
20 Scoring Models and Credit Ratings 221
21 Default Models 237
22 Counterparty Credit Risk 253
23 Credit Event Dependencies 263
24 Credit Portfolio Risk: Analytics 271
25 Credit Portfolio Risk: Simulations 283
26 Credit Risk Regulations 293
27 Capital Allocation and Risk Contributions 303
28 Risk-adjusted Performance Measures 315
29 Credit Derivatives 323
30 Securitizations 331
References 345
Index 351
