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Introduction ix
SECTION 1 Banking Risks 1
1 Banking Business Lines 3
2 Banking Risks 11
SECTION 2 Risk Regulations 23
3 Banking Regulations 25
SECTION 3 Risk Management Processes 51
4 Risk Management Processes 53
5 Risk Management Organization 67
SECTION 4 Risk Models 75
6 RiskMeasures 77
7 VaR and Capital 87
8 Valuation 98
9 Risk Model Building Blocks 113
SECTION 5 Asset–Liability Management 129
10 ALM Overview 131
11 Liquidity Gaps 136
12 The Term Structure of Interest Rates 151
13 Interest Rate Gaps 164
14 Hedging and Derivatives 180
vi CONTENTS
SECTION 6 Asset–Liability Management Models 191
15 Overview of ALM Models 193
16 Hedging Issues 201
17 ALM Simulations 210
18 ALM and Business Risk 224
19 ALM ‘Risk and Return’ Reporting and Policy 233
SECTION 7 Options and Convexity Risk in Banking 245
20 Implicit Options Risk 247
21 The Value of Implicit Options 254
SECTION 8 Mark-to-Market Management in Banking 269
22 Market Value and NPV of the Balance Sheet 271
23 NPV and Interest Rate Risk 280
24 NPV and Convexity Risks 289
25 NPV Distribution and VaR 300
SECTION 9 Funds Transfer Pricing 309
26 FTP Systems 311
27 Economic Transfer Prices 325
SECTION 10 Portfolio Analysis: Correlations 337
28 Correlations and Portfolio Effects 339
SECTION 11 Market Risk 357
29 Market Risk Building Blocks 359
30 Standalone Market Risk 363
31 Modelling Correlations and Multi-factor Models for Market Risk 384
32 Portfolio Market Risk 396
SECTION 12 Credit Risk Models 417
33 Overview of Credit Risk Models 419
SECTION 13 Credit Risk: ‘Standalone Risk’ 433
34 Credit Risk Drivers 435
35 Rating Systems 443
36 Credit Risk: Historical Data 451
37 Statistical and Econometric Models of Credit Risk 459
38 The Option Approach to Defaults and Migrations 479
CONTENTS vii
39 Credit Risk Exposure 495
40 From Guarantees to Structures 508
41 Modelling Recoveries 521
42 Credit Risk Valuation and Credit Spreads 538
43 Standalone Credit Risk Distributions 554
SECTION 14 Credit Risk: ‘Portfolio Risk’ 563
44 Modelling Credit Risk Correlations 565
45 Generating Loss Distributions: Overview 580
46 Portfolio Loss Distributions: Example 586
47 Analytical Loss Distributions 595
48 Loss Distributions: Monte Carlo Simulations 608
49 Loss Distribution and Transition Matrices 622
50 Capital and Credit Risk VaR 627
SECTION 15 Capital Allocation 637
51 Capital Allocation and Risk Contributions 639
52 Marginal Risk Contributions 655
SECTION 16 Risk-adjusted Performance 667
53 Risk-adjusted Performance 669
54 Risk-adjusted Performance Implementation 679
SECTION 17 Portfolio and Capital Management (Credit Risk) 689
55 Portfolio Reporting (1) 691
56 Portfolio Reporting (2) 701
57 Portfolio Applications 714
58 Credit Derivatives: Definitions 721
59 Applications of Credit Derivatives 733
60 Securitization and Capital Management 744
Bibliography 762
Index 781
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