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Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk (Wiley Finance) By Jimmy Skog

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Sales Rank: #1001070 in Books
Published on: 2015-10-12
Original language: English
Number of items: 1
Dimensions: 10.31" h x 1.75" w x 7.50" l, .0 pounds
Binding: Hardcover
576 pages

From the Inside Flap

Risk management is one of the fastest growing functions of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. Financial Risk Management came from the authors' desire to compile their extensive experience in developing and implementing risk analytics in banks around the globe to provide a comprehensive, quantitative-oriented risk management guide specifically for practitioners.

Risk professionals with a quantitative background can elevate their skill set and value with this book's highly focused coverage on application. Beginning with sufficient reviews of the economic foundation of modern risk management and its current state, advanced material dissects three silos of risk management—market, credit, and asset and liability management—and then looks at the realities of working in the big picture firmwide. This practical, holistic view of risk management is reinforced by cross-referencing methodologies in different risk categories and dedicating two entire chapters to firmwide risk aggregation, scenario analysis, and stress testing. It's easy to integrate into a bank's business practices when you can:

Incorporate market illiquidity in market risk models
Analyze and interpret optimal portfolio hedges and replicate portfolios for future risk measurement and management
Extend credit models to include macroeconomic information and use these models in calculating economic capital and stress testing
Price and measure counterparty credit risk
Execute advanced analysis and optimal models of liquidity hedging and structural liquidity planning
Use fund transfer pricing to advance traditional asset and liability management in terms of granularity, cost of risks, and optionality
Measure firmwide risk using top-down and bottom-up approaches
Perform firmwide macroeconomic stress testing and make informed decisions based on the results

From quantitative methodology and risk analytics to the risk based decision framework connecting your management plan to the entire business operations of a bank— Financial Risk Management is your solution to real-world success.

From the Back Cover

"The Skoglund and Chen book, Financial Risk Management: Applications in Market, Credit, Asset and Liability Management, and Firmwide Risk, provides the practitioner with a comprehensive and integrated set of quantitative models along with numerous examples that add significant value to the tactical and strategic management of financial risk. The book provides invaluable insight to the economics underlying the models and guides practitioners on a path towards making informed risk-adjusted return decisions that fit their appetite for risk. The book is highly recommended for practitioners, researchers, and students who want to gain a deep appreciation of the real-world uses of financial risk management models."

—Dr. Bob Mark, Managing Partner, Black Diamond Risk Enterprises

A practitioner's guide to banking risk management worldwide

Financial Risk Management gives practitioners everything they need to anticipate, mitigate, and manage risk in the modern banking industry. Written by the leaders of global banking risk products and management at SAS, this everyday guidebook provides the most up-to-date information and expert insight into practical risk management, including comprehensive examinations of the stress tests performed by the U.S. Federal Reserve and the European Banking Authority. Practice-oriented discussions provide the essential strategies, skills, and tools you need to implement the covered methods immediately to begin developing a robust risk management system. Through the collective experience of the authors as well as the banking and risk-technology experts they work with, you gain a competitive edge with world-class exposure to:

Techniques for computing and managing market, credit, and asset and liability risk
The latest information on regulatory practices and the requirements to risk models
The insight to apply firmwide risk management and stress testing techniques
The ins and outs of risk adjusted profitability, capital allocation, optimal decision, and more

Instead of providing a broad overview of approaches for you to assess yourself through trial and error, this time-saving guide only gives you the risk models and applications the authors found most useful in their own research and actual implementation at a variety of banks. You can't prepare for what you're not looking at, and Financial Risk Management shows you how to keep an eye on risk throughout an organization so you always know your precise position.

About the Author

Jimmy Skoglund is principal product manager of global risk products at SAS. He has more than fifteen years of market experience developing and implementing risk methodologies, and his articles have appeared in such publications as the Journal of Risk, Journal of Banking and Finance, and Journal of Risk Management in Financial Institutions. Jimmy holds a PhD from the Stockholm School of Economics.

Wei Chen is director of stress testing solutions at SAS. He has more than fifteen years' experience in risk analytics and technology in banking and insurance, and he is an associate editor of the Journal of Risk Model Validation. His publications have appeared in several journals including Journal of Risk and Journal of Risk Model Validation. Wei holds a PhD from the University of Iowa.

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