Financial Risk Management: Applications In Market, Credit, Asset And Liability Management And Firmwide Risk

Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system.

Risk management is one of the fastest growing segments 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. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner.

• Compute and manage market, credit, asset, and liability risk
• Get up to date on regulatory practices and model risk management
• Examine the structure and construction of financial risk systems
• Delve into funds transfer pricing, profitability analysis, and more

Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal.Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

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.