Applied Risk Management as a Science and an Art
Up–and–coming risk management practitioners need a new framework and so does everyone else. After 2008, we understand the limitations of lopsidedly quantitative risk analysis in excruciating detail. A Risk Professional′s Survival Guide takes a more balanced tack. Complex equations are no substitute for judgment and experience, and knowing how to use the right equations at the right time is invaluable.
A Risk Professional′s Survival Guide is appropriate for readers with technical backgrounds as well as general or executive readers. It follows the risk management story of SifiBank, a fictional, too–big–to–fail financial institution that is rethinking risk on the heels of a significant bailout. Using synthetic data, including SifiBank′s detailed balance sheets, you′ll be able to work through realistic problems and see how the results ripple throughout the business.
For those who want to get their hands dirty, Excel/VBA workbooks are available as an interactive add–on. Chapter overviews and summaries will be of interest to executives and practitioners in need of a desk reference. A Risk Professional′s Survival Guide is a must read whether you are a risk professional or executive.
About the Author xiii
CHAPTER 1 Navigating Risk at Sifi Bank 1
CHAPTER 2 Overview of Financial Risk Management 33
CHAPTER 3 Risk Governance and Structure 61
CHAPTER 4 Economic Capital, Risk–Adjusted Performance, and Capital Allocation 83
CHAPTER 5 Credit Risk Theory 115
CHAPTER 6 Consumer Credit Risk Measurement 145
CHAPTER 7 Commercial Credit Risk Overview 193
CHAPTER 8 Credit Risk Mitigation 223
CHAPTER 9 Interest Rate Risk 255
CHAPTER 10 Market Risk 287
CHAPTER 11 Liquidity Risk Management 311
CHAPTER 12 Market Risk Hedging 345
CHAPTER 13 Hedging Interest Rate Risk 375
CHAPTER 14 Operational Risk Management 405
CHAPTER 15 Model, Regulatory, Legal, and Reputational Risk Management 431
CHAPTER 16 Toward Integrated Risk Management 461
Answer Key 477