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'Risk Management in Banking' is a comprehensive reference for the risk management industry, covering all aspects of the field. Now in its fourth edition, this useful guide has been updated with the latest information on ALM, Basel 3, derivatives, liquidity analysis, market risk, structured products, credit risk, securitizations, and more. The new companion website features slides, worked examples, a solutions manual, and the new streamlined, modular approach allows readers to easily find the information they need. Coverage includes asset liability management, risk-based capital, value at risk, loan portfolio management, capital allocation, and other vital topics, concluding with an examination of the financial crisis through the utilisation of new views such as behavioural finance and nonlinearity of risk. Considered a seminal industry reference since the first edition's release, 'Risk Management in Banking' has been streamlined for easy navigation and updated to reflect the changes in the field, while remaining comprehensive and detailed in approach and coverage. from publisher.

Foreword --- Preface --- About the author --- 1. Risk and risk management --- 2. Banking regulations overview --- 3. Balance sheet management --- 4. Liquidity management --- 5. Interest rate gaps --- 6. Hedging and gap management --- 7. Economic value of the banking book --- 8. Convexity risk in banking --- 9. Convexity risk: the case of mortgages --- 10. Funds transfer pricing systems --- 11. Returns, random shocks and value-at-risk --- 12. Portfolio risk and factor models --- 13. Delta-normal VaR and historical VaR --- 14. Extensions of traditional VaR --- 15. Volatility --- 16. Simulation of interest rates --- 17. Market risk regulations --- 18. Credit risk --- 19. Credit risk data --- 20. Scoring models and credit ratings --- 21. Default models --- 22. Counterparty credit risk --- 23. Credit event dependencies --- 24. Credit portfolio risk: analytics --- 25. Credit portfolio risk: simulations --- 26. Credit risk regulations --- 27. Capital allocation and risk contributions --- 28. Risk-adjusted performance measures --- 29. Credit derivatives --- 30. Securitization --- References --- Index..