Financial Risk Management: Applications in Market, Credit, Asset and Liability Management and Firmwide Risk

Preface

About this book

In recent years risk management has become one of the fastest growing disciplines in the banking industry. It is certainly fueled by the fundamental intermediary role that banks play in the economy that expands globally with significant complexity. It is also driven by more risk-seeking behavior of the industry in order to achieve more profits. Another important reason is the increasing sophistication of the quantitative capability, including both methodology and technology. There have been many books on quantitative risk management. Most of them focus on specialized subjects. Only few advanced financial risk management books are application-oriented.

This book evolved over a number of years as the authors worked in banks and software companies with risk management analytics development and risk systems implementation. Our experiences with development and implementation of risk analytics in banks globally have inspired us to write a comprehensive quantitative oriented risk management book from a practitioner's point of view. The book discusses models and applications in the areas of market, credit, asset and liability management, and firmwide risk. An introductory chapter also reviews the economic foundation of modern risk management and how it has reached the current stage, the evolution of regulatory practices, the construction of financial risk systems, and the growing importance of model risk management as banks are required to perform more and more ...