| Description |
1 online resource (219 p.) |
| Series |
The Wiley Finance Series |
|
The Wiley Finance Series
|
| Contents |
Cover -- Title Page -- Copyright -- Brief Contents -- Foreword -- Acknowledgements -- List of Acronyms and Symbols -- Introduction -- Part I Navigating Banking Regulation -- Chapter 1 A Brief History of the Basel Framework -- Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio -- Capital Adequacy -- Worked Example 1: Computation of the Cooke Ratio -- Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks -- The Advent of Market Risk -- Computing the Capital Charge for Credit and Market Risks -- Worked Example 2: Computation of the Extended Cooke Ratio |
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Chapter 4 Implementation of the Basel II Framework -- The Three Pillars -- Worked Example 3: Computation of the McDonough Solvency Ratio -- The Internal Ratings-Based Approach to Credit Risk -- Chapter 5 A Guided Tour of the Basel III Framework -- The Rationale for a New Regulatory Framework -- Strengthening the Regulatory Capital Framework -- A New Global Liquidity Standard -- Supplementing the Risk-Based Capital Requirement with a Leverage Ratio -- Capital Buffers -- Coping with Tail Risk -- Chapter 6 Climate-Related Financial Risks -- Part II The Financial Risk Measurement Landscape |
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Chapter 7 Historical Approach to Risk -- Step-by-Step Calculation of Historical VaR -- Understanding a VaR Result -- The Worst Mistake You Can Make -- Do You Speak Mark-to-Market? -- Beyond VaR -- Chapter 8 The Gaussian Framework -- The Core Equation -- The Covariance Matrix -- The Quantile of the Standardized Gaussian Distribution -- The Expected Return Term -- The Gaussian VaR -- The Gaussian ES -- Chapter 9 A Brief Overview of Monte Carlo Simulation -- Chapter 10 Risk Contribution -- Risk Decomposition of the Gaussian VaR -- Risk Decomposition of the Gaussian ES |
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Risk Decomposition of the Historical VaR -- Risk Decomposition of the Historical ES -- Chapter 11 Shortcomings of Risk Metrics -- The Problem of Stationarity -- Volatility Modelling -- The Gaussian Assumption is Seductive but Dangerous -- Taming Fat Tails and Skewness -- Chapter 12 Ex-Post Evaluation of a Risk Model: Backtesting -- Chapter 13 A Forward-Looking Evaluation of Risk: Stress Testing -- The Return Period -- Historical Stress Scenarios -- Part III Getting Conduct Risk to Scale -- Chapter 14 The Big Picture of Conduct Risk -- Chapter 15 Markers of Conduct Risk |
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Chapter 16 Worked Example 7: Building a Conduct Risk Score -- Matching Risk Markers with Conduct Risk Pillars -- Setting Thresholds -- Calculation and Customization of the CRS -- Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes -- Conduct Risk Culture and Behaviours -- Clarifying Good and Bad Behaviours -- Measuring How Far a Risk-Taker is From Good Conduct -- Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index -- Overview -- Calculation of a Negative Conduct Risk Marker Score -- Scores Aggregation and Full Offsetting -- Positive Conduct Risk Marker Scores |
| Notes |
Description based upon print version of record |
|
Calculation of the Overall Scores |
| Form |
Electronic book
|
| ISBN |
9781119885313 |
|
1119885310 |
|
