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• Preface
• Acknowledgments
• About the Author
• CHAPTER 1 Navigating Risk at SifiBank
• Overview
• Financial Intermediation and Profit Maximization
• SifiBank Structure and History
• SifiBank Organizational Structure and Oversight Governance
• Bank Regulatory Landscape
• Summary
• Questions
• Notes
• CHAPTER 2 Overview of Financial Risk Management
• Risk Management Defined
• Elements of Risk Management
• Risk Identification and Typology
• Risk Measurement
• Risk Analysis
• Risk Mitigation
• Summary
• Questions
• CHAPTER 3 Risk Governance and Structure
• SifiBank’s Risk Governance—The Early Years
• Prescriptions for Strong Risk Governance
• Questions
• Notes
• CHAPTER 4 Economic Capital, Risk-Adjusted Performance, and Capital Allocation
• SifiBank’s Business Problem
• Economic Capital and Value-at-Risk
• Stress Testing and Scenario Analysis
• Risk-Adjusted Performance Measurement
• Risk-Adjusted Performance Optimization
• Summary
• Questions
• Notes
• CHAPTER 5 Credit Risk Theory
• Overview
• Portfolio Credit Risk Dynamics
• Analytic Methods for Credit Portfolio Assessment
• Counterparty Risk
• Summary
• Questions
• Notes
• CHAPTER 6 Consumer Credit Risk Measurement
• Overview
• Measuring Product Expected Loss
• Incorporating Borrower Options Into Risk Views and Competing Risk Assessment
• Loss Severity
• Generating Credit Loss Estimates
• Loan Loss Reserving and Forecasting
• Unexpected Loss
• Summary
• Questions
• Notes
• CHAPTER 7 Commercial Credit Risk Overview
• SifiCommercial Lending Division
• Developing Risk Ratings
• Risk-Rating Scorecard Process
• Loan Review Process
• Rating CRE Loans
• Commercial Loan Syndication
• Summary
• Questions
• CHAPTER 8 Credit Risk Mitigation
• Overview
• Insurance Contracts
• Credit Derivatives and Risk Mitigation
• Credit Default Swap Mechanics
• Credit-Linked Note Mechanics
• Collateralized Debt Obligation Mechanics
• Credit Hedging Outcomes
• Summary
• Questions
• CHAPTER 9 Interest Rate Risk
• Overview of SifiBank’s Interest Rate Risk Exposure
• Principal Components Analysis
• Analytic VaR Measurement of Interest Rate Risk
• Monte Carlo VaR Interest Rate Risk Methods
• Modeling Interest Rate Risk of More Complex Instruments
• Summary
• Questions
• Notes
• CHAPTER 10 Market Risk
• Calculating VaR for a Portfolio
• Simulation Analysis and VaR
• Position Limits Policies
• VaR Limitations and Issues
• Summary
• Questions
• CHAPTER 11 Liquidity Risk Management
• SifiBank’s Exposure to Liquidity Risk
• SifiBank’s Approach to Liquidity Risk Management
• Stress Testing the Liquidity Profile
• Liquidity Contingency Planning
• Liquidity Measurement
• Summary
• Questions
• Notes
• CHAPTER 12 Market Risk Hedging
• Overview
• Hedging Principles and Basics
• Hedging Using Futures Contracts
• Rolling Hedges and Risks
• Hedging Using Options
• Delta Hedging
• Summary
• Questions
• Notes
• CHAPTER 13 Hedging Interest Rate Risk
• Overview
• Hedge Instrument Alternatives
• Summary
• Questions
• Note
• CHAPTER 14 Operational Risk Management
• Overview
• Internal Controls Assessment
• Quantitative Assessment of Operational Risk
• Regulatory Standards
• Cyber-Security Risk
• Summary
• Questions
• Notes
• CHAPTER 15 Model, Regulatory, Legal, and Reputational Risk Management
• Overview
• Model Risk
• Data Errors
• Model Assumptions
• Risk Layering
• Guarding against Model Risk
• Regulatory Risk
• Legal Risk
• Reputation Risk
• Summary
• Questions
• Note
• CHAPTER 16 Toward Integrated Risk Management
• Overview
• Defining Integrated Risk Management
• Key Risk Integration Points
• Aligning Risk Infrastructure with Risk-Taking
• Summary
• Questions
• Answer Key
• Chapter 1
• Chapter 2
• Chapter 3
• Chapter 4
• Chapter 5
• Chapter 6
• Chapter 7
• Chapter 8
• Chapter 9
• Chapter 10
• Chapter 11
• Chapter 12
• Chapter 13
• Chapter 14
• Chapter 15
• Chapter 16
• Index
• End User License Agreement