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Christopher Marrison

The Fundamentals of Risk Measurement

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ISBN: 0071386270, 9780071386272
Издательство: McGraw-Hill
Год издания: 2002
Страниц: 416
TABLE OF CONTENTS Chapter 1 : The Basics of Risk Management This chapter introduces how banks work. It describes how they make money, how they often lose money, and how they try to manage their losses. It includes thirteen short case studies showing how banks have lost money. Chapter 2 : Risk Measurement at the Corporate Level: Economic Capital and RAROC Chapter Two discusses the meaning of capital and how the risks that a bank faces are related to the amount of capital that thebank should hold. It then describes the two fundamental building blocks of integrated risk measurement: Economic Capital and Risk Adjusted Return on Capital (RAROC). Chapter 3 : Review of Statistics Chapter Three is useful for those readers whodo not have a recent working knowledge of statistics. It reviews the statistical relationships that are commonly used in risk measurement and provides reference material for the rest of the book. Examples are provided using...
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