Risk management is one of the fastest growing functions of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. Financial Risk Management came from the authors' desire to compile their extensive experience in developing and implementing risk analytics in banks around the globe to provide a comprehensive, quantitative-oriented risk management guide specifically for practitioners.

Risk professionals with a quantitative background can elevate their skill set and value with this book's highly focused coverage on application. Beginning with sufficient reviews of the economic foundation of modern risk management and its current state, advanced material dissects three silos of risk management—market, credit, and asset and liability management—and then looks at the realities of working in the big picture firmwide. This practical, holistic view of risk management is reinforced by cross-referencing methodologies in different risk categories and dedicating two entire chapters to firmwide risk aggregation, scenario analysis, and stress testing. It's easy to integrate into a bank's business practices when you can:

• Incorporate market illiquidity in market risk models
• Analyze and interpret optimal portfolio hedges and replicate portfolios for future risk measurement and management
• Extend credit models to include macroeconomic information and use these models in calculating economic capital and stress testing
• Price and measure counterparty credit risk
• Execute advanced analysis and optimal models of liquidity hedging and structural liquidity planning
• Use fund transfer pricing to advance traditional asset and liability management in terms of granularity, cost of risks, and optionality
• Measure firmwide risk using top-down and bottom-up approaches
• Perform firmwide macroeconomic stress testing and make informed decisions based on the results

From quantitative methodology and risk analytics to the risk based decision framework connecting your management plan to the entire business operations of a bank— Financial Risk Management is your solution to real-world success.

Risk management is one of the fastest growing functions of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. Financial Risk Management came from the authors' desire to compile their extensive experience in developing and implementing risk analytics in banks around the globe to provide a comprehensive, quantitative-oriented risk management guide specifically for practitioners.

Risk professionals with a quantitative background can elevate their skill set and value with this book's highly focused coverage on application. Beginning with sufficient reviews of the economic foundation of modern risk management and its current state, advanced material dissects three silos of risk management?market, credit, and asset and liability management?and then looks at the realities of working in the big picture firmwide. This practical, holistic view of risk management is reinforced by cross-referencing methodologies in different risk categories and dedicating two entire chapters to firmwide risk aggregation, scenario analysis, and stress testing. It's easy to integrate into a bank's business practices when you can:

• Incorporate market illiquidity in market risk models
• Analyze and interpret optimal portfolio hedges and replicate portfolios for future risk measurement and management
• Extend credit models to include macroeconomic information and use these models in calculating economic capital and stress testing
• Price and measure counterparty credit risk
• Execute advanced analysis and optimal models of liquidity hedging and structural liquidity planning
• Use fund transfer pricing to advance traditional asset and liability management in terms of granularity, cost of risks, and optionality
• Measure firmwide risk using top-down and bottom-up approaches
• Perform firmwide macroeconomic stress testing and make informed decisions based on the results

From quantitative methodology and risk analytics to the risk based decision framework connecting your management plan to the entire business operations of a bank? Financial Risk Management is your solution to real-world success.