Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition > The Control of Interest Rate Risk (3): The Economic Value at Risk - Pg. : Safari Books Online

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Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition

Asset and Liability Management: The Banker’s Guide to Value Creation and Risk Control, Second Edition

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Contents

Financial Times Prentice Hall

About the Authors

Acknowledgments

Stage 1. Banking Services and Balance Sheet

Stage 2. Value Creation for Shareholders

Stage 3. ROE Breakdown

Stage 4. Profit Centre Management

Stage 5. Profit Allocation and Fund Transfer Pricing for Deposits and Loans

Stage 6. The Capital Adequacy Regulation, Basel I

Stage 7. Loan Pricing (1): The ‘Equity’ Spread

Stage 8. The Capital Adequacy Regulation, Basel II

Stage 9. Loan Pricing (2): Credit Risk and Loan-Loss Provisions

Stage 10. Securitization

Stage 11. Value Creation: A Summary

Stage 12. The Control of Interest Rate Risk (1): The Repricing Gaps

Stage 13. The Control of Interest Rate Risk (2): The Simulation Model

Stage 14. Forwards and Financial Futures

Stage 15. The Control of Interest Rate Risk (3): The Economic Value at Risk

Bank solvency and the economic value of equity

The economic value of equity at risk

Two measures of interest rate risk

Stage 16. The Control of Liquidity Risk

Stage 17. Options

Stage 18. Credit Derivatives

Stage 19. The Aggregation of Risks and Risk Diversification

Stage 20. Asset and Liability Management: An Art, Not a Science

Appx. A. Software

Appx. B. Answers to Exercises

Appx. C. Glossary

Appx. D. References

URL

Help

Stage 15. The Control of Interest Rate Risk (3): The Economic Value at Risk

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