Includes bibliographical references (p. [762]-780) and index.

Banking Risks -- Banking Business Lines -- Banking Risks -- Risk Regulations -- Banking Regulations -- Risk Management Processes -- Risk Management Processes -- Risk Management Organization -- Risk Models -- Risk Measures -- VaR and Capital -- Valuation -- Risk Model Building Blocks -- Asset--Liability Management -- ALM Overview -- Liquidity Gaps -- The Term Structure of Interest Rates -- Interest Rate Gaps -- Hedging and Derivatives -- Asset--Liability Management Models -- Overview of ALM Models -- Hedging Issues -- ALM Simulations -- ALM and Business Risk -- ALM 'Risk and Return' Reporting and Policy -- Options and Convexity Risk in Banking -- Implicit Options Risk -- The Value of Implicit Options -- Mark-to-Market Management in Banking -- Market Value and NPV of the Balance Sheet -- NPV and Interest Rate Risk -- NPV and Convexity Risks -- NPV Distribution and VaR -- Funds Transfer Pricing -- FTP Systems -- Economic Transfer Prices -- Portfolio Analysis: Correlations -- Correlations and Portfolio Effects -- Market Risk -- Market Risk Building Blocks -- Standalone Market Risk -- Modelling Correlations and Multi-factor Models for Market Risk -- Portfolio Market Risk -- Credit Risk Models -- Overview of Credit Risk Models -- Credit Risk: 'Standalone Risk' -- Credit Risk Drivers -- Rating Systems -- Credit Risk: Historical Data -- Statistical and Econometric Models of Credit Risk -- The Option Approach to Defaults and Migrations -- Credit Risk Exposure -- From Guarantees to Structures -- Modelling Recoveries -- Credit Risk Valuation and Credit Spreads -- Standalone Credit Risk Distributions -- Credit Risk: 'Portfolio Risk' -- Modelling Credit Risk Correlations -- Generating Loss Distributions: Overview -- Portfolio Loss Distributions: Example -- Analytical Loss Distributions -- Loss Distributions: Monte Carlo Simulations -- Loss Distribution and Transition Matrices -- Capital and Credit Risk VaR -- Capital Allocation -- Capital Allocation and Risk Contributions -- Marginal Risk Contributions -- Risk-adjusted Performance -- Risk-adjusted Performance -- Risk-adjusted Performance Implementation -- Portfolio and Capital Management (Credit Risk) -- Portfolio Reporting -- Portfolio Applications -- Credit Derivatives: Definitions -- Applications of Credit Derivatives -- Securitization and Capital Management.

The measurement of risk is a complex task, despite recent advances in risk management tools. Nonetheless, although risk is not as easily quantifiable as revenues and costs, its importance is critical. This greatly expanded new edition of Jokl Bessis' seminal work "Risk Management in Banking" has been comprehensively revised and updated to take into account the changing face of risk management.

Extensive new material has been included to reflect new developments in the field and to broaden the scope of the work, making this a welcome update to an already successful book.

Wider reaching and more comprehensive, the second edition is an indispensable text for MBA students, practitioners in banking and financial services, bank regulators and auditors.