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Risk management / by Michel Crouhy, Dan Galai, Robert Mark.

By: Crouhy, Michel, 1944-.
Contributor(s): Galai, Dan | Mark, Robert.
Publisher: New York : McGraw-Hill, c2001Description: xxiii, 717 p. : ill. ; 24 cm.ISBN: 0071357319 (hbk.); 9780071357319 (hbk.).Subject(s): Risk managementDDC classification: 658.155
Contents:
Foreword / Robert C. Merton -- Introduction / John Hunkin -- Ch. 1. The Need for Risk Management Systems -- Ch. 2. The New Regulatory and Corporate Environment -- Ch. 3. Structuring and Managing the Risk Management Function in a Bank -- Ch. 4. The New BIS Capital Requirements for Financial Risks -- Ch. 5. Measuring Market Risk: The VaR Approach -- Ch. 6. Measuring Market Risk: Extensions of the VaR Approach and Testing the Models -- Ch. 7. Credit Rating Systems -- Ch. 8. Credit Migration Approach to Measuring Credit Risk -- Ch. 9. The Contingent Claim Approach to Measuring Credit Risk -- Ch. 10. Other Approaches: The Actuarial and Reduced-Form Approaches to Measuring Credit Risk -- Ch. 11. Comparison of Industry-Sponsored Credit Models and Associated Back-Testing Issues -- Ch. 12. Hedging Credit Risk -- Ch. 13. Managing Operational Risk -- Ch. 14. Capital Allocation and Performance Measurement -- Ch. 15. Model Risk -- Ch. 16. Risk Management in Nonbank Corporations -- Ch. 17. Risk Management in the Future.
Item type Current location Shelf location Call number Copy number Status Notes Date due Barcode
Main Collection Taylor's Library-TU

Floor 4, Shelf 24 , Side 2, TierNo 1, BayNo 3

658.155 CRO (Browse shelf) 1 Available UNISA, 240836 5000009370
Main Collection Taylor's Library-TU

Floor 4, Shelf 24 , Side 2, TierNo 1, BayNo 3

658.155 CRO (Browse shelf) 1 Available UNISA, 240728 5000133620
Main Collection Taylor's Library-TU
658.155 CRO (Browse shelf) 1 Available TBSxx,18002,03,GR 5000000775

Also available online via the World Wide Web, by subscription to ebrary.

Includes bibliographical references (p. 693-707) and index.

Foreword / Robert C. Merton -- Introduction / John Hunkin -- Ch. 1. The Need for Risk Management Systems -- Ch. 2. The New Regulatory and Corporate Environment -- Ch. 3. Structuring and Managing the Risk Management Function in a Bank -- Ch. 4. The New BIS Capital Requirements for Financial Risks -- Ch. 5. Measuring Market Risk: The VaR Approach -- Ch. 6. Measuring Market Risk: Extensions of the VaR Approach and Testing the Models -- Ch. 7. Credit Rating Systems -- Ch. 8. Credit Migration Approach to Measuring Credit Risk -- Ch. 9. The Contingent Claim Approach to Measuring Credit Risk -- Ch. 10. Other Approaches: The Actuarial and Reduced-Form Approaches to Measuring Credit Risk -- Ch. 11. Comparison of Industry-Sponsored Credit Models and Associated Back-Testing Issues -- Ch. 12. Hedging Credit Risk -- Ch. 13. Managing Operational Risk -- Ch. 14. Capital Allocation and Performance Measurement -- Ch. 15. Model Risk -- Ch. 16. Risk Management in Nonbank Corporations -- Ch. 17. Risk Management in the Future.

Australian Degree Programme : BANK3003