Risk Management and Shareholders’ Value in Banking pdf

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[...]... sophisticated in the world today based on modern value at risk (VaR) principles In a sense, the authors and their surroundings grew-up together Perhaps the major motivations to the modern treatment of risk management in banking were the regulatory efforts of the BIS in the mid-to-late 1990’s – first with respect to market risk in 1995 and then dealing with credit risk, and to a lesser extent operational risk, in. .. bank and which report risk exposures directly to senior management and the board of directors Larger or more complex banks should have a designated independent unit responsible for the design and administration of the bank’s interest rate risk measurement, monitoring, and control functions 6 Risk Management and Shareholders’ Value in Banking Adequate risk management policies and procedures 4: It is... nations who are responsible for evaluating the adequacy and effectiveness of interest rate risk management systems developed by banks under their supervision The 12 principles address the role of boards of directors and senior management; policies and procedures for managing interest rate risk; systems for measuring and monitoring risk, and for internal controls; and information to be provided to supervisory... Recovery risk 12.7 The link between default risk and recovery risk Selected Questions and Exercises Appendix 12A The Relationship between PD and RR in the Merton model 356 358 362 364 13 Rating Systems 13.1 Introduction 13.2 Rating assignment 13.2.1 Internal ratings and agency ratings: how do they differ? 13.2.2 The assignment of agency ratings 13.2.3 Rating assessment in bank internal rating systems... bank is exposed to reinvestment risk Therefore, interest rate risk in its broadest sense can be defined as the risk that changes in market interest rates impact the profitability and economic value of a bank Note that this risk does not derive solely from the circumstances described above (i.e possible changes in flows of interest income and expenses, and in the market value of assets and liabilities brought... for trading on the secondary market with the aim of making capital gains.2 Nonetheless, interest rate risk pertains to all positions in the bank’s assets and liabilities portfolio (namely, the banking book ) To measure this risk we have to consider all interest-earning and interest-bearing financial instruments and contracts on both sides of the balance sheet, as well as any derivatives whose value depends... of OR 17.3 Measuring OR 17.3.1 Identifying the risk factors 17.3.2 Mapping business units and estimating risk exposure 17.3.3 Estimating the probability of the risky events 17.3.4 Estimating the losses 17.3.5 Estimating expected loss 17.3.6 Estimating unexpected loss 17.3.7 Estimating Capital at Risk against OR 17.4 Towards an OR management system 17.5 Final remarks Selected Questions and Exercises Appendix... importance of measuring and managing interest rate risk at a consolidated level By doing so, the Basel Committee acknowledges that interest rate risk can be adequately appraised and managed only by taking into account the bank as a whole, instead of focusing on individual areas Lastly, the risk measurement system should be integrated into the day-to-day management of the bank Accordingly, any criteria... 22–23 xxiv Risk Management and Shareholders’ Value in Banking Parts I–IV will deal with the main classes of risks that affect a bank’s profitability and solvency The first one is interest rate risk (Part I, Chapters 1–4), arising from the different maturity structure of the banks’ traditional assets and liabilities (the so-called banking book”) The models and approaches developed by academics and practitioners... conditions including the breakdown of key assumptions – and consider those results when establishing and reviewing their policies and limits for interest rate risk 9: Banks must have adequate information systems for measuring, monitoring, controlling, and reporting interest rate exposures Reports must be provided on a timely basis to the bank’s board of directors, senior management and, where appropriate, individual . alt="" Risk Management and Shareholders’ Value in Banking For other titles in the Wiley Finance Series please see www.wiley.com/finance Risk Management and Shareholders’ Value in Banking From Risk. management and shareholders’ value in banking : from risk measurement models to capital allocation policies / Andrea Sironi and Andrea Resti. p. cm. Includes bibliographical references and index. ISBN. Measuring OR 517 17.3.1 Identifying the risk factors 518 17.3.2 Mapping business units and estimating risk exposure 518 17.3.3 Estimating the probability of the risky events 519 17.3.4 Estimating
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Xem thêm: Risk Management and Shareholders’ Value in Banking pdf, Risk Management and Shareholders’ Value in Banking pdf, Risk Management and Shareholders’ Value in Banking pdf, 6 Summary: the ideal features of an ITR system, 2 An example of backtesting: a stock portfolio VaR, 4 Six “False Shortcomings” of VaR, 5 Uses, limitations and problems of credit-scoring models, 2 OR: How can we define it?, 4 Positions in equity securities: specific and generic requirements, 3 Pillar One: The Standard Approach to Credit Risk, 5 Pillar Two: A New Role for Supervisory Authorities

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