상세정보

As the huge demand for new and improved services continues to grow, bankers face the difficult challenge of reducing risk and uncertainty at a time of unprecedented innovation and prosperity.

정보제공 :

CONTENTS

Foreword / by Alan Brown = xi

Preface = xiii

Acknowledgements = xvi

1 Risk and reward = 1

 1.1 A definition of risk = 2

 1.2 A statistical definition of risks? = 3

 1.3 It is not always risk of loss = 5

 1.4 What to do about risk = 5

 1.5 Reward for risk = 6

 1.6 The return = 6

 1.7 Expected loss = 7

 1.8 Equity capital allocated to the risk = 8

 1.9 Reward for risk : the synthesis = 9

 1.10 Required rate of return : cost of equity = 9

 1.11 Warning on required rate of return = 11

 1.12 Summary = 12

 Appendix : Volatility and the standard deviation = 13

2 What are the banking risks? = 15

 2.1 Proposed framework = 16

 2.2 But what about all the others? = 16

 2.3 'Pure' and 'speculative' risk = 18

 2.4 Which of these categories is most threatening to a bank? = 19

 2.5 Conclusion = 22

3 Solvency risk = 24

 3.1 Economic equity capital : a historical perspective = 26

 3.2 Does overcapitalisation matter? =30

 3.3 Capital adequacy regulation : the Basle approach = 31

 3.4 Further evolution : the European capital adequacy directive = 35

 3.5 Regulation versus self-assessment = 38

 3.6 Moral hazard = 39 3.7 Capital allocation within a bank = 40

 3.8 Capital adequacy and sustainable growth = 42

 3.9 When capital overshoots regulatory／prudential requirements = 46

 3.10 Capital adequacy and monetary inflation = 47

 3.11 Cross-currency effects = 48

 3.12 Book capital versus market capitalisation = 48

 3.13 Summary = 49

 Appendix : Main elements in Basle／Bank of England capital adequacy formula, first phase = 50

4 Liquidity risk = 55

 4.1 Liquidity management = 56

 4.2 Expected cash flow = 57

 4.3 Capacity to borrow in the market = 59

 4.4 Stock of readily available high quality liquid assets = 60

 4.5 Cross-currency, cross-border = 62

 4.6 Regulatory approaches = 62

 4.7 Systemic risk = 64

 4.8 Derivative instruments and systemic risk = 67

 4.9 Derivatives angst = 71

 4.10 But do derivatives increase systemic risk? = 72

 4.11 Asset and liability management (ALM) = 73

 4.12 Summary = 75

5 Credit risk : policy overview = 77

 5.1 Credit culture = 79

 5.2 Authority, sanctioning and decision-making = 81

 5.3 The risk epitome = 85

 5.4 Types of exposure and their quantification = 86

 5.5 Conventional exposures = 88

 5.6 Credit equivalent exposures = 89

 5.7 Daylight／settlement exposures = 91

 5.8 Netting = 93

 5.9 Lenders and environmental liability = 96

 5.10 Confidentiality and conflicts of interest = 100

 5.11 Summary = 102

6 Credit risk : analysing the portfolio = 103

 6.1 Diversification of risk = 104

 6.2 Industry sector analysis = 108

 6.3 Exposure ceilings on individual names = 111

 6.4 Credit grading : evolution = 112

 6.5 Credit grading : today's model = 113

 6.6 Uses of credit grading = 116

 6.7 Country grading - transfer risk = 118

 6.8 Expert system = 120

 6.9 Credit scoring = 122

 6.10 Artificial intelligence models presaging corporate failure = 125

 6.11 Summary = 127

7 Credit risk : changing the portfolio = 128

 7.1 The traditional methods = 129

 7.2 Asset trading = 130

 7.3 Asset securitisation = 131

 7.4 Securitisation : customer as seller = 133

 7.5 Securitisation : bank as originator, seller and servicer = 137

 7.6 Capital markets alternatives = 138

 7.7 Special purpose vehicles for swaps business = 139

 7.8 Floating off the bad bank = 141

 7.9 Hedging possibilities = 142

 7.10 Summary = 144

8 Interest rate risk : structural exposure = 145

 8.1 Managing structural exposure : what is the objective? = 146

 8.2 Yield curves and associated risks = 149

 8.3 Mismatch／gap management = 151

 8.4 Shortcomings of Static gap analysis = 154

 8.5 Duration analysis = 155

 8.6 Simulation analysis = 157

 8.7 Summary = 158

9 Interest rate risk : trading exposure = 160

 9.1 Open Position sensitivity analysis = 162

 9.2 Value at risk = 164

 9.3 Stress-testing = 166

 9.4 Problems with value at risk = 166

 9.5 Summary = 168

10 Price risks = 169

 10.1 Risks associated with foreign exchange trading = 170

 10.2 Dimensions of the foreign exchange market = 171

 10.3 Foreign exchange price risk = 174

 10.4 The banking community and equity risks = 177

 10.5 Equity price risk = 179

 10.6 Portfolio diversification : systematic versus specific risk = 181

 10.7 Proprietary trading = 182

 10.8 Control of the dealing room = 184

 10.9 Summary = 186

 Appendix : Salient points from 'Risk Management Guidelines for Derivatives' = 187

11 Operating risks = 191

 11.1 A new impetus = 192

 11.2 An immature science = 193

 11.3 Getting to grips with operating risks = 194

 11.4 External versus internal insurance= 197

 11.5 Card fraud = 197

 11.6 'Phantom' cash withdrawals = 201

 11.7 General fraud = 202

 11.8 Money laundering = 204

 11.9 Concentrated risks in processing centres = 206

 11.10 Dealing rooms = 207

 11.11 Business continuity planning = 207

 11.12 Key Personnel risk = 209

 11.13 Co-ordinating the effort = 211

 11.14 Summary = 212

12 Conclusion : organising risk management

 12.1 Co-ordination of risk management responsibilities = 218

 12.2 The role of internal and external audit = 220

 12.3 Staff : employment, deployment and motivation = 221

 12.4. Managing customers' risk = 224

 12.5 Summary = 225

Bibliography and further reading = 227

Glossary of financial terms = 229

Index = 232