Value Added Risk Management In Financial Institutions

Author: David P. Belmont
Publisher: Wiley
ISBN:
Size: 41.57 MB
Format: PDF, ePub, Docs
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Value Added Risk Management In Financial Institutions. A new perspective on risk management Risk management has evolved to address the more strategic issue of optimization of return on risk. This has been accompanied by statistical, mathematical, and financial techniques which-when actively applied-can aid an institution in producing disproportionately high returns on risk. Adding Value Through Risk Management aims to describe these techniques, illustrate their application, and discuss their strategic value for financial institutions. David Belmont is Director of Group Risk Control for Nexgen Financial Solutions Group (NFS).

Introduction To Applied Stress Testing

Author: Martin Cihák
Publisher: International Monetary Fund
ISBN:
Size: 33.86 MB
Format: PDF, Mobi
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Introduction To Applied Stress Testing. Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests, and illustrate their strengths and weaknesses. Using an Excel-based exercise with institution-by-institution data, readers are walked through stress testing for credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress testing scenarios. The paper also describes the links between stress testing and other analytical tools, such as financial soundness indicators and supervisory early warning systems. Furthermore, it includes surveys of stress testing practices in central banks and the IMF.

Shareholder Value In Banking

Author: F. Fiordelisi
Publisher: Springer
ISBN: 0230595928
Size: 75.45 MB
Format: PDF, ePub
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Shareholder Value In Banking. Sustainable shareholder value is a main strategic objective for financial institutions. This text provides an analytical assessment of shareholder value creation, providing a framework for analyzing theory, and presenting empirical investigations. It analyzes the importance of drivers in creating value and develops a new measure of bank efficiency.

Risikokapitalallokation In Dezentral Organisierten Unternehmen

Author: Peter Scherpereel
Publisher: Springer-Verlag
ISBN: 3835090453
Size: 10.93 MB
Format: PDF
View: 158

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Risikokapitalallokation In Dezentral Organisierten Unternehmen. Peter Scherpereel analysiert ausgewählte Verfahren zur Risikokapitalallokation. Aufbauend auf den normativen Ergebnissen ermittelt er in einer Umfrage unter deutschen Banken den Status Quo des Einsatzes dieses Instruments und geht der Frage nach, welche Allokationsverfahren empirisch als besonders fair erachtet werden.

Managing Bank Risk

Author: Morton Glantz
Publisher: Academic Press
ISBN: 9780122857850
Size: 10.57 MB
Format: PDF
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Managing Bank Risk. Featuring new credit engineering tools, Managing Bank Risk combines innovative analytic methods with traditional credit management processes. Professor Glantz provides print and electronic risk-measuring tools that ensure credits are made in accordance with bank policy and regulatory requirements, giving bankers with the data necessary for judging asset quality and value. The book's two sections, "New Approaches to Fundamental Analysis" and "Credit Administration," show readers ways to assimilate new tools, such as credit derivatives, cash flow computer modeling, distress prediction and workout, interactive risk rating models, and probabilistic default screening, with well-known controls. By following the guidelines of the Basel Committee on Banking Supervision, Managing Bank Risk offers useful models, programs, and documents essential for creating a sound credit risk environment, credit granting processes, and appropriate administrative and monitoring controls. Key Features * Book includes features such as: * Chapter-concluding questions * Case studies illustrating all major tools * EDF™ Credit Measure provided by KMV, the world's leading provide of market-based quantitative credit risk products * Library of internet links directs readers to information on evolving credit disciplines, such as portfolio management, credit derivatives, risk rating, and financial analysis * CD-ROM containing interactive models and a useful document collection * Credit engineering tools covered include: * Statistics and simulation driven forecasting * Risk adjusted pricing * Credit derivatives * Ratios * Cash flow computer modeling * Distress prediction and workouts * Capital allocation * Credit exposure systems * Computerized loan pricing * Sustainable growth * Interactive risk rating models * Probabilistc default screening * Accompanying CD includes: * Interactive 10-point risk rating model * Comprehensive cash flow model * Trial version of CB Pro, a time-series forecasting program * Stochastic net borrowed funds pricing model * Asset based lending models, courtesy Federal Reserve Bank * The Uniform Financial Institutions Rationg System (CAMELS) * Two portfolio optimization software models * a library of documents from the International Swap Dealers Association, the Basel Committee on Banking Supervision, and others

Managing Hedge Fund Risk And Financing

Author: David P. Belmont
Publisher: John Wiley & Sons
ISBN: 0470827297
Size: 33.23 MB
Format: PDF, ePub
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Managing Hedge Fund Risk And Financing. The ultimate guide to dealing with hedge fund risk in a post-Great Recession world Hedge funds have been faced with a variety of new challenges as a result of the ongoing financial crisis. The simultaneous collapse of major financial institutions that were their trading counterparties and service providers, fundamental and systemic increases in market volatility and illiquidity, and unrelenting demands from investors to redeem their hedge fund investments have conspired to make the climate for hedge funds extremely uncomfortable. As a result, many funds have failed or been forced to close due to poor performance. Managing Hedge Fund Risk and Financing: Adapting to a New Era brings together the many lessons learned from the recent crisis. Advising hedge fund managers and CFOs on how to manage the risk of their investment strategies and structure relationships to best insulate their firms and investors from the failures of financial counterparties, the book looks in detail at the various methodologies for managing hedge fund market, credit, and operational risks depending on the hedge fund's investment strategy. Also covering best practice ISDA, Prime Brokerage, Fee and Margin Lock Up, and including tips for Committed Facility lending contracts, the book includes everything you need to know to learn from the events of the past to inform your future hedge fund dealings. Shows how to manage hedge fund risk through the application of financial risk modelling and measurement techniques as well as the structuring of financial relationships with investors, regulators, creditors, and trading counterparties Written by a global finance expert, David Belmont, who worked closely with hedge fund clients during the crisis and experienced first hand what works Explains how to profit from the financial crisis In the wake of the Financial Crisis there have been calls for more stringent management of hedge fund risk, and this timely book offers comprehensive guidelines for CFOs looking to ensure world-class levels of corporate governance.

Retail Credit Risk Management

Author: M. Anolli
Publisher: Springer
ISBN: 1137006765
Size: 51.89 MB
Format: PDF, Mobi
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Retail Credit Risk Management. Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.

The Basel Ii Risk Parameters

Author: Bernd Engelmann
Publisher: Springer Science & Business Media
ISBN: 9783642161148
Size: 73.11 MB
Format: PDF, Kindle
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The Basel Ii Risk Parameters. The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.

Bank Size And Systemic Risk

Author: Mr. Luc Laeven
Publisher: International Monetary Fund
ISBN: 1484369629
Size: 32.98 MB
Format: PDF, Kindle
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Bank Size And Systemic Risk. The proposed SDN documents the evolution of bank size and activities over the past 20 years. It discusses whether this evolution can be explained by economies of scale or “too big to fail” subsidies. The paper then presents evidence on the extent to which bank size and market-based activities contribute to systemic risk. The paper concludes with policy messages in the area of capital regulation and activity restrictions to reduce the systemic risk posed by large banks. The analysis of the paper complements earlier Fund work, including SDN 13/04 and the recent GFSR chapter on “too big to fail” subsidies, and its policy message is in line with this earlier work.