Value Added Risk Management In Financial Institutions

Author: David P. Belmont
Publisher: Wiley
Size: 66.16 MB
Format: PDF, Mobi
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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).

Shareholder Value In Banking

Author: F. Fiordelisi
Publisher: Springer
ISBN: 0230595928
Size: 36.44 MB
Format: PDF
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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.

Introduction To Applied Stress Testing

Author: Martin Cihák
Publisher: International Monetary Fund
Size: 38.78 MB
Format: PDF, ePub
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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.

Risikokapitalallokation In Dezentral Organisierten Unternehmen

Author: Peter Scherpereel
Publisher: Springer-Verlag
ISBN: 3835090453
Size: 28.45 MB
Format: PDF, ePub, Mobi
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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: 46.56 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

The Regulatory Responses To The Global Financial Crisis Some Uncomfortable Questions

Author: Stijn Claessens
Publisher: International Monetary Fund
ISBN: 1484336658
Size: 65.23 MB
Format: PDF, Kindle
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The Regulatory Responses To The Global Financial Crisis Some Uncomfortable Questions. We identify current challenges for creating stable, yet efficient financial systems using lessons from recent and past crises. Reforms need to start from three tenets: adopting a system-wide perspective explicitly aimed at addressing market failures; understanding and incorporating into regulations agents’ incentives so as to align them better with societies’ goals; and acknowledging that risks of crises will always remain, in part due to (unknown) unknowns – be they tipping points, fault lines, or spillovers. Corresponding to these three tenets, specific areas for further reforms are identified. Policy makers need to resist, however, fine-tuning regulations: a “do not harm” approach is often preferable. And as risks will remain, crisis management needs to be made an integral part of system design, not relegated to improvisation after the fact.

The Basel Ii Risk Parameters

Author: Bernd Engelmann
Publisher: Springer Science & Business Media
ISBN: 9783642161148
Size: 23.74 MB
Format: PDF, Docs
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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.

Risk Management And Financial Institutions Web Site

Author: John Hull
Publisher: John Wiley & Sons
ISBN: 1118269039
Size: 61.39 MB
Format: PDF, ePub
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Risk Management And Financial Institutions Web Site. The dangers inherent in the financial system make understanding risk management essential for anyone working in, or planning to work in, the financial sector. A practical resource for financial professionals and students alike, this text explains all aspects of financial risk as well as the way financial institutions are regulated, to help readers better understand financial markets and potential dangers. This new edition features coverage of Basel 2.5, Basel III and Dodd-Frank as well as expanded sections on counterparty credit risk, central clearing, and collateralization. In addition, end-of-chapter practice problems and a website featuring supplemental materials designed to provide a more comprehensive learning experience make this the ultimate learning resource.

Transparency Risk Management And International Financial Fragility

Author: Mario Draghi
Publisher: Centre for Economic Policy Research
ISBN: 9781898128687
Size: 12.71 MB
Format: PDF, ePub, Docs
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Transparency Risk Management And International Financial Fragility. The Geneva Reports on the World Economy series was launched by the International Center for Monetary and Banking Studies (ICMB) and CEPR in 1999. This year's report looks at transparency, risk management and international financial fragility.