Risk management in banking

목차 (Table of Contents)

• CONTENTS
• Abbreviations = xi
• Introduction = xii
• PART Ⅰ. RISK MANAGEMENT = 1
• 1. Risks = 3
• 1.1 The Environment and the Evolution of Risks = 3
• 1.2 Banking Risks = 5
• 1.3 Credit Risk = 5
• 1.4 Liquidity Risk = 7
• 1.5 Interest Rate Risk = 8
• 1.6 Market Risk = 9
• 1.7 Foreign Exchange Risk = 10
• 1.8 Solvency Risk = 11
• 1.9 Operational Risk = 12
• 2. Profitability = 16
• 2.1 The Balance Sheet and Banking Transactions = 16
• 2.2 The Income Statement and the Margins = 19
• 2.3 Mark-to-Market Measures of Performance = 20
• 2.4 Risk-adjusted Performance = 21
• 3. Risk Management = 23
• 3.1 The Roles of Risk Management = 23
• 3.2 The Risk management Process = 31
• 3.3 Quantitative Risk Management: VAR and CAR = 34
• 3.4 The Organization of Risk Management = 36
• 4. Banking Regulations = 39
• 4.1 Regulatory issues = 39
• 4.2 Capital Adequacy = 42
• 4.3 The Current Capital Regulation = 45
• PART Ⅱ. MEASURING RISKS = 49
• 5. Risk Measurement = 51
• 5.1 Measuring Uncertainty = 52
• 5.2 Sensitivity = 53
• 5.3 Volatility = 56
• 5.4 Unexpected Loss and VAR = 61
• 5.5 Appendix 1: Calculation of Means and Standard Deviations = 64
• 6. VAR = 66
• 6.1 VAR, CAR and Risk Management = 66
• 6.2 VAR and Common Indicators of Risks = 67
• 6.3 Potential Loss = 68
• 6.4 The Measurement of Unexpected Loss = 70
• 6.5 Issues in Measuring VAR = 73
• PART Ⅲ. CREDIT RISK = 79
• 7. Credit Risk = 81
• 7.1 Credit Risk = 81
• 7.2 Credit Risk Management = 85
• 8. Credit Risk for Banking Transactions = 90
• 8.1 Default Risk = 90
• 8.2 Exposure Risk =94
• 8.3 Recovery Risk = 97
• 8.4 Credit Risk and Potential Losses = 99
• 8.5 Appendix 1: Default Probabilities over Varying Horizons = 101
• 8.6 Appendix 2: The Term Structure of Default Risk = 103
• 8.7 Appendix 3: Default Rates and Transition Matrices = 104
• 9. Credit Risk for Market Instruments = 106
• 9.1 Credit Risk for Market Instruments = 107
• 9.2 Credit Risk for Derivatives = 107
• 9.3 Implementation = 111
• 9.4 Credit Risk Exposure for Portfolios of Derivatives = 113
• PART Ⅳ. LIQUIDITY AND INTEREST RATE RISKS = 117
• 10. The Liquidity Gap = 119
• 10.1 The Liquidity Gap = 119
• 10.2 Cash Matching = 123
• 10.3 Liquidity Management = 127
• 10.4 Issues for Determining the Liquidity Gap Time Profile = 131
• 11. The Term Structure of Interest Rates = 134
• 11.1 Interest Rates = 134
• 11.2 The Term Structure of Interest Rates = 135
• 11.3 Interest Rate Expectations = 138
• 11.4 Liquidity and Costs of Liquidity = 142
• 12. Interest Rate Gaps = 146
• 12.1 The Interest Rate Gap = 146
• 12.2 Marginal Interest Rate Gaps = 150
• 12.3 The Risk-Reward Trade-off for Interest Rate Risk = 154
• 12.4 Controlling Interest Rate Risk = 157
• 13. The Limitations of Interest Rate Gaps = 160
• 13.1 Determining Interest Rate Gaps = 160
• 13.2 Interest Rate Gaps and Interest Indexes = 162
• 13.3 Marginal Gaps and Intermediate Flows = 164
• 14. Simulations = 169
• 14.1 The Framework of Simulations = 170
• 14.2 The Interest Rate Scenarios = 170
• 14.3 Balance Sheet Projections = 172
• 14.4 Projected Gap Profiles = 173
• 14.5 Interest Margin Projections = 174
• 14.6 Interest Rate Policy = 176
• 14.7 Multiple Scenario Analysis with Business and Interest Rate Risks = 178
• 14.8 The Simulations = 181
• 14.9 Risk-Return Combinations = 184
• 14.10 Simulations and Information = 186
• PART Ⅴ. MARK-TO-MARKET VALUE MANAGEMENT = 189
• 15. Market Values = 191
• 15.1 The Discount Rates = 191
• 15.2 NPV and Margins for a "Bank Without Capital" = 194
• 15.3 Discounted Margins and NPV with Capital = 198
• 15.4 NPV and the Market Value of Equity = 200
• 15.5 Appendix: NPV and Discounted Margind = 201
• 16. Market Values and Interest Rate Risk = 205
• 16.1 The Sensitivity of Market Values and Duration = 205
• 16.2 Immunization of the Interest Margin = 208
• 16.3 The Duration Gap and the Targets of Interest Rate Policy = 208
• 16.4 The VAR Derived from the NPV = 211
• 16.5 Appendix: The Immunization of the Net Margin over a Period = 212
• PART Ⅵ. QUANTITATIVE CAPITAL MANAGEMENT = 215
• 17. Capital Requirements = 217
• 17.1 The Required Profitability on Capital = 217
• 17.2 Profitability Targets = 217
• 17.3 Quantitative Constraints Generated by Regulatory Capital = 224
• 18. Securitization and Capital Management = 226
• 18.1 The Mechanism of Securitization = 226
• 18.2 The Analysis of a Securitization Transaction = 229
• 18.3 Securitization and the Return on Equity = 232
• PART Ⅶ. RISK-BASED CAPITAL = 237
• 19. CAR = 239
• 19.1 The Limitations of Simple Approaches to CAR = 239
• 19.2 The Measure of Economic Capital = 241
• 19.3 Economic Capital and Solvency = 244
• 19.4 Choice of a Horizon for the Measure of Capittal = 248
• 20. Measuring CAR = 251
• 20.1 Credit Risk = 251
• 20.2 Market Risk = 257
• 20.3 Interest Rate Risk = 258
• 20.4 Aggregating Risks over Portfolios = 260
• 21. Risk-adjusted Performance = 261
• 21.1 Profitability Measures = 262
• 21.2 Calculation of RAROC and SVA for Credit Risk = 265
• 21.3 Risk-based Pricing = 268
• 21.4 RAROC and Market Risk = 271
• 21.5 The Price of Risk = 272
• PART Ⅷ. PORTFOLIO CREDIT AND MARKET RISKS = 277
• 22. The Risk of Portfolios = 279
• 22.1 Measuring Risk Diversifacatopn = 279
• 22.2 Standalone Risk and Risk Contribution = 283
• 22.3 Risk Allocation and Management = 285
• 23. Correlations and Portfolio Risk = 289
• 23.1 Risks and Correlations = 289
• 23.2 Correlation and Covariance = 291
• 23.3 The Implementation of Correlations = 294
• 24. Credit Risk of Portfolios = 298
• 24.1 Standalone Risk and Portfolio Risk = 298
• 24.2 Default Statistics and Portfolio Losses = 302
• 24.3 Portfolio Loss with Diversified Risks = 304
• 24.4 The Correlation Methodology and the Portfolio Credit Risk = 309
• 24.5 From Individual Risks to Portfolio Losses = 311
• 34.6 Appendix: The Corrlation Methodology = 314
• 25. Market Risk of Portfolio = 316
• 25.1 Correlations between Market Parameters and their Implications = 316
• 25.2 The Volatility of the Portfolio Valuse = 319
• 25.3 The Correlation Methodology = 320
• 25.4 Interest Rate Exposures = 323
• 25.5 The Multiple Simulations Methodology = 325
• PART Ⅸ. FUNDS TRANSFER PRICING AND CAPITAL ALLOCATION = 329
• 26. Funds Transfer Pricing Systems = 331
• 26.1 The Internal Management of Funds and Netting = 332
• 26.2 The Commercial and the Financial margins = 334
• 26.3 Transfer Prices and Policy = 340
• 27. Economic transfer Prices = 344
• 27.1 Setting Target Margins = 344
• 27.2 From Transfer Prices to Customer Prices = 347
• 27.3 The Cost of Funds for Assets = 349
• 27.4 The Separation of Commercial and Financial Risks = 353
• PART Ⅹ. PORTFOLIO MANAGEMENT = 357
• 28. The Management of Banking Portfolios = 359
• 28.1 The Allocation of Capital = 359
• 28.2 Risk=adjusted Performance = 362
• 28.3 RAROC and Risk Pricing = 365
• 28.4 Portfolio Management = 367
• 28.5 Appendix: Quantitative Portfolio Management = 372
• PART XI. IMPLICIT OPTIONS IN BANKING PRODUCTS = 375
• 29. Embedded Options = 377
• 29.1 Optional Risk: Two Examples = 377
• 29.2 Modelling Prepayments = 378
• 29.3 Gains and Losses from the Prepayment Option = 379
• 30. The Value of Embedded Options = 384
• 30.1 The Valuaion of Options = 384
• 30.2 Generating Simulated Interest Rates = 386
• 30.3 The Valuation of the Prepayment Option = 391
• 30.4 The Option Adjusted Spread (OAS) = 395
• 31. Convexity Risks = 398
• 31.1 The market Value of the Balance Sheet and the Interest Rates = 398
• 31.2 Duration and Convexity = 400
• 31.3 The Sensitivity of NPV = 404
• 31.4 The Impact of Embedded Options on the NPV = 406
• 31.5 Controlling the Risk of NPV = 407
• Bibliography = 411
• Index = 421