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Contents
PART 1 FOUNDATION OF RISK MANAGEMENT
1. DERIVATIVES BASICS Allan M. Malz 3
Introduction 3
Behavior of asset prices 4
Forwards, futures and swaps 7
Forward interest rates and swaps 14
Option basics 16
Option markets 21
Option valuation 24
Option risk management 29
The volatility smile 34
Over-the-counter option market conventions 37
2. MEASURING VOLATILITY Kostas Giannopoulos 42
Introduction 42
Overview of historical volatility methods 42
Assumptions 43
Conditional volatility models 45
ARCH models: a review 46
Using GARCH to measure correlation 50
Asymmetric ARCH models 52
Identification and diagnostic tests for ARCH 53
An application of ARCH models to risk management 55
Conclusions 67
3. THE YIELD CURVE P. K. Satish 75
Introduction 75
Bootstrapping swap curve 77
Government Bond Curve 100
Model review 106
Summary 108
vi The Professional’s Handbook of Financial Risk Management
4. CHOOSING APPROPRIATE VaR MODEL PARAMETERS AND RISK
MEASUREMENT METHODS Ian Hawkins 111
Choosing appropriate VaR model parameters 112
Applicability of VaR 114
Uses of VaR 115
Risk measurement methods 115
Sources of market risk 117
Portfolio response to market changes 124
Market parameter estimation 128
Choice of distribution 128
Volatility and correlation estimation 130
Beta estimation 133
Yield curve estimation 134
Risk-aggregation methods 134
Covariance approach 138
Historical simulation VaR 144
Monte Carlo simulation VaR 145
Current practice 146
Specific risk 147
Concentration risk 148
Conclusion 148
PART 2 MARKET RISK, CREDIT RISK AND OPERATIONAL RISK
5. YIELD CURVE RISK FACTORS: DOMESTIC AND GLOBAL
CONTEXTS Wesley Phoa 155
Introduction: handling multiple risk factors 155
Principal component analysis 158
International bonds 168
Practical implications 174
6. IMPLEMENTATION OF A VALUE-AT-RISK SYSTEM Alvin Kuruc 185
Introduction 185
Overview of VaR methodologies 185
Variance/covariance methodology for VaR 187
Asset-flow mapping 191
Mapping derivatives 194
Gathering portfolio information from source systems 196
Translation tables 199
Design strategy summary 200
Covariance data 200
Heterogeneous unwinding periods and liquidity risk 201
Change of base currency 201
Information access 202
Portfolio selection and reporting 203
Contents vii
7. ADDITIONAL RISKS IN FIXED-INCOME MARKETS Teri L. Geske 215
Introduction 215
Spread duration 216
Prepayment uncertainty 223
Summary 231
8. STRESS TESTING Philip Best 233
Does VaR measure risk? 233
Extreme value theory – an introduction 237
Scenario analysis 239
Stressing VaR – covariance and Monte Carlo simulation methods 242
The problem with scenario analysis 244
Systematic testing 244
Credit risk stress testing 247
Determining risk appetite and stress test limits 251
Conclusion 254
9. BACKTESTING Mark Deans 261
Introduction 261
Comparing risk measurements and P&L 263
Profit and loss calculation for backtesting 265
Regulatory requirements 269
Benefits of backtesting beyond regulatory compliance 271
Systems requirements 282
Review of backtesting results in annual reports 285
Conclusion 286
10. CREDIT RISK MANAGEMENT MODELS Richard K. Skora 290
Introduction 290
Motivation 290
Functionality of a good credit risk management model 291
Review of Markowitz’s portfolio selection theory 293
Adapting portfolio selection theory to credit risk management 294
A framework for credit risk management models 295
Value-at-Risk 296
Credit risk pricing model 299
Market risk pricing model 301
Exposure model 301
Risk calculation engine 302
Capital and regulation 302
Conclusion 304
11. RISK MANAGEMENT OF CREDIT DERIVATIVES Kurt S. Wilhelm 307
Introduction 307
Size of the credit derivatives market and impediments to growth 308
What are credit derivatives? 312
Risks of credit derivatives 318
Regulatory capital issues 330
viii The Professional’s Handbook of Financial Risk Management
A portfolio approach to credit risk management 333
Overreliance on statistical models 338
Future of credit risk management 339
12. OPERATIONAL RISK Michel Crouhy, Dan Galai and Bob Mark 342
Introduction 342
Typology of operational risks 344
Who manages operational risk? 346
The key to implementing bank-wide operational risk management 348
A four-step measurement process for operational risk 351
Capital attribution for operational risks 360
Self-assessment versus risk management assessment 363
Integrated operational risk 364
Conclusions 365
13. OPERATIONAL RISK Duncan Wilson 377
Introduction 377
Why invest in operational risk management? 377
Defining operational risk 378
Measuring operational risk 386
Technology risk 396
Best practice 399
Regulatory guidance 403
Operational risk systems/solutions 404
Conclusion 412
PART 3 ADDITIONAL RISK TYPES
14. COPING WITH MODEL RISK Franc¸ois-Serge Lhabitant 415
Introduction 415
Model risk: towards a definition 416
How do we create model risk? 417
Consequences of model risk 426
Model risk management 431
Conclusions 436
15. LIQUIDITY RISK Robert E. Fiedler 441
Notation 441
First approach 442
Re-approaching the problem 449
Probabilistic measurement of liquidity – Concepts 451
Probabilistic measurement of liquidity – Methods 455
Dynamic modeling of liquidity 464
Liquidity portfolios 468
Term structure of liquidity 469
Transfer pricing of liquidity 471
Contents ix
16. ACCOUNTING RISK Richard Sage 473
Definition 473
Accounting for market-makers 474
Accounting for end-users 486
Conclusion 490
17. EXTERNAL REPORTING: COMPLIANCE AND DOCUMENTATION RISK
Thomas Donahoe 491
Introduction 491
Defining compliance risk 492
Structuring a compliance unit 493
Creating enforceable policies 499
Implementing compliance policies 508
Reporting and documentation controls 513
Summary 520
18. ENERGY RISK MANAGEMENT Grant Thain 524
Introduction 524
Background 524
Development of alternative approaches to risk in the energy markets 525
The energy forward curve 526
Estimating market risk 536
Volatility models and model risk 542
Correlations 543
Energy options – financial and ‘real’ options 543
Model risk 545
Value-at-Risk for energy 546
Stress testing 547
Pricing issues 548
Credit risk – why 3000% plus volatility matters 548
Operational risk 551
Summary 555
19. IMPLEMENTATION OF PRICE TESTING Andrew Fishman 557
Overview 557
Objectives and defining the control framework 559
Implementing the strategy 563
Managing the price testing process 573
Reporting 574
Conclusion 578
PART 4 CAPITAL MANAGEMENT, TECHNOLOGY AND REGULATION
20. IMPLEMENTING A FIRM-WIDE RISK MANAGEMENT FRAMEWORK
Shyam Venkat 581
Introduction 581
Understanding the risk management landscape 583
Establishing the scope for firm-wide risk management 585
Defining a firm-wide risk management framework 587
Conclusion 612
x The Professional’s Handbook of Financial Risk Management
21. SELECTING AND IMPLEMENTING ENTERPRISE RISK MANAGEMENT
TECHNOLOGIES Deborah L. Williams 614
Introduction: enterprise risk management, a system implementation
like no other 614
The challenges 615
The solution components 618
Enterprise risk technology market segments 623
Different sources for different pieces: whom to ask for what? 627
The selection process 629
Key issues in launching a successful implementation 631
Conclusions 633
22. ESTABLISHING A CAPITAL-BASED LIMIT STRUCTURE
Michael Hanrahan 635
Introduction 635
Purpose of limits 635
Economic capital 637
Types of limit 644
Monitoring of capital-based limits 654
Summary 655
23. A FRAMEWORK FOR ATTRIBUTING ECONOMIC CAPITAL AND
ENHANCING SHAREHOLDER VALUE Michael Haubenstock and
Frank Morisano 657
Introduction 657
Capital-at-risk or economic capital 658
A methodology for computing economic capital 659
Applications of an economic capital framework 675
Applying economic capital methodologies to improve shareholder
value 680
Conclusion 687
24. INTERNATIONAL REGULATORY REQUIREMENTS FOR RISK
MANAGEMENT (1988–1998) Mattia L. Rattaggi 690
Introduction 690
Quantitative capital adequacy rules for banks 691
Risk management organization of financial intermediaries and
disclosure recommendations 716
Cross-border and conglomerates supervision 723
Conclusion 726
25. RISK TRANSPARENCY Alan Laubsch 740
Introduction 740
Risk reporting 740
External risk disclosures 764
INDEX 777
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