银行风险管理+风险管理指南

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Introduction ix
SECTION 1 Banking Risks 1
1 Banking Business Lines 3
2 Banking Risks 11
SECTION 2 Risk Regulations 23
3 Banking Regulations 25
SECTION 3 Risk Management Processes 51
4 Risk Management Processes 53
5 Risk Management Organization 67
SECTION 4 Risk Models 75
6RiskMeasures 77
7 VaR and Capital 87
8 Valuation 98
9 Risk Model Building Blocks 113
SECTION 5 Asset–Liability Management 129
10 ALM Overview 131
11 Liquidity Gaps 136
12 The Term Structure of Interest Rates 151
13 Interest Rate Gaps 164
14 Hedging and Derivatives 180
SECTION 6 Asset–Liability Management Models 191
15 Overview of ALM Models 193
16 Hedging Issues 201
17 ALM Simulations 210
18 ALM and Business Risk 224
19 ALM ‘Risk and Return’ Reporting and Policy 233
SECTION 7 Options and Convexity Risk in Banking 245
20 Implicit Options Risk 247
21 The Value of Implicit Options 254
SECTION 8 Mark-to-Market Management in Banking 269
22 Market Value and NPV of the Balance Sheet 271
23 NPV and Interest Rate Risk 280
24 NPV and Convexity Risks 289
25 NPV Distribution and VaR 300
SECTION 9 Funds Transfer Pricing 309
26 FTP Systems 311
27 Economic Transfer Prices 325
SECTION 10 Portfolio Analysis: Correlations 337
28 Correlations and Portfolio Effects 339
SECTION 11 Market Risk 357
29 Market Risk Building Blocks 359
30 Standalone Market Risk 363
31 Modelling Correlations and Multi-factor Models for Market Risk 384
32 Portfolio Market Risk 396
SECTION 12 Credit Risk Models 417
33 Overview of Credit Risk Models 419
SECTION 13 Credit Risk: ‘Standalone Risk’ 433
34 Credit Risk Drivers 435
35 Rating Systems 443
36 Credit Risk: Historical Data 451
37 Statistical and Econometric Models of Credit Risk 459
38 The Option Approach to Defaults and Migrations 479
39 Credit Risk Exposure 495
40 From Guarantees to Structures 508
41 Modelling Recoveries 521
42 Credit Risk Valuation and Credit Spreads 538
43 Standalone Credit Risk Distributions 554
SECTION 14 Credit Risk: ‘Portfolio Risk’ 563
44 Modelling Credit Risk Correlations 565
45 Generating Loss Distributions: Overview 580
46 Portfolio Loss Distributions: Example 586
47 Analytical Loss Distributions 595
48 Loss Distributions: Monte Carlo Simulations 608
49 Loss Distribution and Transition Matrices 622
50 Capital and Credit Risk VaR 627
SECTION 15 Capital Allocation 637
51 Capital Allocation and Risk Contributions 639
52 Marginal Risk Contributions 655
SECTION 16 Risk-adjusted Performance 667
53 Risk-adjusted Performance 669
54 Risk-adjusted Performance Implementation 679
SECTION 17 Portfolio and Capital Management (Credit Risk) 689
55 Portfolio Reporting (1) 691
56 Portfolio Reporting (2) 701
57 Portfolio Applications 714
58 Credit Derivatives: Definitions 721
59 Applications of Credit Derivatives 733
60 Securitization and Capital Management 744
Bibliography 762
Index 781

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关键词：银行风险管理 风险管理 银行风险 distribution correlations 指南 银行 风险管理

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al structure and overview xi
Part I Risk Methodology and Analysis
Chapter 1. Introduction to risk analysis 3
1.1 History of Value-at-Risk 3
1.2 VaR, relative VaR, marginal VaR, and incremental VaR 4
1.3 Overview of risk methodologies 8
1.4 Confidence level scaling factors 11
1.5 Time scaling of volatility 12
1.6 Components of market risk 13
1.7 Basic dimensions of market risk 15
1.8 Summary 20
Chapter 2. Stress testing 21
2.1 Why stress test 21
2.2 Two central questions for stress testing 22
2.3 How to use stress tests 23
2.4 What makes a good stress test 24
2.5 Forecasting time frame 26
2.6 How often to stress test 26
2.7 Steps for stress testing 26
2.8 Creating stress scenarios 27
2.9 Summary of stress tests 36
Chapter 3. Backtesting 39
3.1 Why backtest 39
3.2 Backtesting VaR vs. actual P&L 39
3.3 Accounting for non-position taking income 41
3.4 Backtesting VaR vs. hypothetical trading outcomes 41
3.5 Interpreting backtesting results 42
3.6 Other factors to consider in analyzing backtests 43
3.7 External disclosures of backtests 44
3.8 Backtesting summary 44
Part II Risk Management and Reporting
Chapter 4. Practical problems risk managers face 49
4.1 Risk reporting 49
4.2 How to use risk reports 50
4.3 What type of information is required 50


        
                       
       

       
4.4 What risk solutions to choose 51
4.5 Summary of issues facing risk managers 53
Chapter 5. Generating a risk report 55
5.1 What makes a good risk report 55
5.2 What are the major types of risk reports 58
5.3 How to organize a risk report 60
5.4 Time dimensions in risk reporting 60
5.5 Global bank case study 61
5.6 Leveraged fund case study 68
5.7 Investment manager case study 71
5.8 Corporate case study 74
5.9 Summary of risk reporting issues 79
Chapter 6. External risk disclosures 81
6.1 Introduction 81
6.2 Emerging global standards for public disclosures 81
6.3 Voluntary risk disclosure for non-financial corporations 86
6.4 SEC disclosure requirements for derivatives 88
6.5 Summary 89
Chapter 7. Using risk information 91
7.1 Linking risk and return 91
7.2 Risk and performance 91
7.3 Risk and capital 93
7.4 Summary 95
Chapter 8. Market data for risk reporting 97
8.1 Type and quantity of market data 97
8.2 Deriving volatilities and correlations from raw historical data 98
8.3 Use of historical versus implied volatilities 99
8.4 Exponential weighting of time series 100
8.5 Log price change of GBP/DEM and 95% VaR estimates 100
8.6 What is good market data 100
8.7 The task of the risk data analyst 101
8.8 Where to get market risk data 102
8.9 Summary 102
Chapter 9. Position data for risk mapping 105
9.1 The data collection process 105
9.2 What type of position information is required 106
9.3 Principles of cashflow mapping for interest rate risk 107
9.4 Mapping commodities 108
9.5 Mapping equities 108
9.6 Choosing a methodology 109
9.7 Summary 110
Chapter 10. Evaluating a risk software vendor 111
10.1 How to choose a risk solution 111
10.2 Summary 113
10.3 Conclusion 114
Table of contents ix

        
                       
       

       

Appendices
Appendix A. Risk-based limits 117
Appendix B. Credit exposure of market-driven instruments 119
Appendix C. The independent risk oversight function 125
Glossary of terms 127
Resources