附註:Includes bibliographical references (pages 519-538) and index.
Copyright; CONTENTS; ACKNOWLEDGMENTS; INTRODUCTION; CHAPTER 1 Risk Management: A Maturing Discipline; 1.1 BACKGROUND; 1.2 RISKS: A VIEW OF THE PAST DECADES; 1.3 DEFINITION OF RISK; 1.4 RELATED TERMS AND DIFFERENTIATION; 1.5 DEGREE OF RISK; 1.6 RISK MANAGEMENT: A MULTILAYERED TERM; 1.6.1 Background; 1.6.2 History of Modern Risk Management; 1.6.3 Related Approaches; 1.6.4 Approach and Risk Maps; 1.7 SYSTEMIC RISK; 1.7.1 Definition; 1.7.2 Causes of Systemic Risk; 1.7.3 Factors That Support Systemic Risk; 1.7.4 Regulatory Mechanisms for Risk Management; 1.8 SUMMARY; 1.9 NOTES.
CHAPTER 2 Market Risk2.1 BACKGROUND; 2.2 DEFINITION OF MARKET RISK; 2.3 CONCEPTUAL APPROACHES FOR MODELING MARKET RISK; 2.4 MODERN PORTFOLIO THEORY; 2.4.1 The Capital Asset Pricing Model; 2.4.2 The Security Market Line; 2.4.3 Modified Form of CAPM by Black, Jensen, and Scholes; 2.4.4 Arbitrage Pricing Theory; 2.4.5 Approaches to Option Pricing; 2.5 REGULATORY INITIATIVES FOR MARKET RISKS AND VALUE AT RISK; 2.5.1 Development of an International Framework for Risk Regulation; 2.5.2 Framework of the 1988 BIS Capital Adequacy Calculation; 2.5.3 Criticisms of the 1988 Approach.
2.5.4 Evolution of the 1996 Amendment on Market Risks2.6 AMENDMENT TO THE CAPITAL ACCORD TO INCORPORATE MARKET RISKS; 2.6.1 Scope and Coverage of Capital Charges; 2.6.2 Countable Capital Components; 2.6.3 The de Minimis Rule; 2.7 THE STANDARDIZED MEASUREMENT METHOD; 2.7.1 General and Specific Risks for Equity- and Interest-Rate-Sensitive Instruments; 2.7.2 Interest-Rate Risks; 2.7.3 Equity Position Risk; 2.7.4 Foreign-Exchange Risk; 2.7.5 Commodities Risk; 2.7.6 Treatment of Options; 2.7.7 Criticisms of the Standard Approach; 2.8 THE INTERNAL MODEL APPROACH.
2.8.1 Conditions for and Process of Granting Approval2.8.2 VaR-Based Components and Multiplication Factor; 2.8.3 Requirement for Specific Risks; 2.8.4 Combination of Model-Based and Standard Approaches; 2.8.5 Specification of Market Risk Factors to Be Captured; 2.8.6 Minimum Quantitative Requirements; 2.8.7 Minimum Qualitative Requirements; 2.9 THE PRECOMMITMENT MODEL; 2.10 COMPARISON OF APPROACHES; 2.11 REVISION AND MODIFICATION OF THE BASEL ACCORD ON MARKET RISKS; 2.11.1 The E.U. Capital Adequacy Directive; 2.11.2 New Capital Adequacy Framework to Replace the 1988 Accord.
2.12 REGULATION OF NONBANKS2.12.1 Pension Funds; 2.12.2 Insurance Companies; 2.12.3 Securities Firms; 2.12.4 The Trend Toward Risk-Based Disclosures; 2.12.5 Disclosure Requirements; 2.12.6 Encouraged Disclosures; 2.13 MARKET INSTRUMENTS AND CREDIT RISKS; 2.14 SUMMARY; 2.15 NOTES; CHAPTER 3 Credit Risk; 3.1 BACKGROUND; 3.2 DEFINITION; 3.3 CURRENT CREDIT RISK REGULATIONS; 3.4 DEFICIENCIES OF THE CURRENT REGULATIONS; 3.5 DEFICIENCIES OF CURRENT CONCEPTUAL APPROACHES FOR MODELING CREDIT RISK; 3.6 CONCEPTUAL APPROACHES FOR MODELING CREDIT RISK; 3.6.1 Transaction and Portfolio Management.
摘要:All financial institutions subject to banking laws are required to support risk exposures with capital. This means that every transaction the bank executes on behalf of its clients must be supported by capital. The same happens for a mortgage granted to the clients. Some well-defined regulatory rules decide how much capital has to be put aside in order to support the credit risk exposure of the bank. The purpose is to build up reserves for the banks in order to protect the clients and the counterparties of the banks. Obviously, every bank has a natural interest to keep the risk capital low, as this capital is "fixed" and cannot be used for other purposes than as a reserve for granting security to the clients. The banks could invest this capital in other business projects and generate profits, thus they have an interest to understand how to keep the risk capital low. There are many types of risks associated with financial transactions. Market risk regulation is the most sophisticated; credit risk is the oldest form of banking risk management. And operational risk is not (yet) supported by capital. But in 2005 this will change with the coming Basle guidelines.; In 2000, The global supervisory committee, the Basle Committee from the Bank of International Settlement sent out the latest draft for review by the different national authorities. By 2005, the new regulations are planned to be integrated and enforced by the national authorities (in US it is the Federal Reserve Board). And all banking organizations will have to calculate capital requirements according to the new Basle guidelines. These regulatory modifications will be immense, as they completely change the way banks have to calculate the credit and operational risk exposures. And the entire risk exposure (covering Risk Management and Capital Adequacy of each transaction must be supported. Risk Management and Capital Adequacy highlights the key risk approaches for all the risk categories and analyzes if and h
