Оглавление
Bessis Joël. Risk Management in Banking
FOREWORD
PREFACE
ABOUT THE AUTHOR
1. RISKS AND RISK MANAGEMENT
1.1 Uncertainty, Risk and Exposure to Risk
1.2 Broad Classes of Financial Risk
1.3 Business Lines in Banking
1.4 Banking Regulations and Accounting Standards
1.5 Risk Management
2. BANKING REGULATIONS OVERVIEW
2.1 Regulation Principles
2.2 Capital Adequacy
2.3 Some Lessons of the Financial Crisis
2.4 The Responses of Regulators to the Financial Crisis
3. BALANCE SHEET MANAGEMENT AND REGULATIONS
3.1 The New Regulatory Ratios
3.2 Compliance of a Commercial Balance Sheet: Example
3.3 Creation of Value
4. LIQUIDITY MANAGEMENT AND LIQUIDITY GAPS
4.1 Liquidity and Liquidity Risk
4.2 Liquidity Gap Time Profiles
4.3 Types of Liquidity Gaps
4.4 Managing Incremental Gaps
4.5 Dynamic Liquidity Gaps
4.6 Funding Liquidity Management
4.7 Liquidity Crises and Stress Scenarios
5. INTEREST RATE GAPS
5.1 Interest Rate Risk
5.2 Interest Rate Gaps
5.3 Calculations of Interest Rate Gap
5.4 The Gap Model
5.5 Net Interest Income and Interest Rate Gaps
5.6 Gap Management and Hedging
5.7 Limitations of Interest Rate Gaps
5.8 Appendix: Gaps and Interest Rate Sensitivity
6. HEDGING AND GAP MANAGEMENT
6.1 The Trade-Offs of Gap Management
6.2 Managing Interest Rate Gaps with Interest Rate Derivatives
6.3 Managing Interest Rate Gaps
6.4 Setting Limits to Gaps
6.5 Hedging the Variations of the Term Structure of Interest Rates (Case Study)
6.6 Hedging Business Risk and Interest Rate Risk
7. ECONOMIC VALUE OF THE BANKING BOOK
7.1 Economic Value and Its Sensitivity
7.2 Economic Value and Net Interest Income
7.3 The Sensitivity of Economic Value to Interest Rates
7.4 Appendix: Convexity
8. CONVEXITY RISK IN BANKING
8.1 Convexity Risk and Economic Value
8.2 An Extended Framework for Stochastic Cash Flows: Valuation
8.3 Appendix: The Value of Convexity
9. CONVEXITY RISK: THE CASE OF MORTGAGES
9.1 The Convexity Risk of Mortgages
9.2 The Valuation of the Prepayment Option and Its Pricing
9.3 Appendix 1: Valuation of A Bond Using An Interest Rate Tree
9.4 Appendix 2: Calibration of the Binomial Tree
10. FUNDS TRANSFER PRICING SYSTEMS
10.1 Internal Fund Pricing Systems
10.2 Funds Transfer Pricing in the Banking Book
10.3 Economic Transfer Prices in the Banking Book
10.4 Risk-Based Pricing: Lending
11. RETURNS, RANDOM SHOCKS AND VALUE-AT-RISK
11.1 Value-At-Risk
11.2 Random Shocks As Asset Returns
11.3 Stochastic Processes
11.4 Modeling Random Shocks
11.5 VaR Calculation for a Single Asset
11.6 Distribution of Value under Normal Returns
11.7 From Shocks on Risk Factors to Shocks on Asset Value
11.8 Appendix 1: Continuous Returns As Limit of Discrete Returns
11.9 Appendix 2: Common Processes
12. PORTFOLIO RISK AND FACTOR MODELS
12.1 Portfolio Return Volatility, Correlations and Covariances
12.2 Factor Models
12.3 Sensitivities of Common Instruments
12.4 Non-Linear Instruments
12.5 Volatility of the Portfolio Return
12.6 Closed-Form Matrix Formulas for the Volatility of the Portfolio Return and for VaR
12.7 Appendix 1: Correlation and Volatility of a Sum of Random Variables
12.8 Appendix 2: Mapping an Instrument to Risk Factors
13. DELTA-NORMAL VAR AND HISTORICAL VAR
13.1 Delta-Normal VaR
13.2 Historical VaR: Forward Contract Example
14. EXTENSIONS OF TRADITIONAL VAR
14.1 E-VaR or Expected Shortfall
14.2 Monte Carlo Simulations
14.3 Appendix: Cholesky Decomposition
15. VOLATILITY
15.1 Volatility
15.2 Exponentially Weighted Moving Average Model (EWMA)
15.3 Garch Models
15.4 Maximum Likelihood Methodology
15.5 Estimating EWMA Volatility
16. SIMULATION OF INTEREST RATES
16.1 Interest Rates and Factor Models
16.2 Modeling the Term Structure of Interest Rates with Principal Component Analysis
16.3 Interest Rate Simulations
16.4 Application to Market VaR
16.5 Simulations of Interest Rates for the Banking Book
17. MARKET RISK REGULATIONS
17.1 The Market Risk Regulations as of June 2006
17.2 Revision to the Market Risk Framework (2011)
17.3 Revisions to the Basel 2 Market Risk Framework
18. CREDIT RISK
18.1 Credit Risk Components
18.2 Credit Risk Modeling
18.3 Loss Distributions for Credit Risk
19. CREDIT RISK DATA
19.1 Default Statistics
19.2 Recovery Statistics
19.3 Transition Matrices
19.4 Cumulative and Marginal Default Probabilities
19.5 Migration Matrices and Cumulative Probabilities
20. SCORING MODELS AND CREDIT RATINGS
20.1 Scoring
20.2 Accuracy of Scoring Models: The “CAP”
20.3 Credit Ratings
20.4 Appendix: Rating Scales of Rating Agencies
21. DEFAULT MODELS
21.1 Default Intensity Models
21.2 The Option Theoretic Approach to Default
21.3 Appendix: Valuation of the Put Option to Default
22. COUNTERPARTY CREDIT RISK
22.1 Credit Exposures
22.2 Potential Future Exposure
22.3 Credit Risk For Derivatives: Methodology
22.4 Calculating the Potential Future Exposure For an Interest Rate Swap
22.5 Regulatory Rules for Counterparty Credit Risk
23. CREDIT EVENT DEPENDENCIES
23.1 Joint Default Probability Using Discrete Variables
23.2 Support
23.3 Modeling Joint Defaults With the Structural Model
23.4 Joint Migration Probabilities
24. CREDIT PORTFOLIO RISK: ANALYTICS
24.1 Independent Default Events: The Binomial Distribution
24.2 The Structural Model
24.3 Application: The Stressed Default Probability Under Basel 2
24.4 Modeling Defaults in a Uniform Portfolio: The Limit Distribution
24.5 Appendix: The Limit Distribution
25. CREDIT PORTFOLIO RISK: SIMULATIONS
25.1 Simulations of Dependent Default Events With the Asset Model
25.2 Simulations of Times to Default
25.3 Credit Portfolio Models
26. CREDIT RISK REGULATIONS
26.1 The Basel 2 Accord
26.2 The Standardized Approach
26.3 Internal Ratings-Based Framework
26.4 Credit Risk Mitigation
26.5 Specialized Lending
26.6 Securitizations
26.7 Counterparty Credit Risk
26.8 Interest Rate Risk
26.9 Pillar 2: Supervisory Review Process and Market Discipline
26.10 Appendix: Operational Risk in Basel 2
27. CAPITAL ALLOCATION AND RISK CONTRIBUTIONS
27.1 Risk and Capital Allocations
27.2 Risk Contributions to an Existing Portfolio
27.3 Calculations of Risk Contributions
27.4 Marginal Risk Contributions
27.5 Appendix: Matrix Formula for Risk Contributions
28. RISK-ADJUSTED PERFORMANCE MEASURES
28.1 Risk-Adjusted Measures of Performance
28.2 Risk-Based Pricing and Marginal Risk Contributions
28.3 Risk Premium and Risk-Based Pricing
28.4 Shareholder Value Added Measures
28.5 Risk-Based Performance, Pricing and Capital Allocation
29. CREDIT DERIVATIVES
29.1 Definitions of Credit Derivatives
29.2 Usage of Credit Derivatives
29.3 Credit Portfolio Management
29.4 Trading Credit Risk and the Return on Capital of a Bank
30. SECURITIZATIONS
30.1 The Motivations of Securitizations
30.2 The Principles of Securitizations
30.3 The Economics of Securitization
30.4 Variations in the Securitization Scheme
30.5 The Risk of Asset-Backed Notes
REFERENCES
