Оглавление
Rossi Clifford. A Risk Professional's Survival Guide
Preface
Acknowledgments
About the Author
CHAPTER 1. Navigating Risk at SifiBank
OVERVIEW
FINANCIAL INTERMEDIATION AND PROFIT MAXIMIZATION
SIFIBANK STRUCTURE AND HISTORY
SIFIBANK ORGANIZATIONAL STRUCTURE AND OVERSIGHT GOVERNANCE
BANK REGULATORY LANDSCAPE
SUMMARY
QUESTIONS
CHAPTER 2. Overview of Financial Risk Management
RISK MANAGEMENT DEFINED
ELEMENTS OF RISK MANAGEMENT
RISK IDENTIFICATION AND TYPOLOGY
RISK MEASUREMENT
RISK ANALYSIS
RISK MITIGATION
SUMMARY
QUESTIONS
CHAPTER 3. Risk Governance and Structure
SIFIBANK’S RISK GOVERNANCE – THE EARLY YEARS
PRESCRIPTIONS FOR STRONG RISK GOVERNANCE
QUESTIONS
CHAPTER 4. Economic Capital, Risk-Adjusted Performance, and Capital Allocation
SIFIBANK’S BUSINESS PROBLEM
ECONOMIC CAPITAL AND VALUE-AT-RISK
STRESS TESTING AND SCENARIO ANALYSIS
RISK-ADJUSTED PERFORMANCE MEASUREMENT
RISK-ADJUSTED PERFORMANCE OPTIMIZATION
SUMMARY
QUESTIONS
CHAPTER 5. Credit Risk Theory
OVERVIEW
PORTFOLIO CREDIT RISK DYNAMICS
ANALYTIC METHODS FOR CREDIT PORTFOLIO ASSESSMENT
COUNTERPARTY RISK
SUMMARY
QUESTIONS
CHAPTER 6. Consumer Credit Risk Measurement
OVERVIEW
MEASURING PRODUCT EXPECTED LOSS
INCORPORATING BORROWER OPTIONS INTO RISK VIEWS AND COMPETING RISK ASSESSMENT
LOSS SEVERITY
GENERATING CREDIT LOSS ESTIMATES
LOAN LOSS RESERVING AND FORECASTING
UNEXPECTED LOSS
SUMMARY
QUESTIONS
CHAPTER 7. Commercial Credit Risk Overview
SIFICOMMERCIAL LENDING DIVISION
DEVELOPING RISK RATINGS
RISK-RATING SCORECARD PROCESS
LOAN REVIEW PROCESS
RATING CRE LOANS
COMMERCIAL LOAN SYNDICATION
SUMMARY
QUESTIONS
CHAPTER 8. Credit Risk Mitigation
OVERVIEW
INSURANCE CONTRACTS
CREDIT DERIVATIVES AND RISK MITIGATION
CREDIT DEFAULT SWAP MECHANICS
CREDIT-LINKED NOTE MECHANICS
COLLATERALIZED DEBT OBLIGATION MECHANICS
CREDIT HEDGING OUTCOMES
SUMMARY
QUESTIONS
CHAPTER 9. Interest Rate Risk
OVERVIEW OF SIFIBANK’S INTEREST RATE RISK EXPOSURE
PRINCIPAL COMPONENTS ANALYSIS
ANALYTIC VAR MEASUREMENT OF INTEREST RATE RISK
MONTE CARLO VAR INTEREST RATE RISK METHODS
MODELING INTEREST RATE RISK OF MORE COMPLEX INSTRUMENTS
SUMMARY
QUESTIONS
CHAPTER 10. Market Risk
CALCULATING VAR FOR A PORTFOLIO
SIMULATION ANALYSIS AND VAR
POSITION LIMITS POLICIES
VAR LIMITATIONS AND ISSUES
SUMMARY
QUESTIONS
CHAPTER 11. Liquidity Risk Management
SIFIBANK’S EXPOSURE TO LIQUIDITY RISK
SIFIBANK’S APPROACH TO LIQUIDITY RISK MANAGEMENT
STRESS TESTING THE LIQUIDITY PROFILE
LIQUIDITY CONTINGENCY PLANNING
LIQUIDITY MEASUREMENT
SUMMARY
QUESTIONS
CHAPTER 12. Market Risk Hedging
OVERVIEW
HEDGING PRINCIPLES AND BASICS
HEDGING USING FUTURES CONTRACTS
ROLLING HEDGES AND RISKS
HEDGING USING OPTIONS
DELTA HEDGING
SUMMARY
QUESTIONS
CHAPTER 13. Hedging Interest Rate Risk
OVERVIEW
HEDGE INSTRUMENT ALTERNATIVES
SUMMARY
QUESTIONS
CHAPTER 14. Operational Risk Management
OVERVIEW
INTERNAL CONTROLS ASSESSMENT
QUANTITATIVE ASSESSMENT OF OPERATIONAL RISK
REGULATORY STANDARDS
CYBER-SECURITY RISK
SUMMARY
QUESTIONS
CHAPTER 15. Model, Regulatory, Legal, and Reputational Risk Management
OVERVIEW
MODEL RISK
DATA ERRORS
MODEL ASSUMPTIONS
RISK LAYERING
GUARDING AGAINST MODEL RISK
REGULATORY RISK
LEGAL RISK
REPUTATION RISK
SUMMARY
QUESTIONS
CHAPTER 16. Toward Integrated Risk Management
OVERVIEW
DEFINING INTEGRATED RISK MANAGEMENT
KEY RISK INTEGRATION POINTS
ALIGNING RISK INFRASTRUCTURE WITH RISK-TAKING
SUMMARY
QUESTIONS
Answer Key
CHAPTER 1
CHAPTER 2
CHAPTER 3
CHAPTER 4
CHAPTER 5
CHAPTER 6
CHAPTER 7
CHAPTER 8
CHAPTER 9
CHAPTER 10
CHAPTER 11
CHAPTER 12
CHAPTER 13
CHAPTER 14
CHAPTER 15
CHAPTER 16
Index
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