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Risk Management
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| 27.11.2009, 23:40 |
Foreword
By Robert C. Merton
xiii
Introduction
By John Hunkin
xvii
Preface xix
Chapter 1
The Need for Risk Management Systems
1
1. Introduction 1
2. Historical Evolution 4
3. The Regulatory Environment 19
4. The Academic Background and Technological Changes 21
5. Accounting Systems versus Risk Management Systems 29
6. Lessons from Recent Financial Disasters 31
7. Typology of Risk Exposures 34
8. Extending Risk Management Systems to Nonfinancial
Corporations
39
Notes 41
Chapter 2
The New Regulatory and Corporate Environment
45
1. Introduction 45
2. The Group of 30 (G-30) Policy Recommendations 48
3. The 1988 BIS Accord: The "Accord" 53
4. The "1996 Amendment" or "BIS 98" 62
5. The BIS 2000+ Accord 68
Notes 91
Chapter 3
Structuring and Managing the Risk Management Function in a Bank
97
1. Introduction 97
2. Organizing the Risk Management Function: Three-Pillar
Framework
99
Page vi
3. Data and Technological Infrastructure 109
4. Risk Authorities and Risk Control 116
5. Establishing Risk Limits for Gap and Liquidity Management 126
6. Conclusion: Steps to Success 133
Notes 135
Chapter 4
The New BIS Capital Requirements for Financial Risks
137
1. Introduction 137
2. The Standardized Approach 138
3. The Internal Models Approach 150
4. Pros and Cons of the Standardized and Internal Models
Approaches: A New Proposal—the "Precommitment Approach"
162
5. Comparisons of the Capital Charges for Various Portfolios
According to the Standardized and the Internal Models Approaches
165
6. Conclusions 169
Notes 174
Chapter 5
Measuring Market Risk: The VaR Approach
177
1. Introduction 177
2. Measuring Risk: A Historical Perspective 179
3. Defining Value at Risk 187
4. Calculating Value at Risk 196
5. Conclusion: Pros and Cons of the Different Approaches 216
Appendix 1: Duration and Convexity of a Bond 218
Notes 225
Chapter 6
Measuring Market Risk: Extensions of the VaR Approach and Testing
the Models
229
1. Introduction 229
2. Incremental-VaR (IVAR), DeltaVar (DVAR), and Most
Significant Risks
230
3. Stress Testing and Scenario Analysis 232
Page vii
4. Dynamic-VaR 241
5. Measurement Errors and Back-Testing of VaR Models 243
6. Improved Variance-Covariance VaR Model 249
7. Limitations of VaR as a Risk Measure 252
Appendix: Proof of the Deltavar Property 255
Notes 257
Chapter 7
Credit Rating Systems
259
1. Introduction 259
2. Rating Agencies 261
3. Introduction to Internal Risk Rating 269
4. Debt Rating and Migration 275
5. Financial Assessment (Step 1) 282
6. First Group of Adjustment Factors for Obligor Credit Rating 290
7. Second Group of Adjustment Factors for Facility Rating 298
8. Conclusion 301
Appendix 1: Definitions of Key Ratios 302
Appendix 2: Key Financial Analysis Measures 303
Appendix 3A: Prototype Industry Assessment: Telecommunications in Canada 306
Appendix 3B: Prototype Industry Assessment: Footwear and Clothing in Canada 308
Appendix 4: Prototype Country Analysis Report (Condensed Version): Brazil 310
Notes 312
Chapter 8
Credit Migration Approach to Measuring Credit Risk
315
1. Introduction 315
2. CreditMetrics Framework 319
3. Credit VaR for a Bond (Building Block 1) 321
4. Credit VaR for a Loan or Bond Portfolio (Building Block 2) 329
5. Analysis of Credit Diversification (Building Block 2, Continuation) 338
6. Credit VaR and the Calculation of the Capital Charge 339
7. CreditMetrics as a Loan/Bond Portfolio Management Tool: Marginal Risk Measures
(Building Block 2, Continuation)
340
8. Estimation of Asset Correlations (Building Block 3) 342
9. Exposures (Building Block 4) 343
10. Conditional Transition Probabilities: CreditPortfolioView 344
11. Appendix 1: Elements of Merton's Model 347
Appendix 2: Default Prediction—The Econometric Model 350
Appendix 3: Transition Matrix over a Period of Less than One Year 352
Notes 352
Chapter 9
The Contingent Claim Approach to Measuring Credit Risk
357
1. Introduction 357
2. A Structural Model of Default Risk: Merton's (1974) Model 360
3. Probability of Default, Conditional Expected Recovery Value, and Default Spread 364
4. Estimating Credit Risk as a Function of Equity Value 366
5. KMV Approach 368
6. KMV's Valuation Model for Cash Flows Subject to Default Risk 381
7. Asset Return Correlation Model 384
Appendix 1: Integrating Yield Spread with Options Approach 389
Appendix 2: Risk-Neutral Valuation Using "Risk-Neutral" EDFs 392
Appendix 3: Limitations of the Merton Model and Some Extensions 395
Notes 399
Chapter 10
Other Approaches: The Actuarial and Reduced-Form Approaches to Measuring Credit Risk
403
1. Introduction 403
2. The Actuarial Approach: CreditRisk+ 404
3. The Reduced-Form Approach or Intensity-Based Models 411
Notes 422
Page ix
Chapter 11
Comparison of Industry-Sponsored Credit Models and Associated Back-Testing Issues
425
1. Introduction 425
2. Comparison of Industry-Sponsored Credit Risk Models 427
3. Stress Testing and Scenario Analysis 430
4. Implementation and Validation Issues 436
Notes 438
Chapter 12
Hedging Credit Risk
441
1. Introduction 441
2. Credit Risk Enhancement 443
3. Derivative Product Companies 446
4. Credit Derivatives 448
5. Types of Credit Derivatives 452
6. Credit Risk Securitization for Loans and High Yield Bonds 461
7. Regulatory Issues 466
Notes 470
Chapter 13
Managing Operational Risk
475
1. Introduction 475
2. Typology of Operational Risks 478
3. Who Should Manage Operational Risk? 482
4. The Key to Implementing Bank-Wide Operational Risk Management 486
5. A Four-Step Measurement Process for Operational Risk 489
6. Capital Attribution for Operational Risks 505
7. Self-Assessment versus Risk Management Assessment 509
8. Integrated Operational Risk 511
9. Conclusion 513
Appendix 1: Group of Thirty Recommendations: Derivatives and Operational Risk 514
Appendix 2: Types of Operational Risk Losses 518
Page x
Appendix 3: Severity versus Likelihood 519
Appendix 4: Training and Risk Education 519
Appendix 5: Identifying and Quantifying Operational Risk 523
Notes 526
Chapter 14
Capital Allocation and Performance Measurement
529
1. Introduction 529
2. Guiding Principles of RAROC Implementation 538
3. Relationship of RAROC Capital to Market, Credit, and Operational Risks 543
4. Loan Equivalent Approach 549
5. Measuring Exposures and Losses for Derivatives 551
6. Measuring Risk Adjusted Performance: Second Generation of RAROC Model 559
7. Concluding Remarks 566
Appendix 1: First Generation of RAROC Model—Assumptions in Calculating Exposures,
Expected Default, and Expected Losses
570
Notes 577
Chapter 15
Model Risk
579
1. Introduction 579
2. Valuation Models and Sources of Model Risk 581
3. Typology of Model Risks 585
4. What Can Go Wrong? 594
5. What Can Market Risk Management Do to Mitigate Model Risk? 606
6. Conclusions 610
Notes 611
Chapter 16
Risk Management in Nonbank Corporations
615
1. Introduction 615
2. Why Manage Risks? 617
Page xi
3. Procedure for Risk Management 622
4. Accounting Reports 630
5. Reporting Requirements by Securities Authorities 634
Appendix 1: Examples of Reports on Risk Exposure by Nike, Merck, and Microsoft, 1988 645
Notes 659
Chapter 17
Risk Management in the Future
661
1. The Total Risk-Enabled Bank 661
2. External Client Profitability . . . A Partner PlusTM Approach 669
3. Process for Reviewing Risk in Extreme Markets Will Become Standardized 674
4. The Credit Analysis Process and the Need for Integrating Risks 678
5. An Idealized Bank of the Future 684
Appendix: The Relationship between Market Risk, Business Risk, and Credit Risk 685
Notes 690
References 693
Index 709
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