Credit and market risk: an analysis of capital requirements for banking institutions
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Capelle a/d IJssel
Labyrint Publ.
1997
|
| Series: | Theses on systems, organisations and management
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Groningen, Rijksuniv., Diss., 1997 |
| Physical Description: | 249 S. graph. Darst. |
| ISBN: | 9072591437 |
Staff View
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Record in the Search Index
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| adam_text | Credit and Market Risk
An analysis of Capital Requirements for Banking Institutions
Contents
1 General introduction
1.1 Focus and purpose of this study 1
1.2 Recent international regulation 3
1.3 Risk based capital requirements 5
1.3.1 From flat rates to risk based capital requirements 5
1.3.2 Effectiveness of the risk based capital requirements 7
1.3.3 Efficiency of the risk based capital requirements 8
1.4 Optimal risk based capital requirements 9
1.5 Conclusion 10
2 Credit and market risk: scope and definitions
2.1 Introduction 13
2.2 The size, growth, and global integration of derivatives markets 14
2.3 Reasons for the use of derivatives 18
2.3.1 Risk management 18
2.3.2 Cost saving or yield enhancement 19
2.3.3 Speculation 21
2.4 Risk and exposure: definitions and concepts 22
2.4.1 Credit risk 22
2.4.2 Market risk 27
2.4.3 Liquidity risk 30
2.4.4 Settlement risk 32
2.4.5 Country risk 33
2.4.6 Summary of risk concepts 34
2.5 Reduction of credit risk 35
2.6 Conclusions 38
3 Credit and market risk: banking regulation
3.1 Introduction 41
3.2 The supervisory treatment of credit risk exposure 42
3.2.1 The relevant value of assets:
the measurement of credit risk exposure 43
3.2.2 The risk adjustment 46
3.2.3 The definition of capital 48
3.2.4 Risk reducing measures 50
3.2.5 Critical notes on measuring credit risk 53
3.3 The supervisory treatment of market risk exposure 54
3.3.1 Specific market risk 56
3.3.2 General market risk: equity prices 58
3.3.3 General market risk: interest rates 59
3.3.4 General market risk: exchange rates 66
3.3.5 General market risk: commodity prices 69
3.3.6 Treatment of derivatives 70
3.3.7 Critical notes on measuring market risks 71
3.4 Comparing the simplified BC approach and conventional
supervisory methods for market risk exposures 74
3.5 Use of in house models for the determination of market
risk exposures 76
3.5.1 Qualitative standards 76
3.5.2 Quantitative standards 78
3.5.3 The multiplication factor 78
3.6 Conclusion 79
3.6.1 Choices in analysing the capital requirements for credit
risk and market risk 80
Appendix 3.A Overview of the relevant publications 82
Appendix 3.B The BC definition of capital elements included in the
capital base 85
Appendix 3.C The qualitative and quantitative standards for in house
bank models 86
4 A dynamic interest rate model
4.1 Introduction 91
4.2 Mean reverting interest rate models 92
4.3 Hull and White extended Vasicek model 94
4.3.1 The estimation of a and a 95
4.3.2 The specification of ty(t) 100
4.4 Conclusion 101
5 A dynamic exchange rate model
5.1 Introduction 103
5.2 Determining exchange rate behaviour: an overview 104
5.2.1 Models based on the purchasing power parity 104
5.2.2 Asset market models 105
5.2.3 Models based on the forward exchange market 106
5.3 The spot rate as predictor 109
5.4 Choosing the forward rate based model 114
5.5 The distribution of exchange rate changes 115
5.6 Monthly changes resemble a normal distribution 119
5.6.1 Symmetric stable Paretian distributions 122
5.6.2 Determination of a 123
5.6.3 Results 124
5.7 Conclusion 128
6 Credit risk exposure
6.1 Introduction 129
6.2 The concept of credit risk exposure 131
6.2.1 Current credit risk exposure 131
6.2.2 Quantifying potential future credit risk exposure 132
6.2.3 Average expected exposure 133
6.2.4 Overall credit risk exposure 136
6.3 Forward foreign exchange contracts 140
6.3.1 The expected potential credit risk exposure determined
analytically 140
6.3.2 The average expected exposure 143
6.3.3 The overall credit risk exposure 148
6.3.4 Comparison with BC induced regulation 150
6.4 Interest rate swaps 154
6.4.1 The expected potential credit risk exposure using simulations 156
6.4.2 The average expected exposure 158
6.4.3 The overall credit risk exposure 165
6.4.4 Credit risk exposure for managerial purposes 168
6.5 Currency swaps 169
6.5.1 The expected potential crdit risk exposure using simulations 171
6.5.2 The average expected exposure and the overall exposure 172
6.6 Evaluation of the differences between the BC and AEE based exposures 180
6.7 Conclusions 184
7 The analysis of market risk models
7.1 Introduction 187
7.2 Value at risk models 188
7.2.1 Variance/covariance matrix method 189
7.2.2 Full valuation method 190
7.3 An alternative full valuation model 192
7.4 Some additional assumptions for the model simulations 195
7.5 Comparing the CF, EU, and BC models: interest rate risk 198
7.5.1 Results for CF, EU, and BC models 200
7.5.2 The adjusted EU models 206
7.6 Comparing the CF, EU, and BC models: interest and exchange rate risk 207
7.7 Conclusion 208
8 Summary and Conclusions
8.1 Introduction 211
8.2 Credit and market risk, and BC and EU regulation 212
8.3 Interest and exchange rate models 215
8.4 Credit and market risk exposure 216
8.4.1 Credit risk exposure 216
8.4.2 Market risk exposure 218
8.5 Recommendations 221
Summary in Dutch 223
References 233
|
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| ctrlnum | (OCoLC)469329892 (DE-599)BVBBV012071544 |
| discipline | Wirtschaftswissenschaften |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV012071544 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:21:10Z |
| institution | BVB |
| isbn | 9072591437 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008171553 |
| oclc_num | 469329892 |
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| owner_facet | DE-19 DE-BY-UBM DE-355 DE-BY-UBR DE-384 |
| physical | 249 S. graph. Darst. |
| publishDate | 1997 |
| publishDateSearch | 1997 |
| publishDateSort | 1997 |
| publisher | Labyrint Publ. |
| record_format | marc |
| series2 | Theses on systems, organisations and management |
| spelling | Coppes, Robert Christopher Verfasser aut Credit and market risk an analysis of capital requirements for banking institutions Robert C. Coppes Capelle a/d IJssel Labyrint Publ. 1997 249 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Theses on systems, organisations and management Zugl.: Groningen, Rijksuniv., Diss., 1997 Kreditrisiko (DE-588)4114309-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditrisiko (DE-588)4114309-7 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008171553&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Coppes, Robert Christopher Credit and market risk an analysis of capital requirements for banking institutions Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4113937-9 |
| title | Credit and market risk an analysis of capital requirements for banking institutions |
| title_auth | Credit and market risk an analysis of capital requirements for banking institutions |
| title_exact_search | Credit and market risk an analysis of capital requirements for banking institutions |
| title_full | Credit and market risk an analysis of capital requirements for banking institutions Robert C. Coppes |
| title_fullStr | Credit and market risk an analysis of capital requirements for banking institutions Robert C. Coppes |
| title_full_unstemmed | Credit and market risk an analysis of capital requirements for banking institutions Robert C. Coppes |
| title_short | Credit and market risk |
| title_sort | credit and market risk an analysis of capital requirements for banking institutions |
| title_sub | an analysis of capital requirements for banking institutions |
| topic | Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Kreditrisiko Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008171553&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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