Public disclosure of market and credit risks: risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
1999
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 227 S. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Public Disclosure of Market and Credit Risks
Risk Assessment Methods, Current Reporting Practices and Recommendations
Relating to the Public Disclosure of Market, Credit and Operating Risks
Overview
1. INTRODUCTION 1
PART ONE
RISK ASSESSMENT METHODS 7
2. THE SIMPLE MODELS FOR ANALYSING RISK EXPOSURES 11
3. VALUE AT RISK BASED MODELS 23
4. RISK AS AN INSURANCE PREMIUM: A NEW CONCEPT TO
DISCLOSE RISK 49
5. CASH FLOW SENSITIVITY BASED APPROACH 59
PART TWO
REPORTING FRAMEWORKS 73
6. INTERNAL REPORTING 75
7. RULES AND STANDARDS AFFECTING THE DISCLOSURE OF
FINANCIAL RISK 105
8. PROPOSAL FOR A STANDARD OF MARKET AND CREDIT RISK
DISCLOSURE 167
9. CONCLUSION AND OUTLOOK 187
Contents
ACKNOWLEDGEMENTS IX
FIGURES XI
TABLES XV
1. INTRODUCTION 1
1.1. Objective of the thesis 4
1.2. Structure of the thesis 4
PART ONE
RISK ASSESSMENT METHODS 7
2. THE SIMPLE MODELS FOR ANALYSING RISK EXPOSURES....... 11
2.1. Nominal Position Analysis 11
2.2. Gap analysis 13
2.3. Sensitivity analyses 14
2.3.1. Duration Analyses 15
a) Macaulay Duration 15
b) Modified Duration 16
c) The Key Rate Duration 18
2.3.2. Option related sensitivity analyses 19
a) Delta sensitivity measure 20
b) Gamma 21
2.4. Conclusion 21
3. VALUE AT RISK BASED MODELS 23
23
3.1. INTRODUCTION 3.2. MARKET RISK EXPOSURE COMPUTATIONS USING VAR 3.2.1. The concept for calculating value at risk 3 2 2 The different models in brief 28
3.2.3 Two examples of computation 98
a) VaR computation for a small bank b) VaR computation for FX options . , . . , 33
aa) Delta approximation of option risk 34
bb) Delta Gamma approximation 3.2.4. Critical review of the value at risk concepts 38
3 3 Value at Risk for the disclosure of credit risks 39
3.3.1. J.P. Morgan s CreditMetricsâ„¢ ...40
a) Value at Risk due to Credit 42
b) Correlations for computing credit risk of a portfolio of assets ..43
c) The credit exposure 3.3.2. An example to compute credit risk 47
3.3.3. Comparing credit risk models with their market risk counterparts 47
3.4. Value at risk versus conventional risk assessment methods 4. RISK AS AN INSURANCE PREMIUM: A NEW CONCEPT TO
DISCLOSE RISK 49
49
4.1. The concept: Portfolio insurance 54
4 2. Examples of computation and disclosure 56
4.3. Suitability for external reporting purposes 5. CASH FLOW SENSITIVITY BASED APPROACH 59
61
5 l Determining the stochastic components 61
5.2. THE CASH FLOW STATEMENT 5.2.1. Budgeted operating cash flow IV
5.2.2. Cash flow budget for investing activities 63
5.2.3. Cash flow budget financing activities 63
5.3. Determination of sensitivities 63
5.3.1. Regression analysis 64
5.3.2. Estimation of sensitivities 64
5.4. Simulation 65
5.5. Conclusion 68
PART TWO
REPORTING FRAMEWORKS 73
6. INTERNAL REPORTING 75
6.1. Financial institutions 76
6.1.1. Risk management organisation 76
6.1.2. Forms and contents of the reports 80
a) Market risk report 81
b) Credit risk report 84
c) Operating risk report 86
6.1.3. Summary of current risk management practices 87
6.2. Risk management of non financial institutions: a survey 88
6.2.1. Risk management organisation 89
a) Central risk management and capital allocation 89
b) Local risk management 91
6.2.2. Instruments for determining risk exposures 92
a) Market risk exposures 94
b) Credit risk exposure 95
c) Frequency of exposure computation and back testing 96
d) Weaknesses of the financial risk assessment models used 97
6.2.3. Reporting of financial risk exposures 99
a) Principal addressees of internal financial risk reports 99
b) Content of the reports 101
aa) Market risk report 101
V
bb) Credit risk report c) Strategy development sessions 6.2.4. Summary of the reporting practices of commercial companies 6.3. SUMMARY OF CURRENT FINANCIAL RISK MANAGEMENT PRACTICES 104
7. RULES AND STANDARDS AFFECTING THE DISCLOSURE OF
FINANCIAL RISK 105
7.1. SPECIAL RULES OF THE BANKING INDUSTRY 1AA
7 11. Recommendation of the Euro currency Standing Committee „ . , 106
a) Rationale 108
b) Recommendation for the external disclosure of market risks c) Recommendation for the external disclosure of credit risk 109
7.1.2. Recommendations of the FEE 7.1.3. Risk disclosure in practice a) Qualitative information b) Quantitative disclosure 119
7.2. International Accounting Standard Committee (IASC) 120
7.2.1. Financial Instruments: disclosure and presentation (IAS 32) a) Recognition and measurement 120
b) Disclosure 122
c) Compliance date 7.2.2. Discussion paper: Accounting for financial assets and financial liabilities 122
a) Recognition 123
b) Discontinuing recognition 123
c) Measurement on initial recognition 123
d) Measurement subsequent to initial recognition e) Additional information on financial risk exposures and risk management policies
124
7.2.3. Examples of application of IAS 32 a) UBS 1997 Annual report
b) Novartis financial review 1997 VI
c) Summary 133
7.3. Financial Accounting Standards Board (FASB) 134
7.3.1. SFAS No. 105 134
7.3.2. SFAS No. 107 137
7.3.3. SFAS No. 119 137
7.3.4. The exposure draft No. 162 B 139
7.4. The US Securities and Exchange Commission (SEC) 141
7.4.1. Aim of the rule 141
7.4.2. Disclosure of quantitative and qualitative information about market risk 141
a) Quantitative information 141
aa) Financial instruments and disclosure 142
bb) Changing the computation mode 143
cc) Encouraged disclosures 143
b) Qualitative information 144
c) Safe harbour for forward looking information 144
d) Compliance dates 145
7.4.3. Examples of the application of the SEC rule 145
a) Ford Motor Company 148
b) Caterpillar Inc 151
c) General Motors Corporation and subsidiaries 155
d) Daimler Benz Aktiengesellschaft 157
e) Summary 160
7.5. Summary of current reporting practices 162
8. PROPOSAL FOR A STANDARD OF MARKET AND CREDIT RISK
DISCLOSURE 167
8.1. Objectives of the proposed standard 168
8.2. Scope 169
8.3. Definitions 170
8.4. Disclosure 172
8.4.1. Market risk 173
VII
a) Qualitative disclosures 173
b) Quantitative disclosures 175
aa) Tabular presentation 175
bb) Sensitivity analysis 179
cc) Value at risk 180
dd) Other recommended methods for external reporting purposes 182
8.4.2. Credit risk 182
8.4.3. Operations risk 183
8.5. Location in the annual reports 185
9. CONCLUSION AND OUTLOOK 187
REFERENCES 189
ANNUAL REPORTS 199
APPENDIX I 209
APPENDIX II 211
APPENDIX HI 213
APPENDIX IV 215
APPENDIX V 219
APPENDIX VI 227
VIII
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| spelling | Aerni, Matthias Verfasser aut Public disclosure of market and credit risks risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks vorgelegt von Matthias Aerni 1999 XV, 227 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 1999 Risikomanagement / Kreditrisiko / Publizitätspflicht / Theorie / Welt Unternehmen (DE-588)4061963-1 gnd rswk-swf Publizitätspflicht (DE-588)4134205-7 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Unternehmen (DE-588)4061963-1 s Publizitätspflicht (DE-588)4134205-7 s Risikoanalyse (DE-588)4137042-9 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008789196&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Aerni, Matthias Public disclosure of market and credit risks risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks Risikomanagement / Kreditrisiko / Publizitätspflicht / Theorie / Welt Unternehmen (DE-588)4061963-1 gnd Publizitätspflicht (DE-588)4134205-7 gnd Risikoanalyse (DE-588)4137042-9 gnd |
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| title | Public disclosure of market and credit risks risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks |
| title_auth | Public disclosure of market and credit risks risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks |
| title_exact_search | Public disclosure of market and credit risks risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks |
| title_full | Public disclosure of market and credit risks risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks vorgelegt von Matthias Aerni |
| title_fullStr | Public disclosure of market and credit risks risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks vorgelegt von Matthias Aerni |
| title_full_unstemmed | Public disclosure of market and credit risks risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks vorgelegt von Matthias Aerni |
| title_short | Public disclosure of market and credit risks |
| title_sort | public disclosure of market and credit risks risk assessment methods current reporting practices and recommendations relating to the public disclosure of market credit and operating risks |
| title_sub | risk assessment methods, current reporting practices and recommendations relating to the public disclosure of market, credit and operating risks |
| topic | Risikomanagement / Kreditrisiko / Publizitätspflicht / Theorie / Welt Unternehmen (DE-588)4061963-1 gnd Publizitätspflicht (DE-588)4134205-7 gnd Risikoanalyse (DE-588)4137042-9 gnd |
| topic_facet | Risikomanagement / Kreditrisiko / Publizitätspflicht / Theorie / Welt Unternehmen Publizitätspflicht Risikoanalyse Hochschulschrift |
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