Managing credit risk: Vol. 2 The lessons of VaR failures and imprudent exposure
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London
Euromoney Books
2000
|
| Edition: | 1. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIX, 224 S. |
| ISBN: | 1855647621 |
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MARC
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| 245 | 1 | 0 | |a Managing credit risk |n Vol. 2 |p The lessons of VaR failures and imprudent exposure |c Dimitris Chorafas |
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Record in the Search Index
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| adam_text | Contents
Foreword ix
Acknowledgements x
Preface xvii
Part One Background reasons for failures in the banking industry
Chapter 1 Lust, greed and imprudent exposure to risk 1
1.1 Introduction 1
1.2 Tulips, derivatives and runaway credits 2
1.3 South Sea, Mississippi bubble and pyramiding adventures 5
1.4 BCCI: pyramiding the whole institution 7
1.5 Bankers Trust: derivatives deals that shot the dealer 9
Chapter 2 Overexposure is always a sign of internal control deficiencies 13
2.1 Introduction 13
2.2 Internal control and the experiences of the Bank of
New England 14
2.3 The correlation between superleveraging and inept
management 17
2.4 Moral hazard in the financial industry 21
2.5 The price of failure of a company s accounting system 23
Chapter 3 Fallen idols, Long Term Capital Management and VAR 27
3.1 Introduction 27
3.2 Who believes in market neutral strategies for hedge funds? 28
3.3 LTCM, excessive leverage, deep red ink, and moral hazard 30
3.4 The day after the Rolls Royce of hedge funds got flat tyres 33
3.5 Hedge funds, new banking regulations and transparency 35
3.6 Marking to model and the misuse of VAR 37
Part Two Capitalising on technology without going overboard
Chapter 4 Managing credit risk through the demodulation of notional
principal amount 43
4.1 Introduction 43
4.2 Notional principal amount, and the usefulness of its
contractual base 44 HH|
4.3 Morphing the contractual base into an estimate of risk 46 HSU
O4.4 Estimating derivatives exposure when the notional principal
is US trillion 50
4.5 Using a better focused divisor to estimate credit risk with
derivatives trades 54
4.6 Taking a closer look at credit risk associated to off balance
sheet instruments 55
4.7 Credit volatility, insolvency and default 58
Chapter 5 Managing market risk through the demodulation of notional
principal amount 61
5.1 Introduction 61
5.2 An introduction to the concept of tolerances and statistical
quality control 62
5.3 How to calculate the demodulator of notional principal for
market risk 64
5.4 An analytical demodulation of derivatives by family of
transactions 66
5.5 Normal, reduced and tightened quality inspection 70
5.6 Degree of confidence and changes in inspection levels 73
5.7 The importance of being accurate rather than precise 76
Chapter 6 What can and cannot be done through mathematical analysis
and modelling 79
6.1 Introduction 79
6.2 A quick look at past experience of financial models 80
6.3 The wrong approach to risk management: manual checking
of data feeds 82
6.4 Model accuracy depends on correct assumptions and
infrastructure 85
6.5 A risk adjusted evaluation of our bank s trades 86
6.6 Model literacy is a prerequisite to marking to model 89
Chapter 7 The financial industry expects from credit risk models more
than they can deliver 93
7.1 Introduction 93
7.2 The key role of managers in the success of models 94
7.3 Credit risk models, lending horizons and expected losses 96
7.4 Valuation models shortcomings due to non linearities 98
7.5 LTCM, non linear models and phase down shifts 100
7.6 Models needed to study widening spreads in interest rates 104
Chapter 8 The role of models and the decline of NatWest Markets 107
8.1 Introduction 107
8.2 Model risk and mispricing of options by NatWest Markets 108
8.3 Volatility smiles and volatility valleys HO
8.4 Credit risk and market risk and the pricing of instruments 113
8.5 The penalty for mispricing 115
8.6 The break up and selling of NatWest Markets H6
8.7 The departure of Barclays Bank from the big league of
investment banking 117
Part Three Evaluating strengths and weaknesses of better known
mathematical models
Chapter 9 Credit risk models: Risk Adjusted Return On Capital
and its competitors 121
9.1 Introduction 121
9.2 Risk Adjusted Return On Capital and the contribution of
the global assets applications architecture 122
9.3 Methods, systems and different levels of risk 124
9.4 CreditMetrics and Actuarial Credit Risk Accounting 127
9.5 Expected Default Frequency and Loan Analysis System 129
9.6 CreditRisk+ and the opportunity to add value to
existing models 132
Chapter 10 The use of VAR models for credit risk 137
10.1 Introduction 137
10.2 VAR and its contemplated extension into CreditVAR 138
10.3 Appreciating the concept of confidence intervals 139
10.4 What is needed to account for credit exposure? 143
10.5 Taking stock of credit ratings in evaluating counterparty risk 145
10.6 Incorporating delta and gamma sensitivities into VAR 148
Chapter 11 Why some bankers have become sceptical about VAR 151
11.1 Introduction 151
11.2 A short descriptive list of VAR failures 152
11.3 Opinions of commercial bankers critical of VAR 154
11.4 Normal distribution and other flaws associated to the use
of VAR 157
11.5 Defects in the computation of VAR because of
organisational causes 160
11.6 Are we seeing the downfall of VAR and of classical risk
management systems? 162
Chapter 12 The control of eigenmodels by banking supervisors 165
12.1 Introduction 165
12.2 Financial reporting, risk parameters and the role of
central banks 166
12.3 Concepts underpinning the verification of eigenmodels 170
12.4 Improving the process of validating internal control 173
12.5 Reviewing results of stress testing and scenario analysis 176
12.6 Evaluating eigenmodels and auditing internal control
in Germany 178
Part Four Mismanagement in the financial industry and its
consequences
Chapter 13 Lloyd s of London: the aftermath of deficient control 183
13.1 Introduction 183
13.2 Names , the underwriting members of Lloyd s who paid §b|MIb
the final bill 184 Wmm
¦¦I 13.3 The Names ask for their money back and turn
U^g against Lloyd s 186
13.4 Compensating for credit risk when the treasury is empty 188
13.5 Different judges don t necessarily reach the same decisions 191
13.6 Lloyd s of London is now a name exploited by special
underwriting vehicles 194
Chapter 14 Brokers risk, penny stocks, junk bonds and Ponzi schemes 199
14.1 Introduction 199
14.2 An investment banking strategy which went wrong because
internal controls were missing 200
14.3 A class action against securities lending practices 202
14.4 Penny stocks, boiler rooms and stock crashes 204
14.5 Below investment level (BBB+) bonds guaranteed
by municipals 206
14.6 White collar crime: absolute power corrupts absolutely 208
14.7 FundAmerica and the beatification of Ponzi schemes 209
14.8 A US million charity scam: the Foundation for
New Era Philanthropy 210
Chapter 15 Credit lyonnais and the role of governments in financial risk
management 213
15.1 Introduction 213
15.2 The fall of Credit Lyonnais 214
15.3 Some bankers think that money grows on trees 216
15.4 Restructuring Credit Lyonnais through the Consortium for
Realisation (CDR) 217
15.5 Coming up from under is not easy even with privatisation 219
15.6 The pitfalls that may await 220
15.7 Paternalism which defies regulation 221
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| any_adam_object | 1 |
| author | Chorafas, Dimitris N. 1926-2014 |
| author_GND | (DE-588)107941961 |
| author_facet | Chorafas, Dimitris N. 1926-2014 |
| author_role | aut |
| author_sort | Chorafas, Dimitris N. 1926-2014 |
| author_variant | d n c dn dnc |
| building | Verbundindex |
| bvnumber | BV017993226 |
| ctrlnum | (OCoLC)51069281 (DE-599)BVBBV017993226 |
| dewey-full | 332.1068 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1068 |
| dewey-search | 332.1068 |
| dewey-sort | 3332.1068 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Book |
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| indexdate | 2024-07-09T19:23:56Z |
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| physical | XIX, 224 S. |
| publishDate | 2000 |
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| spelling | Chorafas, Dimitris N. 1926-2014 Verfasser (DE-588)107941961 aut Managing credit risk Vol. 2 The lessons of VaR failures and imprudent exposure Dimitris Chorafas 1. ed. London Euromoney Books 2000 XIX, 224 S. txt rdacontent n rdamedia nc rdacarrier Credit Management Risk management (DE-604)BV017993216 2 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010778919&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chorafas, Dimitris N. 1926-2014 Managing credit risk Credit Management Risk management |
| title | Managing credit risk |
| title_auth | Managing credit risk |
| title_exact_search | Managing credit risk |
| title_full | Managing credit risk Vol. 2 The lessons of VaR failures and imprudent exposure Dimitris Chorafas |
| title_fullStr | Managing credit risk Vol. 2 The lessons of VaR failures and imprudent exposure Dimitris Chorafas |
| title_full_unstemmed | Managing credit risk Vol. 2 The lessons of VaR failures and imprudent exposure Dimitris Chorafas |
| title_short | Managing credit risk |
| title_sort | managing credit risk the lessons of var failures and imprudent exposure |
| topic | Credit Management Risk management |
| topic_facet | Credit Management Risk management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010778919&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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