Risk management for central banks and other public investors:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Cambridge [u.a.]
Cambridge Univ. Press
2009
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 490 - 506 |
| Physical Description: | XXVI, 514 S. graph Darst. |
| ISBN: | 9780521518567 |
Staff View
MARC
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| 245 | 1 | 0 | |a Risk management for central banks and other public investors |c ed. by Ulrich Bindseil ... |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2009 | |
| 300 | |a XXVI, 514 S. |b graph Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Literaturverz. S. 490 - 506 | ||
| 650 | 4 | |a Banks and banking, Central | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Portfolio management | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-017091520 | ||
Record in the Search Index
| _version_ | 1804138581103476736 |
|---|---|
| adam_text | Contents
List of figures page
χ
List of tables
xii
List of boxes
xv
Foreword
xvii
José-Manuel González-Páramo
Introduction
xx
Ulrich
Bindseil,
Fernando Gonzalez and Evangelos Tabakis
Part I Investment operations
1
1
Central banks and other public institutions as financial investors
3
Ulrich Bindseil
1
Introduction
3
2
Public institutions specificities as investors
4
3
How policy tasks have made central banks large-scale investors
10
4
Optimal degree of diversification of public institutions
financial assets
17
5
How actively should public institutions manage their
financial assets?
23
6
Policy-related risk factors
29
7
The role of central bank capital
-
a simple model
34
8
Integrated risk management for public investors
41
9
Conclusions
48
2
Strategic asset allocation for fixed-income investors
49
Matti
Koivu, Fernando Monar
Lora,
and Ken Nyholm
1
Introduction
49
2
A primer on strategic asset allocation
50
3
Components of the ECB investment process
68
Contents
4
Forward-looking modelling of the stochastic factors
75
5
Optimization models for SAA under a shortfall approach
89
6
The ECB case: an application
99
Credit risk modelling for public institutions investment
portfolios
117
Han van
der Hoorn
1
Introduction
117
2
Credit risk in central bank and other public investors portfolios
118
3
The ECB s approach towards credit risk modelling: issues
and parameter choices
122
4
Simulation results
143
5
Conclusions
155
Risk control, compliance monitoring and reporting
157
Andres
Manzanares
and
Henrik Schwanzlose
1
Introduction
157
2
Overview of the distribution of portfolio management tasks
within the
Eurosystem 159
3
Limits
161
4
Portfolio management oversight tasks
179
5
Reporting on risk and performance
189
6
IT and risk management
196
Performance measurement
207
Hervé
Bourquin and Roman
Marton
1
Introduction
207
2
Rules for return calculation
208
3
Two-dimensional analysis: risk-adjusted performance measures
213
4
Performance measurement at the ECB
219
Performance attribution
222
Roman
Marton
and
Hervé
Bourquin
1
Introduction
222
2
Multi-factor return decomposition models
224
3
Fixed-income portfolios: risk factor derivation
228
4
Performance attribution models
241
5
The ECB approach to performance attribution
257
6
Conclusions
267
Contents
Part II: Policy operations
269
7
Risk management and market impact of central bank
credit operations
271
Ulrich
Bindseil
and Francesco Papadia
1
Introduction
271
2
The collateral framework and efficient risk mitigation
274
3
A cost-benefit analysis of a central bank collateral
framework
284
4
Conclusions
300
8
Risk mitigation measures and credit risk assessment in central
bank policy operations
303
Fernando Gonzalez and
Phillipe Molitor
1
Introduction
303
2
Assessment of collateral credit quality
307
3
Collateral valuation: marking to market
315
4
Haircut determination methods
318
5
Limits as a risk mitigation tool
337
6
Conclusions
338
9
Collateral and risk mitigation frameworks of central bank
policy operations
-
a comparison across central banks
340
Evangelos Tabakis and Benedict
Weiler
1
Introduction
340
2
General comparison of the three collateral frameworks
342
3
Eligibility criteria
348
4
Credit risk assessment and risk control framework
353
5
Conclusions
357
10
Risk measurement for
a repo
portfolio
-
an application to the
Eurosystem s collateralized lending operations
359
Elke
Heinle and
Matti Koivu
1
Introduction
359
2
Simulating credit risk
360
3
Simulating liquidity-related risks
366
4
Issues related to concentration risks
368
5
Risk measures: Credit Value-at-Risk and Expected Shortfall
376
6
An efficient Monte Carlo approach for credit risk estimation
379
Contents
7 Residual
risk estimation for the Eurosystem s credit operations
387
8
Conclusions
393
11
Central bank financial crisis management from a risk
management perspective
394
Ulrich Bindseil
1
Introduction
394
2
Typology of financial crisis management measures
396
3
Review of some key results of the literature
399
4
Financial stability role of central bank operational framework
416
5
The inertia principle of central bank risk management
in crisis situations
418
6
Equal access FCM measures
422
7
FCM measures addressed to individual banks
(ELA)
434
8
Conclusions
437
Part III: Organizational issues and operational risk
441
12
Organizational issues in the risk management function
of central banks
443
Evangelos Tabakis
1
Introduction
443
2
Relevance of the risk management function in a central bank
444
3
Risk management best practices for financial institutions
445
4
Six principles in the organization of risk management
in central banks
448
5
Conclusions
459
13
Operational risk management in central banks
460
Jean-Charles Sevet
1
Introduction
460
2
Central bank specific
ORM
challenges
463
3
Definition of operational risk
465
4
ORM
as overarching framework
468
5
Taxonomy of operational risk
469
6
The
ORM lifecycle
471
7
Operational risk tolerance policy
472
8
Top-down self-assessments
476
Contents
9
Bottom-up self-assessments
479
10
ORM
governance
483
11
KRIs and
ORM
reporting
484
12
Conclusions
488
References
490
Index
507
|
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| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV035286386 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T21:30:27Z |
| institution | BVB |
| isbn | 9780521518567 |
| language | English |
| lccn | 2008037141 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017091520 |
| oclc_num | 244767410 |
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| owner | DE-703 DE-355 DE-BY-UBR DE-83 DE-2070s |
| owner_facet | DE-703 DE-355 DE-BY-UBR DE-83 DE-2070s |
| physical | XXVI, 514 S. graph Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Cambridge Univ. Press |
| record_format | marc |
| spelling | Risk management for central banks and other public investors ed. by Ulrich Bindseil ... 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2009 XXVI, 514 S. graph Darst. txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. 490 - 506 Banks and banking, Central Risk management Portfolio management Notenbank (DE-588)4042669-5 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Notenbank (DE-588)4042669-5 s Portfoliomanagement (DE-588)4115601-8 s DE-604 Bindseil, Ulrich 1969- Sonstige (DE-588)114189935 oth Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017091520&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Risk management for central banks and other public investors Banks and banking, Central Risk management Portfolio management Notenbank (DE-588)4042669-5 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4042669-5 (DE-588)4115601-8 |
| title | Risk management for central banks and other public investors |
| title_auth | Risk management for central banks and other public investors |
| title_exact_search | Risk management for central banks and other public investors |
| title_full | Risk management for central banks and other public investors ed. by Ulrich Bindseil ... |
| title_fullStr | Risk management for central banks and other public investors ed. by Ulrich Bindseil ... |
| title_full_unstemmed | Risk management for central banks and other public investors ed. by Ulrich Bindseil ... |
| title_short | Risk management for central banks and other public investors |
| title_sort | risk management for central banks and other public investors |
| topic | Banks and banking, Central Risk management Portfolio management Notenbank (DE-588)4042669-5 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Banks and banking, Central Risk management Portfolio management Notenbank Portfoliomanagement |
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