Bank management and control: strategy, capital and risk management
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2014
|
| Schriftenreihe: | Management for Professionals
|
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | XIII, 120 S. graph. Darst., Kt. 235 mm x 155 mm |
| ISBN: | 9783642403736 3642403735 |
Internformat
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Datensatz im Suchindex
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| adam_text |
1 OUTLINE 1
2 BANK MANAGEMENT AND STEERING 3
2.1 STRATEGY PLANNING: ITERATIVE PROCESS 3
2.1.1 PROCESS OF PLANNING 3
2.1.2 CAPITAL ALLOCATION 6
2.2 STRATEGY PLANNING: TOOLS 8
2.2.1 EAR/CAR: OVERALL AGGREGATION 9
2.2.2 SCENARIO BASED ASSESSMENT/STRESS TESTING 13
2.3 CAPITAL OPTIMIZATION 23
3 BANKS IN THEIR REGULATORY AND ECONOMIC ENVIRONMENT 25
3.1 ECONOMIC AND POLITICAL ASPECTS 25
3.2 TYPES OF BANKS 26
3.3 BANKS IN DIFFERENT LEGISLATIONS 27
3.4 ROLE OF THE BANKS' CREDIT RATING 28
3.5 ROLE OF RATING AGENCIES 28
3.6 ROLE OF THE INTERNATIONAL SWAPS AND DERIVATIVES ASSOCIATION
(ISDA) 29
3.7 REGULATORY ENVIRONMENT 29
3.7.1 BIS 29
3.7.2 BIS AND THE GREAT DEPRESSION: HISTORY IN A NUTSHELL . 30
3.7.3 BASEL II 30
3.7.4 BASEL 2.5 32
3.7.5 BASEL III 32
3.8 ISSUE OVERVIEW 35
3.9 ISSUE COMPLEXITY AND RISK IDENTIFICATION 36
3.9.1 SALE-AND LEASE-BACK-TRANSACTIONS 36
3.9.2 SECURITIZATION AND SUBPRIME 37
4 RISK MODELING AND CAPITAL: CREDIT RISK (LOANS) 39
4.1 PRICING AND EXPECTED LOSS 39
4.1.1 ADVERSE SELECTION 40
4.1.2 RISK ADJUSTED PRICING AND ROE 40
HTTP://D-NB.INFO/1038191076
XIJ CONTENTS
4.2 LOAN LOSS PROVISIONING 40
4.3 CAPITAL: RELEVANT POINTS 41
4.3.1 DEFAULT DEFINITION 42
4.3.2 MATURITY 43
4.3.3 GRANULARITY OF RATING ENGINES 45
4.3.4 CLASSIFICATION OF ASSETS 46
4.3.5 RECENT BUBBLES 48
4.3.6 DOWNTURN PD 49
4.3.7 MISSING VALUES 50
4.4 PD-RATING TOOLS AND LGD-TOOLS 51
4.5 RATING TOOLS (PD) 51
4.5.1 DEVELOPMENT OF RATING TOOLS 51
4.5.2 CALIBRATION OF THE RATING TOOLS 53
4.5.3 EXAMPLE OF A CORPORATE RATING TOOL 55
4.6 LGD-TOOLS 57
4.6.1 LGD-TOOL FOR MACHINERY LIKE CARS, TRUCKS, PLANES,
CONSTRUCTION MACHINES 58
4.6.2 LGD-TOOL FOR MORTGAGES 60
4.7 BACKTESTING WITHIN CREDIT RISK 63
4.7.1 BACKTESTING VERSUS VALIDATION 63
4.7.2 BACKTESTING 63
4.7.3 BACKTESTING FRAMEWORK PD 65
4.7.4 BACKTESTING FRAMEWORK LGD 67
5 RISK MODELING AND CAPITAL: COUNTERPARTY CREDIT RISK (EPE) . 69
5.1 CASH FLOWS AND EXPOSURE 69
5.1.1 CONSIDERATION OF COLLATERAL 71
5.1.2 PARAMETERS WITHIN EPE 72
5.2 AMERICAN MONTE CARLO
SIMULATION/LONGSTAFF-SCHWARZ-REGRESSION 72
5.3 WRONG WAY RISK (WWR) 72
6 RISK MODELING AND CAPITAL: CREDIT RISK (SECURITIZATIONS) 75
7 RISK MODELING AND CAPITAL: MARKET RISK 77
7.1 PRICING 77
7.2 VAR 77
7.3 RISKS NOT COVERED IN VAR 78
7.4 BACKTESTING 79
8 RISK MODELING AND CAPITAL: OPERATIONAL RISK 81
8.1 AMA MODEL: SCENARIOS 81
8.2 AMA MODEL: MODELING AND SIMULATION 84
8.3 INTERNAL DATA/EXTERNAL DATA 91
8.4 CONTROLS 91
8.5 BACKTESTING 92
CONTENTS XIII
9 RISK MODELING: ASSET LIABILITY MANAGEMENT (ALM) 93
9.1 NEW MEASURES LCR AND NSFR 93
9.1.1 LCR 94
9.1.2 NSFR 94
9.2 IMPACT ON LIQUIDITY PLANNING AND BUSINESS 96
9.3 IMPACT OF THE CORPORATIONS' OWN RATING 96
10 APPENDIX: A-IRB FORMULAS FOR THE DERIVATION
OF RISK-WEIGHTED ASSETS 97
10.1 RESIDENTIAL MORTGAGE EXPOSURE 97
10.2 QUALIFYING REVOLVING RETAIL EXPOSURES 98
10.3 OTHER RETAIL 98
10.4 CORPORATE, SOVEREIGN, BANKS AND FINANCIAL INSTITUTIONS 98
10.5 BIG BANKS AND FINANCIAL INSTITUTIONS 99
10.6 CORPORATE: SME 99
10.7 SPECIALIZED LENDING 100
10.8 GRANULARITY ADJUSTMENT 100
11 APPENDIX: CREDIT PORTFOLIO MODELING 101
12 APPENDIX: COUNTRY RISK/ISSUER RISK 103
13 APPENDIX: SETTLEMENT RISK AND SYSTEMIC RISK 105
14 APPENDIX: HISTORICAL DATA 107
ABBREVIATIONS ILL
GLOSSARY 115
BIBLIOGRAPHY 119 |
| any_adam_object | 1 |
| author | Wernz, Johannes |
| author_facet | Wernz, Johannes |
| author_role | aut |
| author_sort | Wernz, Johannes |
| author_variant | j w jw |
| building | Verbundindex |
| bvnumber | BV041362231 |
| classification_rvk | QK 300 |
| ctrlnum | (OCoLC)858043527 (DE-599)DNB1038191076 |
| 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 |
| format | Book |
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| institution | BVB |
| isbn | 9783642403736 3642403735 |
| language | English |
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| spelling | Wernz, Johannes Verfasser aut Bank management and control strategy, capital and risk management Johannes Wernz Berlin [u.a.] Springer 2014 XIII, 120 S. graph. Darst., Kt. 235 mm x 155 mm txt rdacontent n rdamedia nc rdacarrier Management for Professionals Management (DE-588)4037278-9 gnd rswk-swf Strategisches Management (DE-588)4124261-0 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Controlling (DE-588)4070102-5 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Bank (DE-588)4004436-1 s Strategisches Management (DE-588)4124261-0 s Risikomanagement (DE-588)4121590-4 s Controlling (DE-588)4070102-5 s DE-604 Management (DE-588)4037278-9 s b DE-604 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=4390749&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026810554&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wernz, Johannes Bank management and control strategy, capital and risk management Management (DE-588)4037278-9 gnd Strategisches Management (DE-588)4124261-0 gnd Bank (DE-588)4004436-1 gnd Controlling (DE-588)4070102-5 gnd Risikomanagement (DE-588)4121590-4 gnd |
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| title | Bank management and control strategy, capital and risk management |
| title_auth | Bank management and control strategy, capital and risk management |
| title_exact_search | Bank management and control strategy, capital and risk management |
| title_full | Bank management and control strategy, capital and risk management Johannes Wernz |
| title_fullStr | Bank management and control strategy, capital and risk management Johannes Wernz |
| title_full_unstemmed | Bank management and control strategy, capital and risk management Johannes Wernz |
| title_short | Bank management and control |
| title_sort | bank management and control strategy capital and risk management |
| title_sub | strategy, capital and risk management |
| topic | Management (DE-588)4037278-9 gnd Strategisches Management (DE-588)4124261-0 gnd Bank (DE-588)4004436-1 gnd Controlling (DE-588)4070102-5 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Management Strategisches Management Bank Controlling Risikomanagement |
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