Event- and Data-Centric Enterprise Risk-Adjusted Return Management: A Banking Practitioner's Handbook
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berkeley, CA
Apress L. P.
2022
|
| Schlagworte: | |
| Online-Zugang: | HWR01 |
| Beschreibung: | Description based on publisher supplied metadata and other sources |
| Beschreibung: | 1 Online-Ressource (1112 Seiten) |
| ISBN: | 9781484274408 |
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| 264 | 4 | |c ©2022 | |
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| 505 | 8 | |a Intro -- Table of Contents -- About the Authors -- About the Technical Reviewer -- Acknowledgments -- Preface -- Chapter 1: Commercial Banks, Banking Systems, and Basel Recommendations -- 1.1 Financial Markets -- 1.1.1 Currency Market (FX market, Forex market) -- 1.1.2 Money Market -- 1.1.3 Capital Market -- 1.1.4 Commodities Market -- 1.1.5 Exchange and the Over-the-Counter (OTC) Market -- Settlement -- 1.2 Commercial Bank - Lines of Business and Products -- 1.2.1 Treasury - The Hub of the Bank -- 1.2.1.1 Foreign Exchange -- Cost of Carry -- 1.2.1.2 Money Market -- Bonds -- Repurchase Agreement -- A Tri-party Repo -- 1.2.1.3 Equity -- Options & -- Futures -- 1.2.1.4 Commodity -- Commodity Options & -- Futures -- Commodity Swap -- Market Characteristics -- Post-trading Functions -- Risks Associated with Derivatives -- 1.2.1.5 International Swaps and Derivatives Association (ISDA) -- Treasury Summarized Balance Sheet, P& -- L -- 1.2.2 Corporate Banking -- 1.2.2.1 Loans - Commercial Lending -- 1.2.2.2 Small & -- Medium Enterprise Sector -- 1.2.2.3 Specialized Lending -- 1.2.2.4 Trade Finance -- Funded & -- Non-Funded Trade Finance Facilities -- 1.2.3 Retail Banking -- 1.2.3.1 Retail Liabilities -- Savings, Current Account, Time Deposits -- Deposit Insurance -- Safe Custody Service -- 1.2.3.2 Retail Assets -- Retail Loans -- 1.2.3.3 Private Banking/Wealth Management -- Business Delivery and Electronic Channels -- Branch Banking -- e-Channels -- 1.2.4 Term Structure of Interest Rates (TSIR) -- 1.3 Source Systems -- Introduction -- 1.3.1 Specialized Systems -- 1.3.1.1 Treasury -- Market Data -- Treasury Management System (TMS) -- Instrument Coverage across Modules -- Front, Middle, and Back Office -- The Modules -- The Key Features of the FX Module -- Exchange Position and Cash Position -- The Key Features of the MMKT Module -- Spreads | |
| 505 | 8 | |a Duration & -- Convexity -- Sensitivity Measurement - DV01, PV01, IE01 -- Duration Hedge Ratio -- Convexity -- Equity Module -- Commodity Module -- Greeks and Risk Sensitivity -- Hedging with Derivatives -- Derivatives Trading -- Risk Attribution Analysis -- 1.3.1.2 Lending -- 1.3.1.3 Trade Finance -- Country Risk -- Money Laundering -- Bank Risk -- Fraud -- 1.3.2 Core Banking System -- 1.3.3 Domestic and International Payments -- Direct Payment using Payment Gateway -- Real-Time Gross Settlement (RTGS) -- SWIFT -- 1.3.4 Systems Owned by Other Functions -- Sales & -- Marketing -- Finance -- Human Resources -- Premises (falls under Operations) -- Procurement (can be part of the Finance Division) -- Legal -- Governance, Risk & -- Compliance -- IT Governance System (falls under Operations) -- 1.3.5 Other Systems -- 1.3.5.1 Costing -- 1.3.5.2 Funds Transfer Pricing (FTP) -- Funds Transfer Pricing Framework -- What Is Transfer Priced? -- The Transfer Pricing Curve -- Pricing Approaches -- Data Dimensions of FTP -- Funds Transfer Pricing System Implementation -- Adjustments in Transfer Pricing -- Efficient Product Pricing -- Profitability Management -- 1.4 Evolution of Basel Risk Management Recommendations -- 1.4.1 1988 Basel-I -- 1996 Market Risk Amendment (1988 Accord amendment) -- First-Generation Credit Risk Management Models -- 1.4.2 2004 Basel II -- Market Risk - Standardized Measurement Method6 -- Operational Risk5 -- Basic Indicator Approach5 -- The Standardized Approach (TSA)5 -- Advanced Measurement Approach (AMA)5 -- Principles of Supervisory Review and Evaluation -- Basel 2.58 -- Incremental Risk Charge - IRC9 -- 1.4.3 2010 Basel III -- Restricted the Leverage10 -- An Overview of Liquidity Management under Basel III -- Net Stable Funding Ratio (NSFR)11 -- Liquidity Coverage Ratio (LCR) Overview12 | |
| 505 | 8 | |a Chapter 2: Siloed Risk Management Systems -- Common Functions in Risk Management Systems -- 2.1 Treasury's Market Risk and Credit Risk Management -- 2.1.1 Treasury Risk Management System Modules -- Modules in the System (Market & -- Credit Risk) -- 2.1.1.1 Data Required -- 2.1.1.2 Financial Engineering - Modeling Specification/Configuration -- 2.1.1.2a Product-Model Specification -- Instrument Modeling -- 2.1.1.2b Curve Specifications -- Overview of Different Types of Curves -- Curve Data -- Bootstrapping Curves -- Missing Market Data -- Calibration -- 2.1.1.2c Portfolio Modeling -- Linear Portfolio -- Simulation -- 2.1.2 Credit Risk in Treasury Books -- 2.1.2.1 Data Specific to Treasury's Credit Risk Exposure -- 2.1.2.2 Financial Engineering - Modeling, Configuration -- 2.1.2.2a Treasury Instruments Creating Credit Risk Exposure -- 2.1.2.2b Credit Risk Curve -- Credit Value Adjustment (CVA) BCBS 325 & -- 424 -- 2.1.2.2c Credit Risk Modeling -- 2.1.3 Treasury Market and Credit Risk Measurement -- 2.1.3.1 Mark to Market (MtM) -- 2.1.3.2 Sensitivity Analysis -- 2.1.3.2a Template for Risk Measure Data -- 2.1.3.3 Value at Risk (VaR) -- RiskMetrics ,5 -- Covariance Matrix4 -- Scenario-based Monte Carlo Simulation4,5 -- Scenario Generation -- Scenario Data -- Historical Simulation4,5 -- Marginal VaR, Component VaR, Incremental VaR5 -- Stressed VaR -- VaR Limitations -- 2.1.3.4 Stress Testing -- Scenario Definition -- Scenario Types -- Configuring Stress Tests -- Scenario Sets -- Portfolio Selection -- 5Market Risk Stress-Test Approach -- 5Treasury - Credit Risk Stress Testing -- 2.1.3.5 Credit Risk Reduction Techniques -- Credit Derivatives -- Credit Default Swaps (CDS) -- 2.1.4 Performance Attribution -- 2.2 Credit Risk in the Loan Book -- 2.2.1 Risk Perspective of the Lending Process -- 2.2.1.1 Internal Credit Rating System | |
| 505 | 8 | |a Obligor and Facility Rating -- Retail Lending - Individual -- 2.2.1.2 Credit Monitoring -- Portfolio Composition -- Identifying Concentrations of Risk9 -- Validate with External Rating -- 2.2.1.3 Loan Book Stress Testing -- 2.2.1.4 Credit Risk Management Approaches -- Definitions10 -- Probability of Default (PD)10,11 -- Probability of Default (PD) - Model Selection -- Recovery Rate (RR) 10,11 -- Loss Given Default (LGD)10,11 -- LGD Models -- Expected Loss (EL)10,11 -- Exposure at Default (EAD)10,11 -- Maturity (M)10,11 -- Calculation Approaches for Credit VaR -- Unexpected Loss (UL)10,11 -- 2.3 Asset Liability Management (ALM) -- 2.3.1 ALM Overview -- Central Bank Operations and Their Impact on a Bank's ALM -- Commercial Bank ALM Objectives -- 2.3.2 Multi-Currency ALM System -- Chart of Accounts & -- Aggregating Risk Positions -- Cash-Flow Modeling, Monitoring, Forecasting -- 2.3.3 ALM Risks -- Causal Events for Liquidity Risk -- IRR Management -- 2.3.4 ALM Metrics -- 2.3.4.1 Ratio Analysis -- 2.3.4.2 Funding Matrix -- 2.3.4.3 Rate-Sensitivity Gap Analysis -- Implications -- 2.3.4.4 Duration Gap (DGAP) Analysis -- Duration Gap Model -- Sensitivity of Economic Value of Equity (EVE) -- Economic Value of Equity -- 2.3.4.5 Convexity -- 2.3.4.6 Portfolio & -- Balance Sheet Immunization -- Balance Sheet Immunization -- 2.3.4.7 Asset Liability Efficient Frontier (ALEF) Analysis -- 2.3.5 Asset Liability Management Committee (ALCO) -- Risk Appetite Framework - ALM -- Data Perspectives for Net Interest Margin (NIM) Targeting -- IRR and NIM Management -- Data Perspectives for NIM Targeting -- Risk Limits and Controls -- 2.4 Anti-Money Laundering and Countering the Financing of Terrorism (AML-CFT) -- International Effort for the Prevention and Detection of ML and FT -- ML-FT Risk Identification -- 2.4.1 Risk Analysis and Assessment -- Root Cause Analysis | |
| 505 | 8 | |a 2.4.2 Risk Mitigation, Control Corrections, and Improvement -- 2.4.3 Testing of Corrective Action -- 2.4.4 Residual Risk Monitoring -- 2.4.5 The AML-CFT Solution -- 2.5 Operational Risk Management (ORM) -- 2.5.1 Risk and Control Self-Assessment (RCSA) -- Technology Division - RCSA Areas -- 2.5.2 Operational Risk Case Studies -- 2.5.2.1 Business Disruption -- Acts of God and Business Continuity Planning -- BCP Monitoring Procedure -- 2.5.2.2 Data Compromise or Theft -- Data Compromise -- 2.5.2.3 Fraud, Staff / Internal-External collusion -- 2.5.2.4 Selling of Complex Products (Risk Culture) -- 2.5.2.5 Outsourcing -- 2.5.3 Risk Monitoring -- Early Warning Signals, KRI -- 2.5.4 Corrective Action Planning (CAP) -- 2.5.5 Loss Database Module -- 2.5.5.1 Internal Data - Near Miss and Loss -- 2.5.5.2 External Loss Data -- 2.5.6 Economic Capital Calculation -- 2.6 Siloed As-Is Risk Management Environment -- Chapter 3: ERRM Gap Analysis & -- Identification -- 3.1 What Caused the Siloed Architecture? What Is the Impact? -- 3.1.1 Siloed Architecture -- 3.1.1.1 Evolution of Banking -- Banking up to 1970 -- Banking Between 1971 and 2000: Derivatives for Hedging -- Year 2001 Onwards: Derivatives Trading, Financial Innovation & -- Engineering -- 3.1.1.2 Technology Evolution -- Electronic Data Processing Era -- Core Banking Era -- Present Digital Banking Era -- 3.1.1.3 Risk Management Evolution -- The Third Driver -- 3.1.2 Siloed Operating Model and Risk Management -- 3.1.2.1 Organization Structure -- Operational Risk Management -- 3.1.2.2 Siloed Risk Management Processes, Overlapping Functions -- 3.1.2.3 Complex Environment Where Data Is a By-product -- Complex Banking Operating Environments (CBOE) -- Siloed Enterprise Architecture & -- Data Management -- Case Study - Complex Banking Operating Model -- 3.1.3 BCBS 239 Is a Step Forward | |
| 505 | 8 | |a 3.1.4 Integrated Risk Management & | |
| 650 | 4 | |a Banks and banking | |
| 650 | 4 | |a Financial risk management | |
| 700 | 1 | |a Kumar Kattumannil, Sudheesh |e Sonstige |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |a Subramanian R, Kannan |t Event- and Data-Centric Enterprise Risk-Adjusted Return Management |d Berkeley, CA : Apress L. P.,c2022 |z 9781484274392 |
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Datensatz im Suchindex
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| author | Subramanian R, Kannan |
| author_facet | Subramanian R, Kannan |
| author_role | aut |
| author_sort | Subramanian R, Kannan |
| author_variant | r k s rk rks |
| building | Verbundindex |
| bvnumber | BV048830742 |
| collection | ZDB-30-PQE |
| contents | Intro -- Table of Contents -- About the Authors -- About the Technical Reviewer -- Acknowledgments -- Preface -- Chapter 1: Commercial Banks, Banking Systems, and Basel Recommendations -- 1.1 Financial Markets -- 1.1.1 Currency Market (FX market, Forex market) -- 1.1.2 Money Market -- 1.1.3 Capital Market -- 1.1.4 Commodities Market -- 1.1.5 Exchange and the Over-the-Counter (OTC) Market -- Settlement -- 1.2 Commercial Bank - Lines of Business and Products -- 1.2.1 Treasury - The Hub of the Bank -- 1.2.1.1 Foreign Exchange -- Cost of Carry -- 1.2.1.2 Money Market -- Bonds -- Repurchase Agreement -- A Tri-party Repo -- 1.2.1.3 Equity -- Options & -- Futures -- 1.2.1.4 Commodity -- Commodity Options & -- Futures -- Commodity Swap -- Market Characteristics -- Post-trading Functions -- Risks Associated with Derivatives -- 1.2.1.5 International Swaps and Derivatives Association (ISDA) -- Treasury Summarized Balance Sheet, P& -- L -- 1.2.2 Corporate Banking -- 1.2.2.1 Loans - Commercial Lending -- 1.2.2.2 Small & -- Medium Enterprise Sector -- 1.2.2.3 Specialized Lending -- 1.2.2.4 Trade Finance -- Funded & -- Non-Funded Trade Finance Facilities -- 1.2.3 Retail Banking -- 1.2.3.1 Retail Liabilities -- Savings, Current Account, Time Deposits -- Deposit Insurance -- Safe Custody Service -- 1.2.3.2 Retail Assets -- Retail Loans -- 1.2.3.3 Private Banking/Wealth Management -- Business Delivery and Electronic Channels -- Branch Banking -- e-Channels -- 1.2.4 Term Structure of Interest Rates (TSIR) -- 1.3 Source Systems -- Introduction -- 1.3.1 Specialized Systems -- 1.3.1.1 Treasury -- Market Data -- Treasury Management System (TMS) -- Instrument Coverage across Modules -- Front, Middle, and Back Office -- The Modules -- The Key Features of the FX Module -- Exchange Position and Cash Position -- The Key Features of the MMKT Module -- Spreads Duration & -- Convexity -- Sensitivity Measurement - DV01, PV01, IE01 -- Duration Hedge Ratio -- Convexity -- Equity Module -- Commodity Module -- Greeks and Risk Sensitivity -- Hedging with Derivatives -- Derivatives Trading -- Risk Attribution Analysis -- 1.3.1.2 Lending -- 1.3.1.3 Trade Finance -- Country Risk -- Money Laundering -- Bank Risk -- Fraud -- 1.3.2 Core Banking System -- 1.3.3 Domestic and International Payments -- Direct Payment using Payment Gateway -- Real-Time Gross Settlement (RTGS) -- SWIFT -- 1.3.4 Systems Owned by Other Functions -- Sales & -- Marketing -- Finance -- Human Resources -- Premises (falls under Operations) -- Procurement (can be part of the Finance Division) -- Legal -- Governance, Risk & -- Compliance -- IT Governance System (falls under Operations) -- 1.3.5 Other Systems -- 1.3.5.1 Costing -- 1.3.5.2 Funds Transfer Pricing (FTP) -- Funds Transfer Pricing Framework -- What Is Transfer Priced? -- The Transfer Pricing Curve -- Pricing Approaches -- Data Dimensions of FTP -- Funds Transfer Pricing System Implementation -- Adjustments in Transfer Pricing -- Efficient Product Pricing -- Profitability Management -- 1.4 Evolution of Basel Risk Management Recommendations -- 1.4.1 1988 Basel-I -- 1996 Market Risk Amendment (1988 Accord amendment) -- First-Generation Credit Risk Management Models -- 1.4.2 2004 Basel II -- Market Risk - Standardized Measurement Method6 -- Operational Risk5 -- Basic Indicator Approach5 -- The Standardized Approach (TSA)5 -- Advanced Measurement Approach (AMA)5 -- Principles of Supervisory Review and Evaluation -- Basel 2.58 -- Incremental Risk Charge - IRC9 -- 1.4.3 2010 Basel III -- Restricted the Leverage10 -- An Overview of Liquidity Management under Basel III -- Net Stable Funding Ratio (NSFR)11 -- Liquidity Coverage Ratio (LCR) Overview12 Chapter 2: Siloed Risk Management Systems -- Common Functions in Risk Management Systems -- 2.1 Treasury's Market Risk and Credit Risk Management -- 2.1.1 Treasury Risk Management System Modules -- Modules in the System (Market & -- Credit Risk) -- 2.1.1.1 Data Required -- 2.1.1.2 Financial Engineering - Modeling Specification/Configuration -- 2.1.1.2a Product-Model Specification -- Instrument Modeling -- 2.1.1.2b Curve Specifications -- Overview of Different Types of Curves -- Curve Data -- Bootstrapping Curves -- Missing Market Data -- Calibration -- 2.1.1.2c Portfolio Modeling -- Linear Portfolio -- Simulation -- 2.1.2 Credit Risk in Treasury Books -- 2.1.2.1 Data Specific to Treasury's Credit Risk Exposure -- 2.1.2.2 Financial Engineering - Modeling, Configuration -- 2.1.2.2a Treasury Instruments Creating Credit Risk Exposure -- 2.1.2.2b Credit Risk Curve -- Credit Value Adjustment (CVA) BCBS 325 & -- 424 -- 2.1.2.2c Credit Risk Modeling -- 2.1.3 Treasury Market and Credit Risk Measurement -- 2.1.3.1 Mark to Market (MtM) -- 2.1.3.2 Sensitivity Analysis -- 2.1.3.2a Template for Risk Measure Data -- 2.1.3.3 Value at Risk (VaR) -- RiskMetrics ,5 -- Covariance Matrix4 -- Scenario-based Monte Carlo Simulation4,5 -- Scenario Generation -- Scenario Data -- Historical Simulation4,5 -- Marginal VaR, Component VaR, Incremental VaR5 -- Stressed VaR -- VaR Limitations -- 2.1.3.4 Stress Testing -- Scenario Definition -- Scenario Types -- Configuring Stress Tests -- Scenario Sets -- Portfolio Selection -- 5Market Risk Stress-Test Approach -- 5Treasury - Credit Risk Stress Testing -- 2.1.3.5 Credit Risk Reduction Techniques -- Credit Derivatives -- Credit Default Swaps (CDS) -- 2.1.4 Performance Attribution -- 2.2 Credit Risk in the Loan Book -- 2.2.1 Risk Perspective of the Lending Process -- 2.2.1.1 Internal Credit Rating System Obligor and Facility Rating -- Retail Lending - Individual -- 2.2.1.2 Credit Monitoring -- Portfolio Composition -- Identifying Concentrations of Risk9 -- Validate with External Rating -- 2.2.1.3 Loan Book Stress Testing -- 2.2.1.4 Credit Risk Management Approaches -- Definitions10 -- Probability of Default (PD)10,11 -- Probability of Default (PD) - Model Selection -- Recovery Rate (RR) 10,11 -- Loss Given Default (LGD)10,11 -- LGD Models -- Expected Loss (EL)10,11 -- Exposure at Default (EAD)10,11 -- Maturity (M)10,11 -- Calculation Approaches for Credit VaR -- Unexpected Loss (UL)10,11 -- 2.3 Asset Liability Management (ALM) -- 2.3.1 ALM Overview -- Central Bank Operations and Their Impact on a Bank's ALM -- Commercial Bank ALM Objectives -- 2.3.2 Multi-Currency ALM System -- Chart of Accounts & -- Aggregating Risk Positions -- Cash-Flow Modeling, Monitoring, Forecasting -- 2.3.3 ALM Risks -- Causal Events for Liquidity Risk -- IRR Management -- 2.3.4 ALM Metrics -- 2.3.4.1 Ratio Analysis -- 2.3.4.2 Funding Matrix -- 2.3.4.3 Rate-Sensitivity Gap Analysis -- Implications -- 2.3.4.4 Duration Gap (DGAP) Analysis -- Duration Gap Model -- Sensitivity of Economic Value of Equity (EVE) -- Economic Value of Equity -- 2.3.4.5 Convexity -- 2.3.4.6 Portfolio & -- Balance Sheet Immunization -- Balance Sheet Immunization -- 2.3.4.7 Asset Liability Efficient Frontier (ALEF) Analysis -- 2.3.5 Asset Liability Management Committee (ALCO) -- Risk Appetite Framework - ALM -- Data Perspectives for Net Interest Margin (NIM) Targeting -- IRR and NIM Management -- Data Perspectives for NIM Targeting -- Risk Limits and Controls -- 2.4 Anti-Money Laundering and Countering the Financing of Terrorism (AML-CFT) -- International Effort for the Prevention and Detection of ML and FT -- ML-FT Risk Identification -- 2.4.1 Risk Analysis and Assessment -- Root Cause Analysis 2.4.2 Risk Mitigation, Control Corrections, and Improvement -- 2.4.3 Testing of Corrective Action -- 2.4.4 Residual Risk Monitoring -- 2.4.5 The AML-CFT Solution -- 2.5 Operational Risk Management (ORM) -- 2.5.1 Risk and Control Self-Assessment (RCSA) -- Technology Division - RCSA Areas -- 2.5.2 Operational Risk Case Studies -- 2.5.2.1 Business Disruption -- Acts of God and Business Continuity Planning -- BCP Monitoring Procedure -- 2.5.2.2 Data Compromise or Theft -- Data Compromise -- 2.5.2.3 Fraud, Staff / Internal-External collusion -- 2.5.2.4 Selling of Complex Products (Risk Culture) -- 2.5.2.5 Outsourcing -- 2.5.3 Risk Monitoring -- Early Warning Signals, KRI -- 2.5.4 Corrective Action Planning (CAP) -- 2.5.5 Loss Database Module -- 2.5.5.1 Internal Data - Near Miss and Loss -- 2.5.5.2 External Loss Data -- 2.5.6 Economic Capital Calculation -- 2.6 Siloed As-Is Risk Management Environment -- Chapter 3: ERRM Gap Analysis & -- Identification -- 3.1 What Caused the Siloed Architecture? What Is the Impact? -- 3.1.1 Siloed Architecture -- 3.1.1.1 Evolution of Banking -- Banking up to 1970 -- Banking Between 1971 and 2000: Derivatives for Hedging -- Year 2001 Onwards: Derivatives Trading, Financial Innovation & -- Engineering -- 3.1.1.2 Technology Evolution -- Electronic Data Processing Era -- Core Banking Era -- Present Digital Banking Era -- 3.1.1.3 Risk Management Evolution -- The Third Driver -- 3.1.2 Siloed Operating Model and Risk Management -- 3.1.2.1 Organization Structure -- Operational Risk Management -- 3.1.2.2 Siloed Risk Management Processes, Overlapping Functions -- 3.1.2.3 Complex Environment Where Data Is a By-product -- Complex Banking Operating Environments (CBOE) -- Siloed Enterprise Architecture & -- Data Management -- Case Study - Complex Banking Operating Model -- 3.1.3 BCBS 239 Is a Step Forward 3.1.4 Integrated Risk Management & |
| ctrlnum | (ZDB-30-PQE)EBC6840234 (ZDB-30-PAD)EBC6840234 (ZDB-89-EBL)EBL6840234 (OCoLC)1291316034 (DE-599)BVBBV048830742 |
| dewey-full | 658.155 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.155 |
| dewey-search | 658.155 |
| dewey-sort | 3658.155 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Electronic eBook |
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P.</subfield><subfield code="c">2022</subfield></datafield><datafield tag="264" ind1=" " ind2="4"><subfield code="c">©2022</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (1112 Seiten)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Description based on publisher supplied metadata and other sources</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Intro -- Table of Contents -- About the Authors -- About the Technical Reviewer -- Acknowledgments -- Preface -- Chapter 1: Commercial Banks, Banking Systems, and Basel Recommendations -- 1.1 Financial Markets -- 1.1.1 Currency Market (FX market, Forex market) -- 1.1.2 Money Market -- 1.1.3 Capital Market -- 1.1.4 Commodities Market -- 1.1.5 Exchange and the Over-the-Counter (OTC) Market -- Settlement -- 1.2 Commercial Bank - Lines of Business and Products -- 1.2.1 Treasury - The Hub of the Bank -- 1.2.1.1 Foreign Exchange -- Cost of Carry -- 1.2.1.2 Money Market -- Bonds -- Repurchase Agreement -- A Tri-party Repo -- 1.2.1.3 Equity -- Options &amp -- Futures -- 1.2.1.4 Commodity -- Commodity Options &amp -- Futures -- Commodity Swap -- Market Characteristics -- Post-trading Functions -- Risks Associated with Derivatives -- 1.2.1.5 International Swaps and Derivatives Association (ISDA) -- Treasury Summarized Balance Sheet, P&amp -- L -- 1.2.2 Corporate Banking -- 1.2.2.1 Loans - Commercial Lending -- 1.2.2.2 Small &amp -- Medium Enterprise Sector -- 1.2.2.3 Specialized Lending -- 1.2.2.4 Trade Finance -- Funded &amp -- Non-Funded Trade Finance Facilities -- 1.2.3 Retail Banking -- 1.2.3.1 Retail Liabilities -- Savings, Current Account, Time Deposits -- Deposit Insurance -- Safe Custody Service -- 1.2.3.2 Retail Assets -- Retail Loans -- 1.2.3.3 Private Banking/Wealth Management -- Business Delivery and Electronic Channels -- Branch Banking -- e-Channels -- 1.2.4 Term Structure of Interest Rates (TSIR) -- 1.3 Source Systems -- Introduction -- 1.3.1 Specialized Systems -- 1.3.1.1 Treasury -- Market Data -- Treasury Management System (TMS) -- Instrument Coverage across Modules -- Front, Middle, and Back Office -- The Modules -- The Key Features of the FX Module -- Exchange Position and Cash Position -- The Key Features of the MMKT Module -- Spreads</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Duration &amp -- Convexity -- Sensitivity Measurement - DV01, PV01, IE01 -- Duration Hedge Ratio -- Convexity -- Equity Module -- Commodity Module -- Greeks and Risk Sensitivity -- Hedging with Derivatives -- Derivatives Trading -- Risk Attribution Analysis -- 1.3.1.2 Lending -- 1.3.1.3 Trade Finance -- Country Risk -- Money Laundering -- Bank Risk -- Fraud -- 1.3.2 Core Banking System -- 1.3.3 Domestic and International Payments -- Direct Payment using Payment Gateway -- Real-Time Gross Settlement (RTGS) -- SWIFT -- 1.3.4 Systems Owned by Other Functions -- Sales &amp -- Marketing -- Finance -- Human Resources -- Premises (falls under Operations) -- Procurement (can be part of the Finance Division) -- Legal -- Governance, Risk &amp -- Compliance -- IT Governance System (falls under Operations) -- 1.3.5 Other Systems -- 1.3.5.1 Costing -- 1.3.5.2 Funds Transfer Pricing (FTP) -- Funds Transfer Pricing Framework -- What Is Transfer Priced? -- The Transfer Pricing Curve -- Pricing Approaches -- Data Dimensions of FTP -- Funds Transfer Pricing System Implementation -- Adjustments in Transfer Pricing -- Efficient Product Pricing -- Profitability Management -- 1.4 Evolution of Basel Risk Management Recommendations -- 1.4.1 1988 Basel-I -- 1996 Market Risk Amendment (1988 Accord amendment) -- First-Generation Credit Risk Management Models -- 1.4.2 2004 Basel II -- Market Risk - Standardized Measurement Method6 -- Operational Risk5 -- Basic Indicator Approach5 -- The Standardized Approach (TSA)5 -- Advanced Measurement Approach (AMA)5 -- Principles of Supervisory Review and Evaluation -- Basel 2.58 -- Incremental Risk Charge - IRC9 -- 1.4.3 2010 Basel III -- Restricted the Leverage10 -- An Overview of Liquidity Management under Basel III -- Net Stable Funding Ratio (NSFR)11 -- Liquidity Coverage Ratio (LCR) Overview12</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Chapter 2: Siloed Risk Management Systems -- Common Functions in Risk Management Systems -- 2.1 Treasury's Market Risk and Credit Risk Management -- 2.1.1 Treasury Risk Management System Modules -- Modules in the System (Market &amp -- Credit Risk) -- 2.1.1.1 Data Required -- 2.1.1.2 Financial Engineering - Modeling Specification/Configuration -- 2.1.1.2a Product-Model Specification -- Instrument Modeling -- 2.1.1.2b Curve Specifications -- Overview of Different Types of Curves -- Curve Data -- Bootstrapping Curves -- Missing Market Data -- Calibration -- 2.1.1.2c Portfolio Modeling -- Linear Portfolio -- Simulation -- 2.1.2 Credit Risk in Treasury Books -- 2.1.2.1 Data Specific to Treasury's Credit Risk Exposure -- 2.1.2.2 Financial Engineering - Modeling, Configuration -- 2.1.2.2a Treasury Instruments Creating Credit Risk Exposure -- 2.1.2.2b Credit Risk Curve -- Credit Value Adjustment (CVA) BCBS 325 &amp -- 424 -- 2.1.2.2c Credit Risk Modeling -- 2.1.3 Treasury Market and Credit Risk Measurement -- 2.1.3.1 Mark to Market (MtM) -- 2.1.3.2 Sensitivity Analysis -- 2.1.3.2a Template for Risk Measure Data -- 2.1.3.3 Value at Risk (VaR) -- RiskMetrics ,5 -- Covariance Matrix4 -- Scenario-based Monte Carlo Simulation4,5 -- Scenario Generation -- Scenario Data -- Historical Simulation4,5 -- Marginal VaR, Component VaR, Incremental VaR5 -- Stressed VaR -- VaR Limitations -- 2.1.3.4 Stress Testing -- Scenario Definition -- Scenario Types -- Configuring Stress Tests -- Scenario Sets -- Portfolio Selection -- 5Market Risk Stress-Test Approach -- 5Treasury - Credit Risk Stress Testing -- 2.1.3.5 Credit Risk Reduction Techniques -- Credit Derivatives -- Credit Default Swaps (CDS) -- 2.1.4 Performance Attribution -- 2.2 Credit Risk in the Loan Book -- 2.2.1 Risk Perspective of the Lending Process -- 2.2.1.1 Internal Credit Rating System</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Obligor and Facility Rating -- Retail Lending - Individual -- 2.2.1.2 Credit Monitoring -- Portfolio Composition -- Identifying Concentrations of Risk9 -- Validate with External Rating -- 2.2.1.3 Loan Book Stress Testing -- 2.2.1.4 Credit Risk Management Approaches -- Definitions10 -- Probability of Default (PD)10,11 -- Probability of Default (PD) - Model Selection -- Recovery Rate (RR) 10,11 -- Loss Given Default (LGD)10,11 -- LGD Models -- Expected Loss (EL)10,11 -- Exposure at Default (EAD)10,11 -- Maturity (M)10,11 -- Calculation Approaches for Credit VaR -- Unexpected Loss (UL)10,11 -- 2.3 Asset Liability Management (ALM) -- 2.3.1 ALM Overview -- Central Bank Operations and Their Impact on a Bank's ALM -- Commercial Bank ALM Objectives -- 2.3.2 Multi-Currency ALM System -- Chart of Accounts &amp -- Aggregating Risk Positions -- Cash-Flow Modeling, Monitoring, Forecasting -- 2.3.3 ALM Risks -- Causal Events for Liquidity Risk -- IRR Management -- 2.3.4 ALM Metrics -- 2.3.4.1 Ratio Analysis -- 2.3.4.2 Funding Matrix -- 2.3.4.3 Rate-Sensitivity Gap Analysis -- Implications -- 2.3.4.4 Duration Gap (DGAP) Analysis -- Duration Gap Model -- Sensitivity of Economic Value of Equity (EVE) -- Economic Value of Equity -- 2.3.4.5 Convexity -- 2.3.4.6 Portfolio &amp -- Balance Sheet Immunization -- Balance Sheet Immunization -- 2.3.4.7 Asset Liability Efficient Frontier (ALEF) Analysis -- 2.3.5 Asset Liability Management Committee (ALCO) -- Risk Appetite Framework - ALM -- Data Perspectives for Net Interest Margin (NIM) Targeting -- IRR and NIM Management -- Data Perspectives for NIM Targeting -- Risk Limits and Controls -- 2.4 Anti-Money Laundering and Countering the Financing of Terrorism (AML-CFT) -- International Effort for the Prevention and Detection of ML and FT -- ML-FT Risk Identification -- 2.4.1 Risk Analysis and Assessment -- Root Cause Analysis</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">2.4.2 Risk Mitigation, Control Corrections, and Improvement -- 2.4.3 Testing of Corrective Action -- 2.4.4 Residual Risk Monitoring -- 2.4.5 The AML-CFT Solution -- 2.5 Operational Risk Management (ORM) -- 2.5.1 Risk and Control Self-Assessment (RCSA) -- Technology Division - RCSA Areas -- 2.5.2 Operational Risk Case Studies -- 2.5.2.1 Business Disruption -- Acts of God and Business Continuity Planning -- BCP Monitoring Procedure -- 2.5.2.2 Data Compromise or Theft -- Data Compromise -- 2.5.2.3 Fraud, Staff / Internal-External collusion -- 2.5.2.4 Selling of Complex Products (Risk Culture) -- 2.5.2.5 Outsourcing -- 2.5.3 Risk Monitoring -- Early Warning Signals, KRI -- 2.5.4 Corrective Action Planning (CAP) -- 2.5.5 Loss Database Module -- 2.5.5.1 Internal Data - Near Miss and Loss -- 2.5.5.2 External Loss Data -- 2.5.6 Economic Capital Calculation -- 2.6 Siloed As-Is Risk Management Environment -- Chapter 3: ERRM Gap Analysis &amp -- Identification -- 3.1 What Caused the Siloed Architecture? What Is the Impact? -- 3.1.1 Siloed Architecture -- 3.1.1.1 Evolution of Banking -- Banking up to 1970 -- Banking Between 1971 and 2000: Derivatives for Hedging -- Year 2001 Onwards: Derivatives Trading, Financial Innovation &amp -- Engineering -- 3.1.1.2 Technology Evolution -- Electronic Data Processing Era -- Core Banking Era -- Present Digital Banking Era -- 3.1.1.3 Risk Management Evolution -- The Third Driver -- 3.1.2 Siloed Operating Model and Risk Management -- 3.1.2.1 Organization Structure -- Operational Risk Management -- 3.1.2.2 Siloed Risk Management Processes, Overlapping Functions -- 3.1.2.3 Complex Environment Where Data Is a By-product -- Complex Banking Operating Environments (CBOE) -- Siloed Enterprise Architecture &amp -- Data Management -- Case Study - Complex Banking Operating Model -- 3.1.3 BCBS 239 Is a Step Forward</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">3.1.4 Integrated Risk Management &amp</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Banks and banking</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial risk management</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Kumar Kattumannil, Sudheesh</subfield><subfield code="e">Sonstige</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="a">Subramanian R, Kannan</subfield><subfield code="t">Event- and Data-Centric Enterprise Risk-Adjusted Return Management</subfield><subfield code="d">Berkeley, CA : Apress L. 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| id | DE-604.BV048830742 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:35:28Z |
| indexdate | 2024-07-10T09:47:11Z |
| institution | BVB |
| isbn | 9781484274408 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034096320 |
| oclc_num | 1291316034 |
| open_access_boolean | |
| owner | DE-2070s |
| owner_facet | DE-2070s |
| physical | 1 Online-Ressource (1112 Seiten) |
| psigel | ZDB-30-PQE ZDB-30-PQE HWR_PDA_PQE |
| publishDate | 2022 |
| publishDateSearch | 2022 |
| publishDateSort | 2022 |
| publisher | Apress L. P. |
| record_format | marc |
| spelling | Subramanian R, Kannan Verfasser aut Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook Berkeley, CA Apress L. P. 2022 ©2022 1 Online-Ressource (1112 Seiten) txt rdacontent c rdamedia cr rdacarrier Description based on publisher supplied metadata and other sources Intro -- Table of Contents -- About the Authors -- About the Technical Reviewer -- Acknowledgments -- Preface -- Chapter 1: Commercial Banks, Banking Systems, and Basel Recommendations -- 1.1 Financial Markets -- 1.1.1 Currency Market (FX market, Forex market) -- 1.1.2 Money Market -- 1.1.3 Capital Market -- 1.1.4 Commodities Market -- 1.1.5 Exchange and the Over-the-Counter (OTC) Market -- Settlement -- 1.2 Commercial Bank - Lines of Business and Products -- 1.2.1 Treasury - The Hub of the Bank -- 1.2.1.1 Foreign Exchange -- Cost of Carry -- 1.2.1.2 Money Market -- Bonds -- Repurchase Agreement -- A Tri-party Repo -- 1.2.1.3 Equity -- Options & -- Futures -- 1.2.1.4 Commodity -- Commodity Options & -- Futures -- Commodity Swap -- Market Characteristics -- Post-trading Functions -- Risks Associated with Derivatives -- 1.2.1.5 International Swaps and Derivatives Association (ISDA) -- Treasury Summarized Balance Sheet, P& -- L -- 1.2.2 Corporate Banking -- 1.2.2.1 Loans - Commercial Lending -- 1.2.2.2 Small & -- Medium Enterprise Sector -- 1.2.2.3 Specialized Lending -- 1.2.2.4 Trade Finance -- Funded & -- Non-Funded Trade Finance Facilities -- 1.2.3 Retail Banking -- 1.2.3.1 Retail Liabilities -- Savings, Current Account, Time Deposits -- Deposit Insurance -- Safe Custody Service -- 1.2.3.2 Retail Assets -- Retail Loans -- 1.2.3.3 Private Banking/Wealth Management -- Business Delivery and Electronic Channels -- Branch Banking -- e-Channels -- 1.2.4 Term Structure of Interest Rates (TSIR) -- 1.3 Source Systems -- Introduction -- 1.3.1 Specialized Systems -- 1.3.1.1 Treasury -- Market Data -- Treasury Management System (TMS) -- Instrument Coverage across Modules -- Front, Middle, and Back Office -- The Modules -- The Key Features of the FX Module -- Exchange Position and Cash Position -- The Key Features of the MMKT Module -- Spreads Duration & -- Convexity -- Sensitivity Measurement - DV01, PV01, IE01 -- Duration Hedge Ratio -- Convexity -- Equity Module -- Commodity Module -- Greeks and Risk Sensitivity -- Hedging with Derivatives -- Derivatives Trading -- Risk Attribution Analysis -- 1.3.1.2 Lending -- 1.3.1.3 Trade Finance -- Country Risk -- Money Laundering -- Bank Risk -- Fraud -- 1.3.2 Core Banking System -- 1.3.3 Domestic and International Payments -- Direct Payment using Payment Gateway -- Real-Time Gross Settlement (RTGS) -- SWIFT -- 1.3.4 Systems Owned by Other Functions -- Sales & -- Marketing -- Finance -- Human Resources -- Premises (falls under Operations) -- Procurement (can be part of the Finance Division) -- Legal -- Governance, Risk & -- Compliance -- IT Governance System (falls under Operations) -- 1.3.5 Other Systems -- 1.3.5.1 Costing -- 1.3.5.2 Funds Transfer Pricing (FTP) -- Funds Transfer Pricing Framework -- What Is Transfer Priced? -- The Transfer Pricing Curve -- Pricing Approaches -- Data Dimensions of FTP -- Funds Transfer Pricing System Implementation -- Adjustments in Transfer Pricing -- Efficient Product Pricing -- Profitability Management -- 1.4 Evolution of Basel Risk Management Recommendations -- 1.4.1 1988 Basel-I -- 1996 Market Risk Amendment (1988 Accord amendment) -- First-Generation Credit Risk Management Models -- 1.4.2 2004 Basel II -- Market Risk - Standardized Measurement Method6 -- Operational Risk5 -- Basic Indicator Approach5 -- The Standardized Approach (TSA)5 -- Advanced Measurement Approach (AMA)5 -- Principles of Supervisory Review and Evaluation -- Basel 2.58 -- Incremental Risk Charge - IRC9 -- 1.4.3 2010 Basel III -- Restricted the Leverage10 -- An Overview of Liquidity Management under Basel III -- Net Stable Funding Ratio (NSFR)11 -- Liquidity Coverage Ratio (LCR) Overview12 Chapter 2: Siloed Risk Management Systems -- Common Functions in Risk Management Systems -- 2.1 Treasury's Market Risk and Credit Risk Management -- 2.1.1 Treasury Risk Management System Modules -- Modules in the System (Market & -- Credit Risk) -- 2.1.1.1 Data Required -- 2.1.1.2 Financial Engineering - Modeling Specification/Configuration -- 2.1.1.2a Product-Model Specification -- Instrument Modeling -- 2.1.1.2b Curve Specifications -- Overview of Different Types of Curves -- Curve Data -- Bootstrapping Curves -- Missing Market Data -- Calibration -- 2.1.1.2c Portfolio Modeling -- Linear Portfolio -- Simulation -- 2.1.2 Credit Risk in Treasury Books -- 2.1.2.1 Data Specific to Treasury's Credit Risk Exposure -- 2.1.2.2 Financial Engineering - Modeling, Configuration -- 2.1.2.2a Treasury Instruments Creating Credit Risk Exposure -- 2.1.2.2b Credit Risk Curve -- Credit Value Adjustment (CVA) BCBS 325 & -- 424 -- 2.1.2.2c Credit Risk Modeling -- 2.1.3 Treasury Market and Credit Risk Measurement -- 2.1.3.1 Mark to Market (MtM) -- 2.1.3.2 Sensitivity Analysis -- 2.1.3.2a Template for Risk Measure Data -- 2.1.3.3 Value at Risk (VaR) -- RiskMetrics ,5 -- Covariance Matrix4 -- Scenario-based Monte Carlo Simulation4,5 -- Scenario Generation -- Scenario Data -- Historical Simulation4,5 -- Marginal VaR, Component VaR, Incremental VaR5 -- Stressed VaR -- VaR Limitations -- 2.1.3.4 Stress Testing -- Scenario Definition -- Scenario Types -- Configuring Stress Tests -- Scenario Sets -- Portfolio Selection -- 5Market Risk Stress-Test Approach -- 5Treasury - Credit Risk Stress Testing -- 2.1.3.5 Credit Risk Reduction Techniques -- Credit Derivatives -- Credit Default Swaps (CDS) -- 2.1.4 Performance Attribution -- 2.2 Credit Risk in the Loan Book -- 2.2.1 Risk Perspective of the Lending Process -- 2.2.1.1 Internal Credit Rating System Obligor and Facility Rating -- Retail Lending - Individual -- 2.2.1.2 Credit Monitoring -- Portfolio Composition -- Identifying Concentrations of Risk9 -- Validate with External Rating -- 2.2.1.3 Loan Book Stress Testing -- 2.2.1.4 Credit Risk Management Approaches -- Definitions10 -- Probability of Default (PD)10,11 -- Probability of Default (PD) - Model Selection -- Recovery Rate (RR) 10,11 -- Loss Given Default (LGD)10,11 -- LGD Models -- Expected Loss (EL)10,11 -- Exposure at Default (EAD)10,11 -- Maturity (M)10,11 -- Calculation Approaches for Credit VaR -- Unexpected Loss (UL)10,11 -- 2.3 Asset Liability Management (ALM) -- 2.3.1 ALM Overview -- Central Bank Operations and Their Impact on a Bank's ALM -- Commercial Bank ALM Objectives -- 2.3.2 Multi-Currency ALM System -- Chart of Accounts & -- Aggregating Risk Positions -- Cash-Flow Modeling, Monitoring, Forecasting -- 2.3.3 ALM Risks -- Causal Events for Liquidity Risk -- IRR Management -- 2.3.4 ALM Metrics -- 2.3.4.1 Ratio Analysis -- 2.3.4.2 Funding Matrix -- 2.3.4.3 Rate-Sensitivity Gap Analysis -- Implications -- 2.3.4.4 Duration Gap (DGAP) Analysis -- Duration Gap Model -- Sensitivity of Economic Value of Equity (EVE) -- Economic Value of Equity -- 2.3.4.5 Convexity -- 2.3.4.6 Portfolio & -- Balance Sheet Immunization -- Balance Sheet Immunization -- 2.3.4.7 Asset Liability Efficient Frontier (ALEF) Analysis -- 2.3.5 Asset Liability Management Committee (ALCO) -- Risk Appetite Framework - ALM -- Data Perspectives for Net Interest Margin (NIM) Targeting -- IRR and NIM Management -- Data Perspectives for NIM Targeting -- Risk Limits and Controls -- 2.4 Anti-Money Laundering and Countering the Financing of Terrorism (AML-CFT) -- International Effort for the Prevention and Detection of ML and FT -- ML-FT Risk Identification -- 2.4.1 Risk Analysis and Assessment -- Root Cause Analysis 2.4.2 Risk Mitigation, Control Corrections, and Improvement -- 2.4.3 Testing of Corrective Action -- 2.4.4 Residual Risk Monitoring -- 2.4.5 The AML-CFT Solution -- 2.5 Operational Risk Management (ORM) -- 2.5.1 Risk and Control Self-Assessment (RCSA) -- Technology Division - RCSA Areas -- 2.5.2 Operational Risk Case Studies -- 2.5.2.1 Business Disruption -- Acts of God and Business Continuity Planning -- BCP Monitoring Procedure -- 2.5.2.2 Data Compromise or Theft -- Data Compromise -- 2.5.2.3 Fraud, Staff / Internal-External collusion -- 2.5.2.4 Selling of Complex Products (Risk Culture) -- 2.5.2.5 Outsourcing -- 2.5.3 Risk Monitoring -- Early Warning Signals, KRI -- 2.5.4 Corrective Action Planning (CAP) -- 2.5.5 Loss Database Module -- 2.5.5.1 Internal Data - Near Miss and Loss -- 2.5.5.2 External Loss Data -- 2.5.6 Economic Capital Calculation -- 2.6 Siloed As-Is Risk Management Environment -- Chapter 3: ERRM Gap Analysis & -- Identification -- 3.1 What Caused the Siloed Architecture? What Is the Impact? -- 3.1.1 Siloed Architecture -- 3.1.1.1 Evolution of Banking -- Banking up to 1970 -- Banking Between 1971 and 2000: Derivatives for Hedging -- Year 2001 Onwards: Derivatives Trading, Financial Innovation & -- Engineering -- 3.1.1.2 Technology Evolution -- Electronic Data Processing Era -- Core Banking Era -- Present Digital Banking Era -- 3.1.1.3 Risk Management Evolution -- The Third Driver -- 3.1.2 Siloed Operating Model and Risk Management -- 3.1.2.1 Organization Structure -- Operational Risk Management -- 3.1.2.2 Siloed Risk Management Processes, Overlapping Functions -- 3.1.2.3 Complex Environment Where Data Is a By-product -- Complex Banking Operating Environments (CBOE) -- Siloed Enterprise Architecture & -- Data Management -- Case Study - Complex Banking Operating Model -- 3.1.3 BCBS 239 Is a Step Forward 3.1.4 Integrated Risk Management & Banks and banking Financial risk management Kumar Kattumannil, Sudheesh Sonstige oth Erscheint auch als Druck-Ausgabe Subramanian R, Kannan Event- and Data-Centric Enterprise Risk-Adjusted Return Management Berkeley, CA : Apress L. P.,c2022 9781484274392 |
| spellingShingle | Subramanian R, Kannan Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook Intro -- Table of Contents -- About the Authors -- About the Technical Reviewer -- Acknowledgments -- Preface -- Chapter 1: Commercial Banks, Banking Systems, and Basel Recommendations -- 1.1 Financial Markets -- 1.1.1 Currency Market (FX market, Forex market) -- 1.1.2 Money Market -- 1.1.3 Capital Market -- 1.1.4 Commodities Market -- 1.1.5 Exchange and the Over-the-Counter (OTC) Market -- Settlement -- 1.2 Commercial Bank - Lines of Business and Products -- 1.2.1 Treasury - The Hub of the Bank -- 1.2.1.1 Foreign Exchange -- Cost of Carry -- 1.2.1.2 Money Market -- Bonds -- Repurchase Agreement -- A Tri-party Repo -- 1.2.1.3 Equity -- Options & -- Futures -- 1.2.1.4 Commodity -- Commodity Options & -- Futures -- Commodity Swap -- Market Characteristics -- Post-trading Functions -- Risks Associated with Derivatives -- 1.2.1.5 International Swaps and Derivatives Association (ISDA) -- Treasury Summarized Balance Sheet, P& -- L -- 1.2.2 Corporate Banking -- 1.2.2.1 Loans - Commercial Lending -- 1.2.2.2 Small & -- Medium Enterprise Sector -- 1.2.2.3 Specialized Lending -- 1.2.2.4 Trade Finance -- Funded & -- Non-Funded Trade Finance Facilities -- 1.2.3 Retail Banking -- 1.2.3.1 Retail Liabilities -- Savings, Current Account, Time Deposits -- Deposit Insurance -- Safe Custody Service -- 1.2.3.2 Retail Assets -- Retail Loans -- 1.2.3.3 Private Banking/Wealth Management -- Business Delivery and Electronic Channels -- Branch Banking -- e-Channels -- 1.2.4 Term Structure of Interest Rates (TSIR) -- 1.3 Source Systems -- Introduction -- 1.3.1 Specialized Systems -- 1.3.1.1 Treasury -- Market Data -- Treasury Management System (TMS) -- Instrument Coverage across Modules -- Front, Middle, and Back Office -- The Modules -- The Key Features of the FX Module -- Exchange Position and Cash Position -- The Key Features of the MMKT Module -- Spreads Duration & -- Convexity -- Sensitivity Measurement - DV01, PV01, IE01 -- Duration Hedge Ratio -- Convexity -- Equity Module -- Commodity Module -- Greeks and Risk Sensitivity -- Hedging with Derivatives -- Derivatives Trading -- Risk Attribution Analysis -- 1.3.1.2 Lending -- 1.3.1.3 Trade Finance -- Country Risk -- Money Laundering -- Bank Risk -- Fraud -- 1.3.2 Core Banking System -- 1.3.3 Domestic and International Payments -- Direct Payment using Payment Gateway -- Real-Time Gross Settlement (RTGS) -- SWIFT -- 1.3.4 Systems Owned by Other Functions -- Sales & -- Marketing -- Finance -- Human Resources -- Premises (falls under Operations) -- Procurement (can be part of the Finance Division) -- Legal -- Governance, Risk & -- Compliance -- IT Governance System (falls under Operations) -- 1.3.5 Other Systems -- 1.3.5.1 Costing -- 1.3.5.2 Funds Transfer Pricing (FTP) -- Funds Transfer Pricing Framework -- What Is Transfer Priced? -- The Transfer Pricing Curve -- Pricing Approaches -- Data Dimensions of FTP -- Funds Transfer Pricing System Implementation -- Adjustments in Transfer Pricing -- Efficient Product Pricing -- Profitability Management -- 1.4 Evolution of Basel Risk Management Recommendations -- 1.4.1 1988 Basel-I -- 1996 Market Risk Amendment (1988 Accord amendment) -- First-Generation Credit Risk Management Models -- 1.4.2 2004 Basel II -- Market Risk - Standardized Measurement Method6 -- Operational Risk5 -- Basic Indicator Approach5 -- The Standardized Approach (TSA)5 -- Advanced Measurement Approach (AMA)5 -- Principles of Supervisory Review and Evaluation -- Basel 2.58 -- Incremental Risk Charge - IRC9 -- 1.4.3 2010 Basel III -- Restricted the Leverage10 -- An Overview of Liquidity Management under Basel III -- Net Stable Funding Ratio (NSFR)11 -- Liquidity Coverage Ratio (LCR) Overview12 Chapter 2: Siloed Risk Management Systems -- Common Functions in Risk Management Systems -- 2.1 Treasury's Market Risk and Credit Risk Management -- 2.1.1 Treasury Risk Management System Modules -- Modules in the System (Market & -- Credit Risk) -- 2.1.1.1 Data Required -- 2.1.1.2 Financial Engineering - Modeling Specification/Configuration -- 2.1.1.2a Product-Model Specification -- Instrument Modeling -- 2.1.1.2b Curve Specifications -- Overview of Different Types of Curves -- Curve Data -- Bootstrapping Curves -- Missing Market Data -- Calibration -- 2.1.1.2c Portfolio Modeling -- Linear Portfolio -- Simulation -- 2.1.2 Credit Risk in Treasury Books -- 2.1.2.1 Data Specific to Treasury's Credit Risk Exposure -- 2.1.2.2 Financial Engineering - Modeling, Configuration -- 2.1.2.2a Treasury Instruments Creating Credit Risk Exposure -- 2.1.2.2b Credit Risk Curve -- Credit Value Adjustment (CVA) BCBS 325 & -- 424 -- 2.1.2.2c Credit Risk Modeling -- 2.1.3 Treasury Market and Credit Risk Measurement -- 2.1.3.1 Mark to Market (MtM) -- 2.1.3.2 Sensitivity Analysis -- 2.1.3.2a Template for Risk Measure Data -- 2.1.3.3 Value at Risk (VaR) -- RiskMetrics ,5 -- Covariance Matrix4 -- Scenario-based Monte Carlo Simulation4,5 -- Scenario Generation -- Scenario Data -- Historical Simulation4,5 -- Marginal VaR, Component VaR, Incremental VaR5 -- Stressed VaR -- VaR Limitations -- 2.1.3.4 Stress Testing -- Scenario Definition -- Scenario Types -- Configuring Stress Tests -- Scenario Sets -- Portfolio Selection -- 5Market Risk Stress-Test Approach -- 5Treasury - Credit Risk Stress Testing -- 2.1.3.5 Credit Risk Reduction Techniques -- Credit Derivatives -- Credit Default Swaps (CDS) -- 2.1.4 Performance Attribution -- 2.2 Credit Risk in the Loan Book -- 2.2.1 Risk Perspective of the Lending Process -- 2.2.1.1 Internal Credit Rating System Obligor and Facility Rating -- Retail Lending - Individual -- 2.2.1.2 Credit Monitoring -- Portfolio Composition -- Identifying Concentrations of Risk9 -- Validate with External Rating -- 2.2.1.3 Loan Book Stress Testing -- 2.2.1.4 Credit Risk Management Approaches -- Definitions10 -- Probability of Default (PD)10,11 -- Probability of Default (PD) - Model Selection -- Recovery Rate (RR) 10,11 -- Loss Given Default (LGD)10,11 -- LGD Models -- Expected Loss (EL)10,11 -- Exposure at Default (EAD)10,11 -- Maturity (M)10,11 -- Calculation Approaches for Credit VaR -- Unexpected Loss (UL)10,11 -- 2.3 Asset Liability Management (ALM) -- 2.3.1 ALM Overview -- Central Bank Operations and Their Impact on a Bank's ALM -- Commercial Bank ALM Objectives -- 2.3.2 Multi-Currency ALM System -- Chart of Accounts & -- Aggregating Risk Positions -- Cash-Flow Modeling, Monitoring, Forecasting -- 2.3.3 ALM Risks -- Causal Events for Liquidity Risk -- IRR Management -- 2.3.4 ALM Metrics -- 2.3.4.1 Ratio Analysis -- 2.3.4.2 Funding Matrix -- 2.3.4.3 Rate-Sensitivity Gap Analysis -- Implications -- 2.3.4.4 Duration Gap (DGAP) Analysis -- Duration Gap Model -- Sensitivity of Economic Value of Equity (EVE) -- Economic Value of Equity -- 2.3.4.5 Convexity -- 2.3.4.6 Portfolio & -- Balance Sheet Immunization -- Balance Sheet Immunization -- 2.3.4.7 Asset Liability Efficient Frontier (ALEF) Analysis -- 2.3.5 Asset Liability Management Committee (ALCO) -- Risk Appetite Framework - ALM -- Data Perspectives for Net Interest Margin (NIM) Targeting -- IRR and NIM Management -- Data Perspectives for NIM Targeting -- Risk Limits and Controls -- 2.4 Anti-Money Laundering and Countering the Financing of Terrorism (AML-CFT) -- International Effort for the Prevention and Detection of ML and FT -- ML-FT Risk Identification -- 2.4.1 Risk Analysis and Assessment -- Root Cause Analysis 2.4.2 Risk Mitigation, Control Corrections, and Improvement -- 2.4.3 Testing of Corrective Action -- 2.4.4 Residual Risk Monitoring -- 2.4.5 The AML-CFT Solution -- 2.5 Operational Risk Management (ORM) -- 2.5.1 Risk and Control Self-Assessment (RCSA) -- Technology Division - RCSA Areas -- 2.5.2 Operational Risk Case Studies -- 2.5.2.1 Business Disruption -- Acts of God and Business Continuity Planning -- BCP Monitoring Procedure -- 2.5.2.2 Data Compromise or Theft -- Data Compromise -- 2.5.2.3 Fraud, Staff / Internal-External collusion -- 2.5.2.4 Selling of Complex Products (Risk Culture) -- 2.5.2.5 Outsourcing -- 2.5.3 Risk Monitoring -- Early Warning Signals, KRI -- 2.5.4 Corrective Action Planning (CAP) -- 2.5.5 Loss Database Module -- 2.5.5.1 Internal Data - Near Miss and Loss -- 2.5.5.2 External Loss Data -- 2.5.6 Economic Capital Calculation -- 2.6 Siloed As-Is Risk Management Environment -- Chapter 3: ERRM Gap Analysis & -- Identification -- 3.1 What Caused the Siloed Architecture? What Is the Impact? -- 3.1.1 Siloed Architecture -- 3.1.1.1 Evolution of Banking -- Banking up to 1970 -- Banking Between 1971 and 2000: Derivatives for Hedging -- Year 2001 Onwards: Derivatives Trading, Financial Innovation & -- Engineering -- 3.1.1.2 Technology Evolution -- Electronic Data Processing Era -- Core Banking Era -- Present Digital Banking Era -- 3.1.1.3 Risk Management Evolution -- The Third Driver -- 3.1.2 Siloed Operating Model and Risk Management -- 3.1.2.1 Organization Structure -- Operational Risk Management -- 3.1.2.2 Siloed Risk Management Processes, Overlapping Functions -- 3.1.2.3 Complex Environment Where Data Is a By-product -- Complex Banking Operating Environments (CBOE) -- Siloed Enterprise Architecture & -- Data Management -- Case Study - Complex Banking Operating Model -- 3.1.3 BCBS 239 Is a Step Forward 3.1.4 Integrated Risk Management & Banks and banking Financial risk management |
| title | Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook |
| title_auth | Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook |
| title_exact_search | Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook |
| title_exact_search_txtP | Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook |
| title_full | Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook |
| title_fullStr | Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook |
| title_full_unstemmed | Event- and Data-Centric Enterprise Risk-Adjusted Return Management A Banking Practitioner's Handbook |
| title_short | Event- and Data-Centric Enterprise Risk-Adjusted Return Management |
| title_sort | event and data centric enterprise risk adjusted return management a banking practitioner s handbook |
| title_sub | A Banking Practitioner's Handbook |
| topic | Banks and banking Financial risk management |
| topic_facet | Banks and banking Financial risk management |
| work_keys_str_mv | AT subramanianrkannan eventanddatacentricenterpriseriskadjustedreturnmanagementabankingpractitionershandbook AT kumarkattumannilsudheesh eventanddatacentricenterpriseriskadjustedreturnmanagementabankingpractitionershandbook |