By Marshall Sarnat (auth.), Dan Galai, David Ruthenberg, Marshall Sarnat, Ben Z. Schreiber (eds.)

ISBN-10: 1461372925

ISBN-13: 9781461372929

ISBN-10: 1461550432

ISBN-13: 9781461550433

Over the final fifty years, more and more subtle possibility dimension and administration thoughts have revolutionized the sphere of finance. extra lately, the globalization of monetary markets and coverage adjustments within the law of monetary associations have impacted upon how advertisement banks deal with hazard. The common implications of those basic adjustments brought on a global convention held in may well, 1997, dedicated to the subject of possibility administration and legislation in banking. This e-book includes the formal papers and the panel discussions that contain the convention complaints, and hence collects the various most modern learn on handling monetary marketplace threat through best students, policymakers, and high-ranking banking officers from round the world.

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Extra info for Risk Management and Regulation in Banking: Proceedings of the International Conference on Risk Management and Regulation in Banking (1997)

Sample text

This classification does not mean that the loan has absolutely no recovery or salvage value, but rather it is not practical or desirable to defer writing off this basically worthless asset even though partial recovery may be effected in the future. 42 II. Risk Management in Banking: An Overview APPENDIX 2 An introduction to Value-at-Risk and RiskMetrics Value-at-Risk is a measure of the maximum potential change in value of a portfolio of financial instruments with a given probability over a pre-set horizon.

If capital is allocated proportionately, firms with excess capital will seek excessive margins and forego business that can add value to the organization's bottom line. In short, RAROC has a summation problem. VaR, on the other hand, requires a reasonably stable estimate of the underlying distribution of firm level performance. Obtaining such a distribution is even more difficult than obtaining estimates for individual assets or lines of business. In fact, if one could credibly obtain reasonable estimates of the distribution associated with firm level performance, the problem of risk management for the firm as a whole would be substantially reduced.

RISK AGGREGATION AND THE KNOWLEDGE OF TOTAL EXPOSURE Thus far, the techniques used to measure, report, limit, and manage the risks of various types have been presented. In each of these cases, a process has been developed or at least has evolved to measure the risk considered, and techniques have been deployed to control each of them. The analytical approaches that are subsumed in each of these analyses are complex, difficult and not easily communicated to nonspecialists in the risk consider.. d.

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Risk Management and Regulation in Banking: Proceedings of the International Conference on Risk Management and Regulation in Banking (1997) by Marshall Sarnat (auth.), Dan Galai, David Ruthenberg, Marshall Sarnat, Ben Z. Schreiber (eds.)


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