Includes index

Copyright; CONTENTS; FOREWORD; INTRODUCTION; PREFACE; CHAPTER 1: The Need for Risk Management Systems; 1. INTRODUCTION; 2. HISTORICAL EVOLUTION; 3. THE REGULATORY ENVIRONMENT; 4. THE ACADEMIC BACKGROUND AND TECHNOLOGICAL CHANGES; 5. ACCOUNTING SYSTEMS VERSUS RISK MANAGEMENT SYSTEMS; 6. LESSONS FROM RECENT FINANCIAL DISASTERS; 7. TYPOLOGY OF RISK EXPOSURES; 8. EXTENDING RISK MANAGEMENT SYSTEMS TO NONFINANCIAL CORPORATIONS; NOTES; CHAPTER 2: The New Regulatory and Corporate Environment; 1. INTRODUCTION; 2. GROUP OF THIRTY (G-30) POLICY RECOMMENDATIONS; 3. THE 1988 BIS ACCORD: THE "ACCORD." 4. THE "1996 AMENDMENT" OR "BIS 98"5. THE BIS 2000 ACCORD; NOTES; CHAPTER 3: Structuring and Managing the Risk Management Function in a Bank; 1. INTRODUCTION; 2. ORGANIZING THE RISK MANAGEMENT FUNCTION: THREE-PILLAR FRAMEWORK; 3. DATA AND TECHNOLOGICAL INFRASTRUCTURE; 4. RISK AUTHORITIES AND RISK CONTROL; 5. ESTABLISHING RISK LIMITS FOR GAP AND LIQUIDITY MANAGEMENT; 6. CONCLUSION: STEPS TO SUCCESS; NOTES; CHAPTER 4: The New BIS Capital Requirements for Financial Risks; 1. INTRODUCTION; 2. THE STANDARDIZED APPROACHll; 3. THE INTERNAL MODELS APPROACH. 4. PROS AND CONS OF THE STANDARDIZED AND INTERNAL MODELS APPROACHES: A NEW PROPOSAL-THE "PRECOMMITMENT APPROACH"5. COMPARISONS OF THE CAPITAL CHARGES FOR VARIOUS PORTFOLIOS ACCORDING TO THE STANDARDIZED AND THE INTERNAL MODELS APPROACHES; 6. CONCLUSIONS; NOTES; CHAPTER 5: Measuring Market Risk: The VaR Approach; 1. INTRODUCTION; 2. MEASURING RISK: A HISTORICAL PERSPECTIVE; 3. DEFINING VALUE AT RISK; 4. CALCULATING VALUE AT RISK; 5. CONCLUSION: PROS AND CONS OF THE DIFFERENT APPROACHES; APPENDIX 1: DURATION AND CONVEXITY OF A BOND; NOTES. CHAPTER 6: Measuring Market Risk: Extensions of the VaR Approach and Testing the Models1. INTRODUCTION; 2. INCREMENTAL-VAR (IVAR), DELTAVAR (DVAR), AND MOST SIGNIFICANT RISKS; 3. STRESS TESTING AND SCENARIO ANALYSIS; 4. DYNAMIC-VAR; 5. MEASUREMENT ERRORS AND BACK-TESTING OF VAR MODELS; 6. IMPROVED VARIANCE-COVARIANCE VAR MODEL; 7. LIMITATIONS OF VAR AS A RISK MEASURE; APPENDIX: PROOF OF THE DELTAVAR PROPERTY; NOTES; CHAPTER 7: Credit Rating Systems; 1. INTRODUCTION; 2. RATING AGENCIES; 3. INTRODUCTION TO INTERNAL RISK RATING; 4. DEBT RATING AND MIGRATION; 5. FINANCIAL ASSESSMENT (STEP 1). 6. FIRST GROUP OF ADJUSTMENT FACTORS FOR OBLIGOR CREDIT RATING7. SECOND GROUP OF ADJUSTMENT FACTORS FOR FACILITY RATING; 8. CONCLUSION; APPENDIX 1: DEFINITIONS OF KEY RATIOS; APPENDIX 2: KEY FINANCIAL ANALYSIS MEASURES; APPENDIX 3A: PROTOTYPE INDUSTRY ASSESSMENT: TELECOMMUNICATIONS IN CANADA; APPENDIX 3B: PROTOTYPE INDUSTRY ASSESSMENT: FOOTWEAR AND CLOTHING IN CANADA; APPENDIX 4: PROTOTYPE COUNTRY ANALYSIS REPORT (CONDENSED VERSION): BRAZIL; NOTES; CHAPTER 8: The Credit Migration Approach to Measuring Credit Risk; 1. INTRODUCTION; 2. CREDITMETRICS FRAMEWORK.