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<s> Page i Risk ManagementMichel CrouhyDan GalaiRobert Mark Page v ContentsForewordBy Robert C. Merton xiii IntroductionBy John Hunkin xvii Preface xix Chapter 1The Need for Risk Management Systems 1 1. Introduction 1 2. Historical Evolution 4 3. The Regulatory Environment 19 4. The Academic Background and Technological Changes 21 5. Accounting Systems versus Risk Management Systems 29 6. Lessons from Recent Financial Disasters 31 7. Typology of Risk Exposures 34 8. Extending Risk Management Systems to NonfinancialCorporations 39 Notes 41 Chapter 2The New Regulatory and Corporate Environment 45 1. Introduction 45 2. The Group of 30 (G-30) Policy Recommendations 48 3. The 1988 BIS Accord: The "Accord" 53 4. The "1996 Amendment" or "BIS 98" 62 5. The BIS 2000+ Accord 68 Notes 91 Chapter 3Structuring and Managing the Risk Management Function in a Bank 97 1. Introduction 97 2. Organizing the Risk Management Function: Three-PillarFramework 99 Page vi 3. Data and Technological Infrastructure 109 4. Risk Authorities and Risk Control 116 5. Establishing Risk Limits for Gap and Liquidity Management 126 6. Conclusion: Steps to Success 133 Notes 135 Chapter 4The New BIS Capital Requirements for Financial Risks 137 1. Introduction 137 2. The Standardized Approach 138 3. The Internal Models Approach 150 4. Pros and Cons of the Standardized and Internal ModelsApproaches: A New Proposal—the "Precommitment Approach" 162 5. Comparisons of the Capital Charges for Various PortfoliosAccording to the Standardized and the Internal Models Approaches 165 6. Conclusions 169 Notes 174 Chapter 5Measuring Market Risk: The VaR Approach 177 1. Introduction 177 2. Measuring Risk: A Historical Perspective 179 3. Defining Value at Risk 187 4. Calculating Value at Risk 196 5. Conclusion: Pros and Cons of the Different Approaches 216 Appendix 1: Duration and Convexity of a Bond 218 Notes 225 Chapter 6Measuring Market Risk: Extensions of the VaR Approach and Testingthe Models 229 1. Introduction 229 2. Incremental-VaR (IVAR), DeltaVar (DVAR), and MostSignificant Risks 230 3. Stress Testing and Scenario Analysis 232 Page vii 4. Dynamic-VaR 241 5. Measurement Errors and Back-Testing of VaR Models 243 6. Improved Variance-Covariance VaR Model 249 7. Limitations of VaR as a Risk Measure 252 Appendix: Proof of the Deltavar Property 255 Notes 257 Chapter 7Credit Rating Systems 259 1. Introduction 259 2. Rating Agencies 261 3. Introduction to Internal Risk Rating 269 4. Debt Rating and Migration 275 5. Financial Assessment (Step 1) 282 6. First Group of Adjustment Factors for Obligor Credit Rating 290 7. Second Group of Adjustment Factors for Facility Rating 298 8. Conclusion 301 Appendix 1: Definitions of Key Ratios 302 Appendix 2: Key Financial Analysis Measures 303 Appendix 3A: Prototype Industry Assessment: Telecommunications in Canada 306 Appendix 3B: Prototype Industry Assessment: Footwear and Clothing in Canada 308 Appendix 4: Prototype Country Analysis Report (Condensed Version): Brazil 310 Notes 312 Chapter 8Credit Migration Approach to Measuring Credit Risk 315 1. Introduction 315 2. CreditMetrics Framework 319 3. Credit VaR for a Bond (Building Block 1) 321 4. Credit VaR for a Loan or Bond Portfolio (Building Block 2) 329 5. Analysis of Credit Diversification (Building Block 2, Continuation) 338 6. Credit VaR and the Calculation of the Capital Charge 339 Page viii 7. CreditMetrics as a Loan/Bond Portfolio Management Tool: Marginal Risk Measures(Building Block 2, Continuation) 340 8. Estimation of Asset Correlations (Building Block 3) 342 9. Exposures (Building Block 4) 343 10. Conditional Transition Probabilities: CreditPortfolioView 344 11. Appendix 1: Elements of Merton's Model 347 Appendix 2: Default Prediction—The Econometric Model 350 Appendix 3: Transition Matrix over a Period of Less than One Year 352 Notes 352 Chapter 9The Contingent Claim Approach to Measuring Credit Risk 357 1. Introduction 357 2. A Structural Model of Default Risk: Merton's (1974) Model 360 3. Probability of Default, Conditional Expected Recovery Value, and Default Spread 364 4. Estimating Credit Risk as a Function of Equity Value 366 5. KMV Approach 368 6. KMV's Valuation Model for Cash Flows Subject to Default Risk 381 7. Asset Return Correlation Model 384 Appendix 1: Integrating Yield Spread with Options Approach 389 Appendix 2: Risk-Neutral Valuation Using "Risk-Neutral" EDFs 392 Appendix 3: Limitations of the Merton Model and Some Extensions 395 Notes 399 Chapter 10Other Approaches: The Actuarial and Reduced-Form Approaches to Measuring Credit Risk 403 1. Introduction 403 2. The Actuarial Approach: CreditRisk+ 404 3. The Reduced-Form Approach or Intensity-Based Models 411 Notes 422 Page ix Chapter 11Comparison of Industry-Sponsored Credit Models and Associated Back-Testing Issues 425 1. Introduction 425 2. Comparison of Industry-Sponsored Credit Risk Models 427 3. Stress Testing and Scenario Analysis 430 4. Implementation and Validation Issues 436 Notes 438 Chapter 12Hedging Credit Risk 441 1. Introduction 441 2. Credit Risk Enhancement 443 3. Derivative Product Companies 446 4. Credit Derivatives 448 5. Types of Credit Derivatives 452 6. Credit Risk Securitization for Loans and High Yield Bonds 461 7. Regulatory Issues 466 Notes 470 Chapter 13Managing Operational Risk 475 1. Introduction 475 2. Typology of Operational Risks 478 3. Who Should Manage Operational Risk? 482 4. The Key to Implementing Bank-Wide Operational Risk Management 486 5. A Four-Step Measurement Process for Operational Risk 489 6. Capital Attribution for Operational Risks 505 7. Self-Assessment versus Risk Management Assessment 509 8. Integrated Operational Risk 511 9. Conclusion 513 Appendix 1: Group of Thirty Recommendations: Derivatives and Operational Risk 514 Appendix 2: Types of Operational Risk Losses 518 Page x Appendix 3: Severity versus Likelihood 519 Appendix 4: Training and Risk Education 519 Appendix 5: Identifying and Quantifying Operational Risk 523 Notes 526 Chapter 14Capital Allocation and Performance Measurement 529 1. Introduction 529 2. Guiding Principles of RAROC Implementation 538 3. Relationship of RAROC Capital to Market, Credit, and Operational Risks 543 4. Loan Equivalent Approach 549 5. Measuring Exposures and Losses for Derivatives 551 6. Measuring Risk Adjusted Performance: Second Generation of RAROC Model 559 7. Concluding Remarks 566 Appendix 1: First Generation of RAROC Model—Assumptions in Calculating Exposures,Expected Default, and Expected Losses 570 Notes 577 Chapter 15Model Risk 579 1. Introduction 579 2. Valuation Models and Sources of Model Risk 581 3. Typology of Model Risks 585 4. What Can Go Wrong? 594 5. What Can Market Risk Management Do to Mitigate Model Risk? 606 6. Conclusions 610 Notes 611 Chapter 16Risk Management in Nonbank Corporations 615 1. Introduction 615 2. Why Manage Risks? 617 Page xi 3. Procedure for Risk Management 622 4. Accounting Reports 630 5. Reporting Requirements by Securities Authorities 634 Appendix 1: Examples of Reports on Risk Exposure by Nike, Merck, and Microsoft, 1988 645 Notes 659 Chapter 17Risk Management in the Future 661 1. The Total Risk-Enabled Bank 661 2. External Client Profitability . . . A Partner PlusTM Approach 669 3. Process for Reviewing Risk in Extreme Markets Will Become Standardized 674 4. The Credit Analysis Process and the Need for Integrating Risks 678 5. An Idealized Bank of the Future 684 Appendix: The Relationship between Market Risk, Business Risk, and Credit Risk 685 Notes 690 References 693 Index 709 Page xiii ForewordRisk is the fundamental element that influences financial behavior. In its absence, the financialsystem necessary for efficient allocations of resources would be vastly simplified. In that world, onlya few institutions and financial instruments would be needed, and the practice of finance wouldrequire relatively elementary analytical tools. But, of course, in the real world, risk is ubiquitous.Much of the structure of the financial system we see serves the function of the efficient distributionof risk. Much of the financial decision making by households, business firms, governments, andespecially financial institutions is focused on the management of risk. Measuring the influence ofrisk, and analyzing ways of controlling and allocating it, require a wide range of sophisticatedmathematical and computational tools. Indeed, mathematical models of modern finance practicecontain some of the most complex applications of probability, optimization, and estimation theories.Those applications challenge the most powerful of computational technologies.Risk Management provides a comprehensive introduction to the subject. Presented within theframework of a financial institution, it covers the design and operation of a risk-management system,the technical modeling within that system, and the interplay between the internal oversight and theexternal regulatory components of the system. That its authors, Michel Crouhy, Dan Galai, andRobert Mark, are significant contributors to the science of finance, active practitioners of finance, andexperienced teachers of finance is apparent from both its substance and form. The range of topics isbroad but evidently carefully chosen for its applicability to practice. The mathematical models andmethodology of risk management are presented rigorously, and they are seamlessly integrated withthe empirical and clinical evidence on their applications. The book also patiently provides readerswithout an advanced mathematical background the essential analytical foundations of riskmanagement.The opening four chapters provide a fine introduction to the function of the risk management systemwithin the institution and Page xiv on the management of the system itself. Recent regulatory trends are presented to illustrate theexpanded role that the internal system plays in informing and meeting the requirements of theexternal overseers of the institution.With this as background, the book turns to the core substance of a risk management system with theanalysis and modeling of risk measurement and control. Market risk is the first topic explored,including the ubiquitous VaR models and stress testing for identifying and measuring risk exposuresto stock market, interest rate, currency, and commodity prices. The analysis shows how toincorporate option, derivative and other ''nonlinear" security exposures into those models.Nearly a third of the book is devoted to the management of credit risk, and for good reason. Banksare in the business of making loans and they also issue guarantees of financial performance for theircustomers. They enter into bilateral contractual agreements such as swaps, forward contracts, andoptions on enormous scales that expose them to the risk that their counterparts to those contracts willnot fulfill their obligations. Similarly, insurance companies hold corporate bonds that may default andsome guarantee the performance of bonds issued by municipal governments. The credit derivativesbusiness is one of the fastest growing areas for financial products. However, credit risk analysis haseven greater importance to risk management in its application to the soundness of the institutionitself. Indeed, for financial institutions with principal businesses, which involve issuing contingentpayment contracts such as deposits, annuities, and insurance to their customers, creditworthiness isthe central financial issue. The mere prospect of a future default by an institution on its customerobligations can effectively destroy those businesses. Unlike investors in an institution, its customersdo not want to bear its credit risk, even for a price. The book presents the major competing modelsfor measuring and valuing credit risk and evaluates them, both theoretically and empirically.In addition to market and credit risk exposures, a comprehensive approach to risk measurement andrisk management must also include operational risks, which is the subject of Chapter 13.Furthermore, no risk management system can be effective without well-designed performancemeasurement and testing. This is Page xv needed both to estimate the risk exposures ex ante and to provide an ex post assessment of thoseestimates relative to predictions, as a feedback on the performance of the system. As laid out inChapter 14, the system's risk estimates provide the basis for capital attribution among the activitiesand the accuracy of those estimates determine the amount of equity capital "cushion" needed as awhole.Mathematical models of valuation and risk assessment are at the core of modern risk managementsystems. Every major financial institution in the world, including sovereign central banks, depends onthese models and none could function without them. Although mainstream and indispensable, thesemodels are by necessity abstractions of the complex real world. Although there is continuingimprovement in those models, their accuracy as useful approximations to that world variessignificantly across time and situation. Thus, a dimension of risk management that by definition isoutside the formal risk management model is model risk. Chapter 15 explores that issue. It driveshome the point that there is no "safe harbor" in model error, whether complex mathematical modelsor traditional measures with rules of thumb. For example, in the case of financial institutions, thetraditional accounting leverage ratio measured by total assets/equity can be cut in half by using a"borrow-versus-pledge" method to finance security inventory versus using a "repo-reverse repo"method even though the economic risk of the two methods is identical. Furthermore, the institutioncan use derivative securities to greatly alter its measured leverage ratio without changing its economicrisk. The risk-measurement approaches emphasized in the book are ones that give consistent readingsamong these different institutional ways of taking on the same risk exposure.The pace of financial innovation has been extraordinary over the past quarter century and there is nosign of abatement in either product and service innovation or changes in the institutional structures ofthe providers. As discussed in Chapter 16, a major growth area will be in providing integrated riskmanagement to nonfinancial firms. More generally, from individual households to government users,the trend in financial services lies with integrated products that are smarter, more comprehensive,simpler to understand, and more reliable for those users. The future of risk management, asarticulated in Chapter 17, rests in helping the pro- Page xvi ducer handle the greater complexity of creating and maintaining those products. The prescriptionscontained herein will age well.To the reader: Learn and enjoy.ROBERT C. MERTONHARVARD BUSINESS SCHOOL Page xvii IntroductionThe traditional role of the risk manager as corporate steward is evolving as organizations face anincreasingly complex and uncertain future. The mandate to clearly identify, measure, manage, andcontrol risk has been expanded and integrated into best practice management of a bank. Today's riskmanager is a key member of the senior executive team who helps define business opportunities froma risk-return perspective, presents unique ways of looking at them, has direct input into theconfiguration of products and services, and ensures the transparency of all the risks. Innovationnecessitates new yardsticks for measuring and monitoring the resulting activities. The savvycorporate leader uses risk management as both a sword and a shield.At the end of the last millennium, financial institutions and investors experienced increased volatilityin the major financial and commodity markets, with many financial crises. At the start of the newmillennium, we are in the midst of a technological revolution resulting in changes in the operation ofmarkets, increased access to information, changes in the types of services available to investors, aswell as major changes in the production and distribution of financial services.If there is concern about an institution's ability to manage risk, then its share price will be penalized.Risk is a cost of doing business for a financial institution and consequently best practice riskmanagement is a benefit to our shareholders. To manage the risks facing an institution we must havea clearly defined set of risk policies and the ability to measure risk. But what do we measure? Andhow do we measure such risks? We must also have a best practice infrastructure. The starting point isthat we need a framework.This book provides such a framework. The content of the book is consistent with our own riskmanagement strategy and experience. Our risk management strategy is designed to ensure that oursenior management operates together in partnership to control risk while ensuring the independenceof the risk management function. Improvements in analytic models and systems technology have Page xviii greatly facilitated our ability to measure and manage risk. However, the new millennium brings newchallenges. There are risks that we can identify and measure and there is the uncertainty of theunknown. The challenge facing risk managers is to minimize the consequences of the unknown. Thisbook should help all risk and business managers address the issues arising from risk and uncertainty.JOHN HUNKINCHAIRMAN & CHIEF EXECUTIVE OFFICERCANADIAN IMPERIAL BANK OF COMMERCE Page xix PrefaceRisk Management introduces, illustrates, and analyzes the many aspects of modern risk managementin both financial institutions and nonbank corporations. It consolidates the entire field of riskmanagement from policies to methodologies as well as data and technological infrastructure. It alsocovers investment, hedging, and management strategies.The shift to flexible exchange rates in the late 1960s has led to more volatility in exchange rates. Asvolatility increased, financial markets began to offer a new breed of securities, that is, derivativessuch as futures and options, to allow institutions to hedge their exposures to currency fluctuations.The increase in inflation in the early 1970s and the advent of floating exchange rates soon began togenerate interest rate instability. Again, the market responded by offering new derivative products tohedge and manage these new risks. Banks found themselves increasingly engaged in riskintermediation and less in traditional maturity intermediation. Banks also started to innovate and offernew customized derivative instruments, known as over-the-counter (OTC) products, that bothcompete with and complement traded derivatives.In 1988 the Bank for International Settlements (BIS) set the capital adequacy requirements forbanking worldwide to account for credit risk. This was the first international effort to deal with thegrowing exposure of financial institutions to risk and volatilities, and especially to risk of off-balancesheet claims such as derivative instruments. The 1988 BIS Accord was followed by the 1998 BISAccord, accounting for market risks in the trading book, as well as by many documents of the BISdiscussing the many facets of risk management. The SEC implemented its risk exposure disclosurerequirements in 1998 for all exchange traded companies in the United States.Risk management is not an American phenomenon. Today it covers all continents and all countries.What we observe today is a convergence of regulation and disclosure requirements across the Page xx globe. More than in any other field, the tools and reporting requirements of risk management areuniversal.This book is based on our academic as well as practical work in the field of risk management. We tryto cover both institutional aspects and organizational issues, while not forgetting that riskmanagement is based on statistical and financial models.The book is a comprehensive treatment of all aspects of risk management. It starts by discussing thenew regulatory framework that is shaping best practice risk management in the banking industryworldwide. The risk management techniques that have been developed by and for banks are nowmigrating to the corporate sector. There is mounting pressure from regulators, such as the SEC in theUnited States, financial analysts, and investors for more and better disclosures of financial risks andthe techniques and instruments being adopted to control these risks.The book provides a consistent and comprehensive coverage of all aspects of risk management—organizational structure, methodologies, policies, and infrastructure—for both financial andnonfinancial institutions. It offers an up-to-date exposition of risk measurement techniques formarket, credit risk, and operational risk. The risk measurement techniques discussed in the book arebased on the latest research. They are presented, however, with considerations based on practicalexperience with the daily application of these new risk measurement tools. The book also elaborateson the issues that the next generation of risk measurement models will have to address, such as thefull integration in a consistent multiperiod framework of liquidity, market, and credit risk; themeasurement of risk for illiquid positions, as for example the merchant banking book; the riskassessment over a long-term horizon of structural positions, such as the "gap" of the corporatetreasury in a financial institution; and stress testing to assess risk in periods of financial crises.The book relies heavily on the experience of the authors in developing the risk management functionin a bank from the ground up. It goes beyond the technical aspects of risk measurement. It proposesan integrated framework for managing risks and an organizational structure that has provensuccessful in practice.We have incorporated the latest evolution of the regulatory framework and the current BIS proposalto reform the capital Page xxi Accord. The book offers a unique presentation of the latest credit risk management techniques. Itprovides clear guidance to implement a risk management group in a financial institution. It alsodiscusses how to adapt to a nonfinancial corporation the risk management techniques that have beenoriginally developed and implemented in banks. The book provides one-stop shopping for knowledgein risk management ranging from current regulatory issues, data, technological infrastructure, hedgingtechniques, and organizational structure.Structure of the BookThe book is arranged according to the major subjects of modern risk management. Chapter 1discusses the need for risk management systems. Chapter 2 presents the new regulatory frameworkthat is shaping modern risk management in financial institutions and nonbank corporations. Chapter 3provides an integrated framework for best-practice risk management. We explain how financialinstitutions should establish appropriate firm-wide policies, methodologies, and infrastructure inorder to measure, price, and control risks in a comprehensive manner. Chapter 4 reviews the new BIScapital requirements for market risks and compares the "standardized approach" and the "internalmodels approach" that banks can use to report regulatory capital.The topic of Chapters 5 and 6 is market risk measurement. We present the standard value-at-risk(VaR) approach. We also discuss some extensions of the VaR method: "incremental-VaR" and"delta-VaR" to isolate the component risks that contribute most to the total risk, "dynamic-VaR" toassess market and liquidity risks over a long time horizon, say a quarter, and "E-VaR,'' the expectedloss in the tail, as an alternative risk measure to VaR. We also look at stress testing and scenarioanalysis to analyze extreme events that lie outside normal market conditions assumed by the standardVaR model. Finally, we discuss measurement errors and backtesting issues.Chapters 7 to 12 cover credit risk. These six chapters constitute a unique and comprehensivecoverage of topical credit risk-related issues: credit risk rating, credit risk measurement with a detailedpresentation of the four industry-sponsored approaches Page xxii (credit migration, contingent claim, actuarial, and reduced form approaches), and credit mitigationtechniques. Credit risk is currently the major risk to which banks are exposed, and yet techniques tomodel and mitigate credit risk are still in their infancy. Regulators with the new BIS CapitalAdequacy Framework currently under discussion are setting new standards that will give a definitivecompetitive advantage to the banks that can achieve sophistication in credit risk assessment and creditrisk management.Chapter 13 proposes a framework for operational risk control. We describe four key steps inimplementing bank operational risk, and highlight some means of risk reduction. Finally, we look athow a bank can extract value from enhanced operational risk management by improving its capitalattribution methodologies.Chapter 14 is devoted to capital allocation and performance measurement. This chapter presents theRisk Adjusted Return on Capital (RAROC) analysis to measure performance and allocate economiccapital. It provides managers with the information they need to make the trade-off between risk andreward more efficient.Chapter 15 elaborates on "model risk," that is, the special risk that arises when an institution usesmathematical models to value and hedge securities. We discuss some classic examples of what can gowrong when trading strategies are built on theoretical valuation models.Chapter 16 is on risk management for nonfinancial corporations. In this chapter we discuss in detailthe pros and cons of modern risk management techniques as applied to nonbank corporations. Therelevant question is not whether corporations should engage in risk management but, rather, how theycan manage risk in a rational way. We also discuss some new accounting standards that have beenintroduced to deal with the derivative and hedging activities of corporations.Chapter 17 presents our views on risk management in the future. In this chapter we look at how riskmanagement will be induced—and facilitated—by advances in technology, the introduction of moresophisticated regulatory measures, rapidly accelerating market forces, and an increasingly complexlegal environment. Page xxiii AcknowledgmentsOur appreciation goes to many friends and colleagues at CIBC, the Hebrew University, and otherinstitutions for their generous help. Particular thanks go to the members of the Senior ExecutiveTeam (SET) at CIBC, whose insights toward building best practice as well as practical riskmanagement tools have been invaluable. Parts of the book were presented in conferences, seminars,regulatory bodies, and internal CIBC round tables around the world and we have greatly benefitedfrom the comments of numerous participants. Most of all our appreciation goes to our extendedfamilies.We would like to extend our debt of gratitude to our outstanding editor Robert Jameson for the manyvaluable suggestions that substantially shaped the book, and to Catherine Schwent, acquisitions editorat McGraw-Hill, for her devotion and patience. Our special thanks go to all those that providedadministrative and typing assistance. They have done a wonderful job considering the tough clientsthey had to serve. Parts of the book appeared previously in the working paper series of the GlobalAnalytics group at CIBC and in a variety of journals, books, and specialized risk publications over thepast many years.MICHEL CROUHYDAN GALAIROBERT MARK Page 1 Chapter 1—The Need for Risk Management Systems1—IntroductionThe international banking system has experienced many significant structural changes over the last 25years. Major banks have merged, 1 many institutions have become global,2 and banks seemincreasingly likely to pursue mergers and other alliances with insurance companies.3 Althoughinstitutions have grown in size, competition has substantially increased. This is because, over the sameperiod, regulators have relaxed their rules and have allowed banks to offer new products and to enternew markets and new business activities.The Financial Services Act of 1999 will lead to further far-reaching changes in the U.S. financialsystem. It will repeal key provisions of the Glass–Steagall Act, passed during the Great Depression,which prohibits commercial banks from underwriting insurance and most kinds of securities. Mostsignificantly, brokerage firms, banks, and insurers will be able to merge with each other; this sort ofalliance was prohibited by the Bank Holdings Act of 1956. The proposed reform is intended to allowbank holding companies to expand their range of financial services and to take advantage of newfinancial technologies such as web-based e-commerce.The new legislation will also put brokerage firms and insurers on a par with banks by allowing them toenter into the full range of financial activities and compete globally. Page 2 The expansion of the activities of bank holding companies will incur new market, credit andoperational risks. The consolidations will also precipitate a thorough revision of capital adequacyrequirements, which are currently tailored to the needs of traditional bank holding companies.This trend toward consolidation complements longer-term changes in industry structure. Over thepast 20 years, many corporations have found it less costly to raise money from the public (by issuingbonds) than to borrow directly from banks. Banks have found themselves competing more and morefiercely, reducing their profit margins, and lending in larger sizes, longer maturities, and to customersof lower credit quality.Customers, on their part, are demanding more sophisticated and complicated ways to finance theiractivities, to hedge their financial risks, and to invest their liquid assets. In some cases, they aresimply looking for ways to reduce their risk exposure. In other instances, they are willing to assumeadditional risk, if they are properly compensated for it, in order to enhance the yield of their portfolio.Banks are, therefore, increasingly engaged in what might be called "risk shifting" activities. Theseactivities demand better and better expertise and know-how in controlling and pricing the risks thatbanks manage in the market.As the banking industry has evolved, the managerial emphasis has shifted away from considerationsof profit and maturity intermediation (usually measured in terms of the spread between the interestpaid on loans and the cost of funding) toward risk intermediation. Risk intermediation implies aconsideration of both the profits and the risks associated with banking activities. It is no longersufficient to charge a high interest rate on a loan; the relevant question is whether the interest chargedcompensates the bank appropriately for the risk that it has assumed.The change in emphasis from simplistic "profit-oriented" management to risk/return management canalso be seen in non-bank corporations. Many major corporations are now engaged in active riskmanagement. Of course, "risk" was always a major consideration in deciding whether to takeadvantage of investment opportunities. However, rejecting projects because they seem to be risky canlead companies to reject investment opportunities that in Page 3 fact offer an excellent return. The real problem is how to quantify risk and thus price it appropriately.In the banking industry, the classic risk is credit risk. Through history, banks have sought to managethis risk as a key part of their business. However, it was not until 1988
management
Risk Management
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0, 0, 0, 0 ]
0
"that a formalized universalapproach to credit risk in banks was first set out. Based on the 1988 Ba(...TRUNCATED)
management
Risk Management
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[1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1(...TRUNCATED)
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1
"2\n19953\n19963\nGRV\nNotional\nGRV\nNotional\nGRV\nNotional\nGRV\n4834\nng5\n5712\nng\nChase Manha(...TRUNCATED)
management
Risk Management
[29906,13,29896,29929,29929,29945,29941,13,29896,29929,29929,29953,29941,13,14345,29963,13,3664,1848(...TRUNCATED)
[1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1(...TRUNCATED)
[0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0(...TRUNCATED)
2
"first principle of risk control that the assessmentof risk, and control over tracking transactions,(...TRUNCATED)
management
Risk Management
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[1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1(...TRUNCATED)
[0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0(...TRUNCATED)
3
"settlement of the underlying exposure (see Chapter 12).2.5—Operational Risk PoliciesThe G-30 emph(...TRUNCATED)
management
Risk Management
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[1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1(...TRUNCATED)
[0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0(...TRUNCATED)
4
"financial institutions to take on toomuch risk. The problem is that as the definition of regulatory(...TRUNCATED)
management
Risk Management
[18161,21561,304,2125,373,304,290,987,12045,29889,450,1108,338,393,408,278,5023,310,24378,7606,7483,(...TRUNCATED)
[1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1(...TRUNCATED)
[0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0(...TRUNCATED)
5
"ated bonds and whether the market for these bonds be liquidenough for the spreads to be informative(...TRUNCATED)
management
Risk Management
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[1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1(...TRUNCATED)
[0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0(...TRUNCATED)
6
"one firm, one view\" approach, which also recognizes the specific risk dynamics ofeach business.\nF(...TRUNCATED)
management
Risk Management
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[1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1(...TRUNCATED)
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7
"spectrum of funding sources and indicates that a bank mightassign a higher liquidity credit for \"s(...TRUNCATED)
management
Risk Management
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[1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1,1(...TRUNCATED)
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8
"ent in the trading of derivatives. Indeed, the ability of a tradinginstitution to remain profitable(...TRUNCATED)
management
Risk Management
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9
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