Author: Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
International Convergence of Capital Measurement and Capital Standards
Author: Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
Book Description
Interest Rate Risk in the Banking Book
Author: Beata LubinskaPublisher: John Wiley & Sons
ISBN: 1119755018
Category : Business & Economics
Languages : en
Pages : 263
Book Description
Introduces practical approaches for optimizing management and hedging of Interest Rate Risk in the Banking Book (IRRBB) driven by fast evolving regulatory landscape and market expectations. Interest rate risk in the banking book (IRRBB) gained its importance through the regulatory requirements that have been growing and guiding the banking industry for the last couple of years. The importance of IRRBB is shifting for banks, away from ‘just’ a regulatory requirement to having an impact on the overall profitability of a financial institution. Interest Rate Risk in the Banking Book sheds light on the best practices for managing this importance risk category and provides detailed analysis of the hedging strategies, practical examples, and case studies based on the author’s experience. This handbook is rich in practical insights on methodological approach and contents of ALCO report, IRRBB policy, ICAAP, Risk Appetite Statement (RAS) and model documentation. It is intended for the Treasury, Risk and Finance department and is helpful in improving and optimizing their IRRBB framework and strategy. By the end of this IRRBB journey, the reader will be equipped with all the necessary tools to build a proactive and compliant framework within a financial institution. Gain an updated understanding of the evolving regulatory landscape for IRRBB Learn to apply maturity gap analysis, sensitivity analysis, and the hedging strategy in banking contexts • Understand how customer behavior impacts interest rate risk and how to manage the consequences Examine case studies illustrating key IRRBB exposures and their implications Written by London market risk expert Beata Lubinska, Interest Rate Risk in the Banking Book is the authoritative resource on this evolving topic.
Interest Rate Risk in the Banking Book
Author: PAUL. NEWSONPublisher:
ISBN: 9781782723257
Category : Banks and banking
Languages : en
Pages : 255
Book Description
Interest Rate Risk in Commercial Banking
Author: Jay Bernard MorrisonPublisher:
ISBN:
Category :
Languages : en
Pages : 408
Book Description
The Interest Rate Risk of Commercial Banks
Author: John Richard PhelpsPublisher:
ISBN:
Category : Asset-liability management
Languages : en
Pages : 280
Book Description
Interest Rate Risk
Author: Suresh N.Publisher:
ISBN:
Category :
Languages : en
Pages : 8
Book Description
From April 2004 to August 2005, the ten-year Government Bond rised by 250 basis points and is continuing to rise from thereafter. Many banks have profited handsomely from this rise in interest rates. Since interest rates cannot continue to rise indefinitely, there can be a question, Is the banking system adequately prepared for a scenario with change in interest rates?In this paper investigation has been made on the effects of interest rates volatility on stock market returns using daily returns on stocks of 32 selected Commercial Banks which includes 16 Public sectors and 16 Private sector Banks over the period from 1st April 2004 to 31st Aug 2005.In this paper, 'Augmented market model' has been used to estimate, the elasticity of returns on the stock against returns on the stock market. The repressor used in this model can be interpreted as the return on a portfolio where the long bond is purchased, using borrowed funds at the short rate. The return on selected banks and market return required for the study are obtained from the NSE website. We created time-series of notional bond returns on the 28-day and the 10-year zero coupon bond, priced off the NSE Zero Coupon Yield Curve for short term and long term returns respectively.The results indicate that interest rates have a strong positive power for stock returns and. weak predictive power for volatility. It has been found that for 10 out of 32 banks in our sample would be gained or lost 30% of equity capital in the event of a 250 bps move in the yield curve. The stock market sensitivities suggest that there is strong heterogeneity across banks in India in their interest rate exposure. The stock market is unaware of interest rate risk when valuing bank stocks.
Managing Risks in Commercial and Retail Banking
Author: Amalendu GhoshPublisher: John Wiley & Sons
ISBN: 1118103564
Category : Business & Economics
Languages : en
Pages : 397
Book Description
A practical guide to the practices and procedures of effectively managing banking risks Managing Risks in Commercial and Retail Banking takes an in-depth, logical look at dealing with all aspects of risk management within the banking sector. It presents complex processes in a simplified way by providing real-life situations and examples. The book examines all dimensions of the risks that banks face—both the financial risks—credit, market, and operational—and the non-financial risks—money laundering, information technology, business strategy, legal, and reputational. Focusing on methods and models for identifying, measuring, monitoring, and controlling risks, it provides practical advice backed up by solid theories, without resorting to the use of complicated mathematical and statistical formulas. Author Amalendu Ghosh exposes topics that are usually absent in books on managing banking risk—such as design of control framework, risk management architecture, credit risk rating, risk-based loan pricing, portfolio analysis, business continuity planning, and corporate governance. Author has extensive experience with a variety of major banks and institutions worldwide and brings a fresh perspective in the wake of the global finance crisis Presents a novel approach using models of the credit risk rating of different types of borrowers, the methodology for assigning weights for deriving the rating, and the scoring process Covers the essentials of corporate governance and options for credit risk assessment in line with the recommendations made in the New Basel Capital Accord Explains the methodology of risk-based internal audit, including techniques to enable bank branches to switch over from the old transaction-based audit methods With its logical sequence of the aspects of risk management, the book's layout is ideal for presentations, making it a handy tool for risk management training
Bank Profitability and Risk-Taking
Author: Natalya MartynovaPublisher: International Monetary Fund
ISBN: 1513565818
Category : Business & Economics
Languages : en
Pages : 44
Book Description
Traditional theory suggests that more profitable banks should have lower risk-taking incentives. Then why did many profitable banks choose to invest in untested financial instruments before the crisis, realizing significant losses? We attempt to reconcile theory and evidence. In our setup, banks are endowed with a fixed core business. They take risk by levering up to engage in risky ‘side activities’(such as market-based investments) alongside the core business. A more profitable core business allows a bank to borrow more and take side risks on a larger scale, offsetting lower incentives to take risk of given size. Consequently, more profitable banks may have higher risk-taking incentives. The framework is consistent with cross-sectional patterns of bank risk-taking in the run up to the recent financial crisis.
Bank Leverage and Monetary Policy's Risk-Taking Channel
Author: Mr.Giovanni Dell'AricciaPublisher: International Monetary Fund
ISBN: 1484381130
Category : Business & Economics
Languages : en
Pages : 41
Book Description
We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on the internal ratings of U.S. banks on loans to businesses over the period 1997 to 2011 from the Federal Reserve’s survey of terms of business lending. We find that ex-ante risk taking by banks (as measured by the risk rating of the bank’s loan portfolio) is negatively associated with increases in short-term policy interest rates. This relationship is less pronounced for banks with relatively low capital or during periods when banks’ capital erodes, such as episodes of financial and economic distress. These results contribute to the ongoing debate on the role of monetary policy in financial stability and suggest that monetary policy has a bearing on the riskiness of banks and financial stability more generally.
Author: Bernard Morrison Jay