Integrating Market, Credit and Operational Risk - A Complete Guide for Bankers & Risk Professionals
Incisive Media, August 2006, Pages: 350
Covering the three major sources of risk this book gives an excellent overview of the exact methodological steps needed for you to evaluate and manage market, credit and operational risks arising from banking activities. It moves on to reveal the strengths and weaknesses of Basel II and explains ways for you to integrate these sources of financial risk into this regulatory framework.
Among other topics, the focus of the book lies on the construction of a common, reliable and historically based framework for conducting stress tests for the entire banking organization structure. This will ultimately allow you to develop a common integrated framework for the quantification of economic capital and regulatory capital for each source of risk under consideration.
Integrating Market, Credit and Operational Risk will lead you to:
- Identify and measure the risks on an integrated basis
- Model and map the integrated risk that is associated to both your internal and external market, credit and operational business lines
- Align the integrated risks to business objectives through the associated business lines performances
- Evaluate and monitor the probability and impact of each integrated risk based on multi-factorial and multi-dimensional measurements within operations that have high degree of complexity
- Manage the integrated risk in accordance to minimise the overall value of risks as well as their capital requirements
- Allocate the resources needed for the integrated risk management within different business lines, department sites etc.
- Deal with the implementation of Basel II for integrated risk assessment
- Acquire alternative proposals for market, credit and operational risks
- Learn all financial and business aspects of the integration among market, credit and operational risks in credit institutions
- Identify, model, map and monitor the integrated risks and/or losses
- Understand what to consider on VaR for unitary as well as integrated risk level
- Know when and where the different sources of risks are integrated
This book presents a unique way for you to evaluate integrated risks within complex operational processes and can be used as a working manual, handbook or reference for anyone working in or studying these sources of risk.
Introduction
Part I: Market Risk
Introduction
Identifying Risk Factors
Market Risk Models
Back-testing Stress tests
Aspects of Integration
Part II: Credit Risk
Introduction
Credit Risk Basics
Credit Risk Parameters: Definitions and innovative estimations of
Credit Risk Modelling
Stress testing
Regulatory Capital Requirements
Aspects of Integration
Part III: Operational Risk in Banking Organizations
Introduction
Identifying & Measuring Operational Risk
Modeling and Monitoring Operational Risk
Assessing Operational Risk via Evaluation Analysis
Operational Risk Profiling
Optimizing Risks
Aspects of Integration
Part IV: Characteristics, Strengths and Weaknesses of Basel II
Introduction
The Framework for Market Risk
The Framework for Credit Risk
The Framework for Operational Risk
Aggregation according to Basel II: Different combination for each credit institution
Difficulties on Integrating Different Types of Risks
Part V: Integrated Risk Management Framework
Introduction
Integrating Market and Credit Risk
Integrating Market and Operational Risk
Integrating Credit and Operational Risk
Dealing with the Weaknesses of Basel II
Economic and Regulatory Capital
A complete proposal for capital requirements
Conclusions & Action Plans
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