| Description |
1 online resource |
| Series |
Management for professionals |
|
Management for professionals.
|
| Contents |
Intro -- Preface -- Short History -- Motivation and Goal -- Acknowledgments -- Contents -- Chapter 1: Outline -- Chapter 2: Bank Management and Steering -- 2.1 Strategy Planning: Iterative Process -- 2.1.1 Process of Planning -- 2.1.2 Capital Allocation -- 2.2 Strategy Planning: Tools -- 2.2.1 EaR/CaR: Overall Aggregation -- 2.2.1.1 Internal Modeling of EaR/CaR -- 2.2.1.2 Overall Simulation -- 2.2.1.3 Comparison of Internal Modeling (pillar 2) and Basel III (pillar 1) -- 2.2.2 Scenario-Based Assessment/Stress Testing -- 2.3 Capital Optimization |
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Chapter 3: Banks and the Regulatory and Economic Environment -- 3.1 Economic and Political Aspects -- 3.2 Types of Banks -- 3.3 Banks in Different Legislations -- 3.4 Role of the Banks ́Credit Rating -- 3.5 Role of Rating Agencies -- 3.6 Role of the International Swaps and Derivatives Association (ISDA) -- 3.7 Regulatory Environment -- 3.7.1 BIS -- 3.7.2 BIS and the Great Depression: History in a Nutshell -- 3.8 Basel III -- 3.8.1 Basel III: Philosophy and Evolvement -- 3.8.2 Basel III: Timeline and Implementation Status -- 3.8.3 Basel III: Some Spotlights -- 3.8.4 Basel III: Capital Ratio |
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3.8.5 Basel III: Output Floor -- 3.9 Issue Overview -- 3.10 Issue Complexity and Risk Identification -- 3.10.1 Sale and Leaseback Transactions -- 3.10.2 Securitization and Subprime -- Chapter 4: Risk Modeling and Capital: Credit Risk (Loans) -- 4.1 Pricing and Expected Loss -- 4.1.1 Adverse Selection -- 4.1.2 Risk Adjusted Pricing and RoE -- 4.2 Loan Loss Provisioning -- 4.3 Capital: Relevant Points -- 4.3.1 Default Definition -- 4.3.2 Maturity -- 4.3.3 Granularity of Rating Engines -- 4.3.4 Classification of Exposures as Retail or Corporate -- 4.3.5 Recent Bubbles -- 4.3.6 Missing Values |
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4.4 PD-Rating Tools, LGD Tools, and EAD Estimations -- 4.5 Advanced Regulatory Approaches -- 4.6 Rating Tools (PD Models) -- 4.6.1 Development of Rating Tools -- 4.6.1.1 Good/Bad Definition -- 4.6.1.2 Design of the Tools -- 4.6.1.3 Splitting of Data: Training and Test Group -- 4.6.2 Calibration of the Rating Tools -- 4.6.2.1 Impacts of the Default Definition -- 4.6.2.2 Rating Philosophy: Calibration Point in Time Versus Through the Cycle -- 4.6.3 Example of a Corporate Rating Tool -- 4.7 LGD Models (LGD Tools) -- 4.7.1 LGD Tool for Vehicles/Machinery -- 4.7.2 LGD Tool for Mortgages |
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4.8 Backtesting Within Credit Risk -- 4.8.1 Backtesting Versus Validation -- 4.8.2 Backtesting -- 4.8.3 Backtesting Framework PD -- 4.8.4 Backtesting Framework LGD -- Chapter 5: Risk Modeling and Capital: Counterparty Credit Risk (̀̀EPE ́́and ̀̀CVA)́́ -- 5.1 Cash Flows, Exposure, Pricing, and Capital -- 5.1.1 ̀̀EPE ́́Capital Modeling/Capital Charge -- 5.1.1.1 Standardized Approach -- 5.1.1.2 Advanced EPE Modeling -- 5.1.2 CVA Capital Charge -- 5.2 Wrong Way Risk -- Chapter 6: Risk Modeling and Capital: Credit Risk (Securitizations) -- 6.1 Basel III Approaches: Securitization-Related Capital |
| Summary |
This book analyzes the effects of macroeconomic and regulatory developments such as the set of Basel III rules on planning. It also details advanced methods within risk management and describes macroeconomic scenarios for implementation |
| Bibliography |
Includes bibliographical references |
| Subject |
Bank management.
|
|
Banks and banking -- Risk management
|
|
Business planning.
|
|
Bank management
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|
Business planning
|
| Form |
Electronic book
|
| ISBN |
9783030428662 |
|
3030428664 |
|
