Risk transparency : a practical guide to addressing the key questions
著者
書誌事項
Risk transparency : a practical guide to addressing the key questions
（Risk executive report）
Risk Books, c2013
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注記
Includes bibliographical references (p. 417-418) and index
内容説明・目次
内容説明
This report, written by highly-experienced industry expert Sanjay Sharma, investigates factors that can inhibit financial institutions and other entities from providing full disclosure of the risks underlying their strategies, portfolios and performance. The author surveys disclosure practices that are generally followed, with relevant examples and commentary on their effectiveness and weaknesses. Prescriptive chapters illustrate how to overcome the drawbacks of disclosure and will also touch upon the evolution of regulatory standards and emerging trends in the aftermath of the financial crisis. In the aftermath of the global financial crisis, the issue of risk transparency is at the forefront of the minds of management, investors and regulators alike. Questions are arising surrounding risk transparency as it relates to, or is provided by, exchanges and markets, central banks and regulators. Ensure you are fully informed and equipped to deal with these questions.
目次
1. Risk Transparency: An Overview Foundational Framework Barriers to Risk Transparency Ensuring Transparency Conclusion 2. Risk and Uncertainty: The Foundation of Transparency Definitional Frameworks Conclusion Appendix 2.1: Risk and Uncertainty - a Case Study 3. Model Risk Overview of Quantitative Models Components of Quantitative Models Model Implementation Flaws and Limitations of Quantitative Models Model Risk Components Model Interpretation Model Risk Management Framework Model Transparency Conclusion Appendix 3.1: A Complete Mathematical Description of the Black - Scholes Model Appendix 3.2: A Qualitative Description of Black - Scholes Model with Limitations, Assumptions Etc Appendix 3.3: A Qualitative Description of the Cox - Ingersoll - Ross Model Appendix 3.4: A Qualitative Description of a Mortgage Portfolio Cashflow Modelling Framework 4. Credit Risk Introduction Credit Risk versus Market Risk Credit Risk Transparency: Part I Classification of Debt and Credit Sensitive Risk Assets Quantification of Credit Risk Credit Risk Transparency: Part II Conclusion Appendix 4.1: Structured Credit Portfolios and Securitisation Appendix 4.2: Case Study of Transparency Associated with Collateralised Loan Obligations (CLOs) 5. Market Risk Introduction Market Risk Measurement Interest-rate and Other Risk Measures Valuation Framework Decomposition and Analysis of Revenue and Profitability Conclusion 6. Liquidity Risk Introduction Categorisation of Liquidity Risk Asset - liability Management Sound Liquidity Management Practices Practical Considerations Measurement of Liquidity Basel III Liquidity Framework Transparency of Liquidity Risk Conclusion 7. Operational Risk Definition of Operational Risk Taxonomy and Framework for Operational Risk Operational Risk Transparency - Part I Management of Operational Risk Operational Risk Transparency - Part II Conclusion Appendix 7.1: Development of Operational Risk Thresholds Appendix 7.2: Sample Scenario Analysis - External Fraud 8. Value-at-Risk Conceptual Foundations of VaR Evolution of VaR as a Measure of Risk Computational Overview Dynamics and Limitations of VaR Recommendations for Making VaR Transparent and Actionable Conclusion 9. Stress Testing Introduction and Historical Perspective Foundations Stress Testing Framework Scenario Creation Reverse Stress Testing Stress Testing of Specific Risks and Exposures Systemic Stress Testing and Central Banks Considerations for Stress-Test Design and Implementation Conclusion Appendix 9.1: Stress-Test Case Study Appendix 9.2: Illustration of Interactive Stress-Testing and Reporting Framework Appendix 9.3: Examples of Historical and Hypothetical Scenarios 10. Institutional Disclosure Introduction Barriers to Institutional Transparency Framework for Institutional Disclosure Illustrative Disclosure Samples Conclusion 11. Systemic Risk Overview Systemic Stability Versus Resilience Systemic Risk as Negative Externality Anatomy of a Systemic Risk Event Measurement of Systemic Risk Systemic Risk Transparency, Associated Challenges and Recommendations Structure of a Systemic Transparency Framework Conclusion Appendix - 11.1: the 2008 Global Financial Crisis - a Case of Observable Vulnerabilities 12. Regulation Overview of Financial Regulation Goals of Financial Regulation Goals of Regulatory Transparency Organisation of Regulatory Bodies Policy Formulation and Overview of Regulatory Standards Challenges for Transparency Related to Regulatory Standards Moral Hazard Bank Capital Unintended Consequences of Regulation Multiplicity of Standards and Regulatory Bodies Countercyclical Capital Buffers Supervisory Transparency Observation of and Transparency in Institutional Cultures Conclusion
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