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1 zzzzzzzzzz_zzzz,. Foundations of Banking Risk An Overview of Bankings Banking Risks, and Risk-Based Banking Regulation RICHARD APOSTOLIK CHRISTOPHER DONOHUE PETER WENT C GARP ThWil&s W 7 GLOBAL ASSOCIATION OF RISK PBOFESSIOHALS JOJIII Wiley OL SOUS, itlc.
2 Contents Introduction AEKnowieogi HUMS CHAPTER 1 Functions and Forms of Banking 1.1 Banks and Banking Core Bank Services Banks in the Economy Money Creation Payment Services Other Banking Services 1.2 Different Bank Types Retail Banks Wholesale Banks ' Central Banks 1.3 Banking Risks Credit Risk Market Risk Operational Risk Other Risk Types 1.4 Forces Shaping the Banking Industry CHAPTER Z Managing Banks 2.1 Bank Corporate Governance Board of Directors Senior Management Internal and External Auditors Transparency 2.2 Balance Sheet and Income Statement Bank Assets Bank Liabilities Equity Income Statement The Role of Bank's Equity xi xiii
3 2.3 Asset and Liability Management Interest Rate Risk Liquidity Risk Loan Losses Valuing Assets in the Trading Book Value of Assets in the Banking Book, Performing Loans Value of Assets in the Banking Book, Nonperforming Loans Provision For Loan Losses and Loan Loss Reserves Loan Loss Reserves and Loan Losses 50 CHAPTERS Banking Regulation From Liquidity Crisis to Bank Panics Liquidity Crisis and Bank Runs Bank Panics Foundations of Bank Regulation Regulatory Objectives The Regulatory Process Stabilization: The Lender of Last Resort International Regulation of Bank Risks Bank for International Settlements The Basel Committee The Basel I Accord The Market Risk Amendment Weaknesses of Bank Capital Requirements in Basel I Accord The Basel II Accord Adopting Basel II Deposit Insurance Deposit Insurance Coverage Deposit Insurance Around the World The Road Ahead 78 CHAPTER 4 Credit Risk Introduction to Credit Risk Lenders Investment Banks Credit Rating Agencies Borrowers Retail Borrowers Corporate Borrowers 86 vi
4 Sovereign Borrowers Public Borrowers Characteristics of Credit Products Maturity Commitment Specification Loan Purpose Repayment Source Collateral Requirements Covenant Requirements Loan Repayment Types of Credit Products Agricultural Loans Asset-Based or Secured Lending Automobile Loans Commercial Paper Factoring Home Equity Credit Lines and Home Equity Loans Leasing Mortgages Overdraft Facilities Project, or Infrastructure, Finance Revolving Lines of Credit Syndicated Loans ji CHAPTER 5 The Credit Process and Credit Risk Management 5.1 The Credit Process Identifying the Credit Opportunity Credit Evaluation Credit Decision Making Credit Disbursement Credit Monitoring 5.2 The Credit Analysis Process The Five Cs of Credit The Credit Analysis Path Business, or Macro, Risks Financial, or Micro, Risks Structural Risk Information Sources vii
5 Portfolio Management Concentration Risk Securitizations Credit Risk and Basel II Accord The Standardized Approach Internal Ratings Based Approaches Common Features to IRB Approaches Minimum Requirements for IRB Approaches CHAPTERS Market Risk 6.1 Introduction to Market Risk 6.2 Basics of Financial Instruments Currencies Fixed Income Instruments Interbank Loans Equities Commodities Derivatives 6.3 Trading Fundamental Trading Positions Bid-Ask Spreads Exchange and Over-the-Counter Markets 6.4 Market Risk Measurement and Management Types of Market Risk Value-at-Risk Stress Testing and Scenario Analysis Market Risk Reporting Hedging 6.5 Market Risk Regulation The 1996 Market Risk Amendment CHAPTER 7 Operational Risk 7.1 What Is Operational Risk? 7.2 Operational Risk Events Internal Process Risk People Risk Systems Risk External Risk Legal Risk
6 Operational Loss Events High-Frequency/Low-Impact Risks (HFLI) Low-Frequency/High-Impact Risks (LFHI) Operational Risk Management Functional Structure of Operational Risk Management Activities Operational Risk Identification, Assessment, and Measurement Example of Operational Risk Measurement and Management Basel II and Operational Risk Basic Indicator Approach Standardized Approach Advanced Measurement Approach Criteria for Using Different Approaches Basel II and Operational Risk Management CHAPTER 8 Regulatory Capital and Supervision under Basel N 8.1 Bank Regulatory Capital Bank Regulatory Capital Tier 1 Capital Tier 2 Capital Tier 3 Capital Deductions and Adjustments from Regulatory Capital New Capital 8.2 Basel II Minimum Capital Requirement 8.3 Pillar 2 Supervisory Review Four Key Principles of Supervisory Review Specific Issues to Address During Supervisory Review Accountability and International Cooperation 8.4 Pillar 3 Market Discipline Accounting Disclosures General Disclosure Requirements Disclosing Risk Exposure and Risk Assessment 8.5 Beyond Regulatory Capital Calculating Economic Capital Risk-Adjusted Performance Measures 8.6 Banks, Bank Risks, and Regulation Glossary 227 index 247 ix
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