Foreword to the Second Edition |
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xiii | |
Acknowledgments |
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xv | |
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Analyzing and Managing Banking Risk |
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1 | (14) |
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Introduction: The Changing Bank Environment |
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1 | (2) |
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3 | (2) |
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5 | (3) |
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Risk-Based Analysis of Banks |
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8 | (3) |
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Analytical Tools Provided |
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11 | (4) |
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A Context for the Risk-Based Review of Banks |
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15 | (16) |
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Introduction: Why Banks Are Analyzed |
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15 | (2) |
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Banks as Providers of Financial Information |
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17 | (1) |
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A Framework for Financial Sector Development |
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18 | (6) |
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A Holistic View of the Entire Financial System |
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24 | (3) |
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Disclosure and Transparency of Bank Financial Information: A Prerequisite for Risk-Based Analysis |
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27 | (4) |
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Key Players in the Corporate Governance and Risk Management Process |
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31 | (28) |
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Introduction: Corporate Governance Principles |
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31 | (2) |
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Regulatory Authorities: Establishing a Corporate Governance and Risk Management Framework |
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33 | (2) |
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Supervisory Authorities: Monitoring Risk Management |
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35 | (3) |
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The Shareholders: Appointing the Right Policymakers |
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38 | (2) |
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The Board of Directors: Ultimate Responsibility for a Bank's Affairs |
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40 | (6) |
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Management: Responsibility for Bank Operations and the Implementation of Risk Management Policies |
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46 | (5) |
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The Audit Committee and Internal Auditors: An Extension of the Board's Risk Management Function |
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51 | (2) |
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External Auditors: A Reassessment of the Traditional Approach of Auditing Banks |
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53 | (3) |
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The Role of the General Public |
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56 | (3) |
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Balance Sheet Structure and Management |
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59 | (22) |
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Introduction: Composition of the Balance Sheet |
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59 | (3) |
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Asset Structure: Growth and Changes |
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62 | (5) |
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Liabilities Structure: Growth and Changes |
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67 | (5) |
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Overall On- and Off-Balance-Sheet Growth |
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72 | (4) |
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Managing Risk Effectively |
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76 | (5) |
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81 | (20) |
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Introduction: The Importance of Profitable Banks |
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81 | (2) |
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Income Statement Composition |
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83 | (6) |
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Income Structure and Profit Quality |
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89 | (7) |
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96 | (1) |
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Profitability Ratio Analysis |
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97 | (4) |
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101 | (34) |
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Introduction: The Characteristics and Functions of Capital |
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102 | (2) |
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Constituents of Regulatory Capital (Current Methodology) |
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104 | (4) |
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Coverage of Risk Components by Constituents of Capital (Current Methodology) |
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108 | (5) |
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Basel II: Proposed Changes for Determining Capital Adequacy |
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113 | (8) |
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Implementation of the Basel Accord |
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121 | (2) |
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Assessing Management Information with Respect to Capital Adequacy |
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123 | (7) |
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130 | (5) |
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135 | (32) |
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Introduction: Components of Credit Risk |
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135 | (1) |
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Credit Portfolio Management |
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136 | (4) |
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Review of Lending Function and Operations |
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140 | (2) |
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Credit Portfolio Quality Review |
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142 | (4) |
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Nonperforming Loan Portfolio |
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146 | (5) |
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Credit Risk Management Policies |
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151 | (3) |
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Policies to Limit or Reduce Credit Risk |
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154 | (5) |
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159 | (5) |
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Loan Loss Provisioning Policy |
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164 | (3) |
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Liquidity Risk Management |
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167 | (22) |
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Introduction: The Need for Liquidity |
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167 | (2) |
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Liquidity Management Policies |
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169 | (3) |
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The Regulatory Environment |
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172 | (3) |
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The Structure of Funding: Deposits and Market Borrowing |
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175 | (2) |
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Maturity Structure and Funding Mismatches |
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177 | (4) |
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Deposit Concentration and Volatility of Funding |
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181 | (1) |
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Liquidity Risk Management Techniques |
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182 | (7) |
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Treasury Organization and Risk Management |
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189 | (32) |
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Introduction: Overview of Treasury Functions |
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189 | (3) |
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Establishing the Overall Policy Framework |
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192 | (7) |
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199 | (2) |
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Risk Analytics and Compliance |
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201 | (6) |
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207 | (6) |
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Corporate Governance and Operational Risk Assessment |
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213 | (8) |
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Management of the Stable Liquidity Investment Portfolio |
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221 | (10) |
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Nature of the Stable Liquidity Investment Portfolio |
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221 | (2) |
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223 | (1) |
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224 | (1) |
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224 | (1) |
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225 | (1) |
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225 | (2) |
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227 | (1) |
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Risk Management and Risk Budgets |
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228 | (1) |
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229 | (2) |
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Market Risk Management and Proprietary Trading |
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231 | (18) |
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Introduction: Market Risk Characteristics |
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231 | (3) |
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Portfolio Risk Management Policies |
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234 | (3) |
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Trading Book and Management of Trading Activities |
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237 | (3) |
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240 | (4) |
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244 | (2) |
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246 | (3) |
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Interest Rate Risk Management |
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249 | (12) |
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Introduction: Sources of Interest Rate Risk |
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249 | (3) |
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Risk Management Responsibilities |
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252 | (1) |
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Models for the Management of Interest Rate Risk |
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253 | (5) |
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The Impact of Changes in Forecast Yield Curves |
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258 | (3) |
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261 | (20) |
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Introduction: Origin and Components of Currency Risk |
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261 | (2) |
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Policies for Currency Risk Management |
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263 | (7) |
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Currency Risk Exposure and Business Strategy |
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270 | (4) |
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Currency Risk Management and Capital Adequacy |
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274 | (7) |
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Transparency in the Financial Statements of Banks |
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281 | (16) |
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Introduction: The Importance of Useful Information |
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281 | (2) |
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Transparency and Accountability |
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283 | (2) |
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Transparency in Financial Statements |
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285 | (5) |
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Disclosure in the Financial Statements of Banks |
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290 | (3) |
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Deficiencies Found in Bank Accounting Practices |
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293 | (4) |
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The Relationship between Risk Analysis and Bank Supervision |
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297 | (1) |
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Introduction: The Bank Supervisory Process |
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297 | (1) |
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The Analytical Review Process |
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298 | (6) |
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Banking Risks and the Accountability of Regulatory/Supervisory Authorities |
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304 | (3) |
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307 | (7) |
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314 | (5) |
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Supervisory Cooperation with Internal and External Auditors |
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319 | (4) |
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1 Background Questionnaire to Facilitate Analysis of Banks |
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323 | (36) |
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2 IAS-Required Disclosure in Financial Statements, by Risk Category |
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359 | (6) |
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3 Deficiencies Found in Accounting Practices |
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365 | |