Format:
1 online resource (256 pages)
ISBN:
9781787696815
Series Statement:
The Theory and Practice of Financial Stability Ser. v.2
Content:
The Banking Sector Under Financial Stabilityrecognises the critical importance of the banking sector with respect to financial stability risks, and considers the unique position of banks which by nature assume higher risks, existing within a low equity to total assets ratio.
Content:
Front Cover -- The Theory and Practice of Financial Stability Volume 2 -- Copyright Page -- Dedication -- Contents -- List of Figures -- List of Tables -- List of Acronyms -- Preface -- Chapter 1 Banks, Risks and Risk Management -- 1.1. Introduction -- 1.2. Difference between a Bank and a Non-financial Firm -- 1.3. Banking Business Inherently Risky: Low-profit Margin but High Leverage -- 1.4. Banking Sector and Financial Stability -- 1.5. Risks Analysis in Banks -- 1.5.1. Risk Definition -- 1.5.2. Risk Metrics -- 1.5.3. Risk Assessment Matrix -- 1.6. Effective Risk Management -- 1.7. Financial, Operational and Environmental Risks Impacting on Banks -- 1.8. Banking Sector Risk Assessment -- 1.8.1. Evolving Landscape of Bank Activities -- 1.8.2. Board of Directors and Audits -- Chapter 2 Banking Sector and Financial Stability -- 2.1. Measures to Bolster Financial Stability in the Banking Sector -- 2.1.1. Capital and Non-capital Measures -- 2.1.2. Funding Structure of Banks -- 2.1.3. Liquidity Measurement -- 2.1.4. Credit Risk and Performance -- 2.1.5. Bank's Business Model and Financial Stability -- 2.1.5.1. Sources of Banks' Income -- 2.1.5.2. Other Components of Non-interest Income -- 2.1.5.3. Investment Banks: Large Share of Non-interest Income and Non-deposit Funding -- 1.5.3.1. Retail Banks: Large Share of Customer Deposits and Interest Income -- 2.1.6. Structure of Assets in the Banking Sector -- 2.1.7. Bank Market Concentration and Risk -- 2.1.8. Local versus Global Banks -- 2.1.9. Off-balance Sheet Activities -- 2.1.10. Systemic Risk Buffer -- 2.2. Systematic Approach to Financial Stability Risk Assessment in Banks -- 2.3. Holistic Approach to Bank Risk Management -- 2.4. Internal and External Sources of Risks to a Bank -- Chapter 3 A Framework for Financial Stability Risk Assessment in Banks.
Content:
3.1. Framework for Financial Stability Risk Assessment in Banks -- 3.2. Credit Risk -- 3.2.1. Items Carrying Credit Risk Exposure on Balance Sheets -- 3.2.2. Off-balance Sheet Credit Risk -- 3.2.3. Nature of Credit Risk -- 3.2.4. Sources of Credit Risk -- 3.2.5. Credit Risk Mitigation Tools -- 3.2.6. Credit Risk Transfers -- 3.2.7. Credit Risk Metrics -- 3.2.8. Credit Risk Management -- 3.2.9. Solutions to Impaired Loans -- 3.2.10. Credit Risk Measurement -- 3.2.11. Five Types of Credit Risk Modelling Approaches -- 3.3. Credit Risk Models -- 3.3.1. Credit Risk Models of Financial Distress -- 3.3.1.1. Altman's Z-Score -- 3.3.1.2. ZETA Score -- 3.3.1.3. Emerging Market Scoring Model -- 3.3.2. Credit Metrics-Credit Migration Approach -- 3.3.3. Macroeconomic Models: Credit Portfolio View as developed by McKinsey and Company -- 3.3.3.1. Applied Credit Risk Model at the Macroeconomic Level -- 3.3.3.2. Definition of Shocks -- 3.3.4. Structural Models: The Option Pricing Approach - The KMV model -- 3.3.5. Reduced Form Approach -- 3.3.6. Actuarial Models of Credit Risk -- 3.4. Credit Risk: Concept of Expected and Unexpected Losses -- 3.5. Components of Exposure at Default -- 3.6. Components of LGD -- 3.7. Interest Rate Risk -- 3.7.1. Causes of Interest Rate Risk -- 3.7.2. Sources of Interest Rate Risk -- 3.7.3. Interest Rate Risk (Repricing Analysis) -- 3.7.4. Two Key Variables for Interest Rate Risk Assessment -- 3.7.5. Interest Rate Gap -- 3.7.6. Two Versions of Interest Rate Gaps -- 3.7.7. Difference Between Liquidity Gap and Interest Rate Gap -- 3.7.8. Terms Structure of Interest Rates and Interest Rate Risk -- 3.7.9. Fixed versus Floating Interest Rates -- 3.7.10. Limitations of Interest Rate Gaps -- 3.7.11. Different Dimensions of Interest Rate Risk Analysis -- 3.7.11.1. Earnings Perspective -- 3.7.11.2. Economic Value Perspective
Content:
3.7.11.3. Asset Liability Mismatch -- 3.7.11.4. Gap Analysis -- 3.7.12. Drawbacks of Gap Analysis -- 3.7.13. Duration: A Metric for Interest Rate Risk Management -- 3.7.14. Application of Duration Concept -- 3.7.15. Benefits of Duration -- 3.7.16. Drawback of Duration -- 3.7.17. Modified Duration -- 3.7.18. Effective Duration -- 3.7.19. Duration Application to a Bank -- 3.7.20. Duration of a Security -- 3.7.21. Duration of a Portfolio -- 3.7.22. Relationship between Duration and Interest Rate Risk -- 3.7.23. Balance Sheet and Non-balance Sheet Strategies for Interest Rate Risk Management -- 3.8. Liquidity Risk -- 3.8.1. Liquidity Risk (Funding Risk) -- 3.8.2. Sources of Liquidity Gap -- 3.8.3. Liquidity Gap and Net Present Value of Assets and Liabilities -- 3.8.4. Liquidity Risk and Solvency Risk -- 3.8.5. Systemic Liquidity Risks -- 3.8.6. Variants of Liquidity Ratio -- 3.8.7. Ways to Manage Liquidity Risks -- 3.8.8. Forms of Liquidity Regulations -- 3.9. Currency Risk -- 3.10. Operational Risk -- 3.11. Equity Risk -- 3.12. Country Risk -- 3.13. Bank Ratios -- 3.14. Deterioration in Banking Sector Asset Quality -- 3.15. Limitations of the Asset Quality Ratio -- 3.16. Capital Analysis of Banks -- 3.16.1. Sources of Differences in Capital Ratios -- 3.16.2. Types of Bank Capital Ratios - Same Denominator but Different Numerators -- 3.16.3. Two types of Bank Capital Ratios - Same Numerator but Different Denominators -- 3.16.4. Properties of a Sound Bank Capital for Regulation -- 3.17. Three Coveted Metrics to Assess Banking Sector Vulnerability -- 3.18. Profitability Ratios -- 3.19. Key Risk Indicators -- 3.20. Financial Ratios Based on Financial Data -- 3.21. CAMELS Framework -- 3.22. Risk Maps for Banking Sector Risk Assessments -- 3.22.1. Financial Stability Risk Map -- 3.22.2. Banking Stability Map -- 3.23. Additional Indicators
Content:
3.24. Asset Liability Management -- 3.25. Balance Sheet Repair -- 3.26. Sources of Funding -- 3.27. Empirical Evidence on Balance Sheet Assessment to Financial Stability Risks -- 3.28. Fund-based versus Non-fund-based Balance Sheet Items -- Chapter 4 Banks, Macroeconomic States, Asset Prices, Household Sector and Monetary Policy -- 4.1. Banks and Broader Macroeconomic States -- 4.2. Asset Prices and Banking Sector Crisis -- 4.2.1. Financial Accelerator is Used to Capture the Wealth Effects -- 4.2.2. Feedback Scenario between Falling Asset Prices and Bank Credit -- 4.3. Interaction between Household Sector and Banking Sector -- 4.4. Monetary Policy and Financial Stability -- 4.4.1. Objectives of Monetary Policy -- 4.4.2. Monetary Base as a Composition of Domestic and Foreign Assets -- 4.4.3. Narrow Money versus Broad Money -- 4.5. Transmission Mechanism of Monetary Policy onto the Banking Sector -- 4.5.1. Interest Rate Channel of Monetary Policy -- 4.5.2. Exchange Rate Channel of Monetary Policy -- 4.5.3. Expectations Channel of Monetary Policy -- 4.5.4. Credit Channel of Monetary Policy -- 4.5.5. Asset Price Channel of Monetary Policy -- Chapter 5 Basel III -- 5.1. Regulation of Banks -- 5.2. Basel I - 1988 Basel Capital Accord -- 5.3. Basel II -- 5.4. Basel III -- 5.5. Basel III - An Intensive Analysis -- 5.5.1. When and Why? -- 5.5.2. Components of Basel III -- 5.5.2.1. Components of Capital under Basel III -- 5.5.2.2. Capital Conservation Buffer -- 5.5.2.3. Countercyclical Capital Buffer -- 5.6. Component of Leverage Ratio under Basel III -- 5.7. Components of Liquidity Ratios under Basel III -- 5.7.1. Liquidity Coverage Ratio -- 5.7.2. Net Stable Funding Ratio -- 5.8. Component of Systemically Important Financial Institution Surcharge under Basel III -- 5.9. Components of Risk-weighting of Assets under Basel III
Content:
5.10. Effects/Implications of Basel III for Banks -- 5.11. Two Types of Basel III -- 5.12. Basel III and Leverage Ratio -- 5.13. Bail-in Bonds under Basel III -- 5.14. Basel III and Deferred Tax Assets -- 5.15. Conclusion -- Chapter 6 Microprudential and Macroprudential Regulation -- 6.1. Microprudential Regulation -- 6.2. Why do We Need Microprudential Regulation? -- 6.3. Instruments of Microprudential Regulation -- 6.4. Pitfall of Microprudential Regulation -- 6.5. Macroprudential Regulation Defined -- 6.6. Why do We Need Macroprudential Regulations? -- 6.7. Three Types of Data for Macroprudential Approach -- 6.8. Types of Macroprudential Tools -- 6.8.1. Macroprudential Policy versus Monetary Policy: Tinbergen's Rule being Applied -- 6.9. Systemic Risk -- 6.10. Tools for Identification of Systemic Risks -- 6.11. Sources of Systemic Risks -- 6.12. Propagating Avenues for Systemic Risks -- 6.13. Examples of Systemic Risk Indicators -- 6.14. Link between Macroprudential Regulations and Systemic Risk -- 6.15. Examples of Macroprudential Policies -- 6.16. Examples of Macroprudential Policies Which Tend to Induce Countercyclical Measures -- 6.17. Drawbacks of Macroprudential Regulations -- 6.18. Complementing Macroprudential Tools with Other Tools -- 6.19. Complementary Roles of Microprudential and Macroprudential Regulations -- 6.20. Areas where Microprudential and Macroprudential Regulations Overlap -- 6.21. Differences between Macroprudential and Microprudential Approaches -- 6.22. Effectiveness of Macroprudential Policies in the Euro Area -- 6.23. EU Banking Union Merging Microprudential and Macroprudential Regulations -- 6.24. How Changes in Capital Requirements or Limits on LTV Impact on Credit Growth? -- 6.25. Global Systemically Important Banks (G-SIBs) -- 6.26. Cross-border Lending in Light of the Crisis: Home-country Bias being Noted
Content:
Chapter 7 Banks and Policies
Note:
Description based on publisher supplied metadata and other sources
Additional Edition:
9781787696822
Additional Edition:
Erscheint auch als Druck-Ausgabe 9781787696822
Language:
English
URL:
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