UID:
edocfu_9959234578702883
Umfang:
1 online resource (xxvi, 514 pages) :
,
digital, PDF file(s).
ISBN:
1-107-19173-4
,
1-107-40356-1
,
1-282-00168-X
,
0-511-48003-2
,
9786612001680
,
0-511-47764-3
,
0-511-48083-0
,
0-511-47618-3
,
0-511-47916-6
Inhalt:
Domestic and foreign financial assets of all central banks and public wealth funds worldwide are estimated to have reached more than 12 trillion US dollars in 2007. How do these institutions manage such unprecedented growth in their financial assets and how have they responded to the 'revolution' of risk management techniques during the last two decades? This book surveys the fundamental issues and techniques associated with risk management and shows how central banks and other public investors can create better risk management systems. Each chapter looks at a specific area of risk management, first presenting general problems and then showing how these materialize in the special case of public institutions. Written by a team of risk management experts from the European Central Bank, this much-needed survey is an ideal resource for those concerned with the increasingly important task of managing risk in central banks and other financial institutions.
Anmerkung:
Title from publisher's bibliographic system (viewed on 05 Oct 2015).
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Cover; Half-title; Title; Copyright; Contents; Figures; Tables; Boxes; Foreword; Introduction; Structure of the book: Investment vs. policy operations; different risk types; Part I: Investment operations; Part II: Policy operations; Part III: Organizational issues and operational risk; Part I: Investment operations; 1 Central banks and other public institutions as financial investors; 1. Introduction; 2. Public institutions' specificities as investors; 3. How policy tasks have made central banks large-scale investors
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4. Optimal degree of diversification of public institutions' financial assets5. How actively should public institutions manage their financial assets?; 6. Policy-related risk factors; 7. The role of central bank capital - a simple model; 8. Integrated risk management for public investors; 9. Conclusions; 2 Strategic asset allocation for fixed-income investors; 1. Introduction; 2. A primer on strategic asset allocation; 3. Components of the ECB investment process; 4. Forward-looking modelling of the stochastic factors; 5. Optimization models for SAA under a shortfall approach
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6. The ECB case: an application3 Credit risk modelling for public institutions' investment portfolios; 1. Introduction; 2. Credit risk in central bank and other public investors' portfolios; 3. The ECB's approach towards credit risk modelling: issues and parameter choices; 4. Simulation results; 5. Conclusions; 4 Risk control, compliance monitoring and reporting; 1. Introduction; 2. Overview of the distribution of portfolio management tasks within the Eurosystem; 3. Limits; 4. Portfolio management oversight tasks; 5. Reporting on risk and performance; 6. IT and risk management
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5 Performance measurement1. Introduction; 2. Rules for return calculation; 3. Two-dimensional analysis: risk-adjusted performance measures; 4. Performance measurement at the ECB; 6 Performance attribution; 1. Introduction; 2. Multi-factor return decomposition models; 3. Fixed-income portfolios: risk factor derivation; 4. Performance attribution models; 5. The ECB approach to performance attribution; 6. Conclusions; Part II: Policy operations; 7 Risk management and market impact of central bank credit operations; 1. Introduction; 2. The collateral framework and efficient risk mitigation
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3. A cost-benefit analysis of a central bank collateral framework4. Conclusions; 8 Risk mitigation measures and credit risk assessment in central bank policy operations; 1. Introduction; 2. Assessment of collateral credit quality; 3. Collateral valuation: marking to market; 4. Haircut determination methods; 5. Limits as a risk mitigation tool; 6. Conclusions; 9 Collateral and risk mitigation frameworks of central bank policy operations - a comparison across central banks; 1. Introduction; 2. General comparison of the three collateral frameworks; 3. Eligibility criteria
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4. Credit risk assessment and risk control framework
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English
Weitere Ausg.:
ISBN 0-511-57571-8
Weitere Ausg.:
ISBN 0-521-51856-3
Sprache:
Englisch
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