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Operational Risk 283
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4.1 Background 283 4.2 Increasing Focus on Operational Risk 285 4.2.1 Drivers of Operational Risk Management 286 4.2.2 Operational Risk and Shareholder Value 288 4.3 Definition of Operational Risk 289 4.4 Regulatory Understanding of Operational Risk Definition 293 4.5 Enforcement of Operational Risk Management 296 4.6 Evolution of Operational Risk Initiatives 299 4.7 Measurement of Operational Risk 302 4.8 Core Elements of an Operational Risk Management Process 303 4.9 Alternative Operational Risk Management Approaches 304 4.9.1 Top-Down Approaches 305 4.9.2 Bottom-Up Approaches 314 4.9.3 Top-Down vs. Bottom-Up Approaches 319 4.9.4 The Emerging Operational Risk Discussion 321 4.10 Capital Issues from the Regulatory Perspective 321 4.11 Capital Adequacy Issues from an Industry Perspective 324 4.11.1 Measurement Techniques and Progress in the Industry Today 327 4.11.2 Regulatory Framework for Operational Risk Overview Under the New Capital Accord 330 4.11.3 Operational Risk Standards 335 4.11.4 Possible Role of Bank Supervisors 336 4.12 Summary and Conclusion 337 4.13 Notes 338
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Building Blocks for Integration of Risk Categories 341
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5.1 Background 341 5.2 The New Basel Capital Accord 342 5.2.1 Background 342 5.2.2 Existing Framework 343 5.2.3 Impact of the 1988 Accord 345 5.2.4 The June 1999 Proposal 346 5.2.5 Potential Modifications to the Committee s Proposals 348
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5.3 Structure of the New Accord and Impact on Risk Management 352 5.3.1 Pillar I: Minimum Capital Requirement 352 5.3.2 Pillar II: Supervisory Review Process 353 5.3.3 Pillar III: Market Discipline and General Disclosure Requirements 354 5.4 Value at Risk and Regulatory Capital Requirement 356 5.4.1 Background 356 5.4.2 Historical Development of VaR 357 5.4.3 VaR and Modern Financial Management 359 5.4.4 Definition of VaR 364 5.5 Conceptual Overview of Risk Methodologies 366 5.6 Limitations of VaR 368 5.6.1 Parameters for VaR Analysis 368 5.6.2 Different Approaches to Measuring VaR 373 5.6.3 Historical Simulation Method 380 5.6.4 Stress Testing 382 5.6.5 Summary of Stress Tests 389 5.7 Portfolio Risk 389 5.7.1 Portfolio VaR 390 5.7.2 Incremental VaR 393 5.7.3 Alternative Covariance Matrix Approaches 395 5.8 Pitfalls in the Application and Interpretation of VaR 404 5.8.1 Event and Stability Risks 405 5.8.2 Transition Risk 406 5.8.3 Changing Holdings 406 5.8.4 Problem Positions 406 5.8.5 Model Risks 407 5.8.6 Strategic Risks 409 5.8.7 Time Aggregation 409 5.8.8 Predicting Volatility and Correlations 414 5.8.9 Modeling Time-Varying Risk 415 5.8.10 The RiskMetrics Approach 423 5.8.11 Modeling Correlations 427 5.9 Liquidity Risk 431 5.10 Summary 436 5.11 Notes 437
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Contents
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Case Studies 441
6.1 Structure of Studies 441 6.2 Overview of Cases 441 6.3 Metallgesellschaft 445 6.3.1 Background 445 6.3.2 Cause 448 6.3.3 Risk Areas Affected 6.4 Sumitomo 461 6.4.1 Background 461 6.4.2 Cause 461 6.4.3 Effect 464 6.4.4 Risk Areas Affected 6.5 LTCM 466 6.5.1 Background 466 6.5.2 Cause 468 6.5.3 Effect 472 6.5.4 Risk Areas Affected 6.6 Barings 479 6.6.1 Background 479 6.6.2 Cause 480 6.6.3 Effect 485 6.6.4 Risk Areas Affected 6.7 Notes 490
GLOSSARY 495 BIBLIOGRAPHY 519 INDEX 539
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INTRODUCTION
Over the past decades, investors, regulators, and industry self-regulatory
bodies have forced banks, other financial institutions, and insurance companies to develop organizational structures and processes for the management of credit, market, and operational risk. Risk management became a hot topic for many institutions, as a means of increasing shareholder value and demonstrating the willingness and capability of top management to handle this issue. In most financial organizations, risk management is mainly understood as the job area of the chief risk officer and is limited, for the most part, to market risks. The credit risk officer usually takes care of credit risk issues. Both areas are supervised at the board level by separate competence and reporting lines and separate directives. More and more instruments, strategies, and structured services have combined the profile characteristics of credit and market risk, but most management concepts treat the different parts of risk management separately. Only a few institutions have started to develop an overall risk management approach, with the aim of quantifying the overall risk exposures of the company (Figure I-1). This book presents an inventory of the different approaches to market, credit and, operational risk. The following chapters provide an in-depth analysis of how the different risk areas diverge regarding methodologies, assumptions, and conditions. The book also discusses how the different approaches can be identified and measured, and how their various parts contribute to the discipline of risk management as a whole. The closing chapter provides case studies showing the relevance of the different risk categories and discusses the crash-testing of regulatory rules through their application to various crises and accidents. The objective of this book is to demonstrate the extent to which these risk areas can be combined from a management standpoint, and to which some of the methodologies and approaches are or are not reasonable for economic, regulatory, or other purposes.
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