Financial Statements Based Bank Risk Aggregation

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Financial Statements-Based Bank Risk Aggregation

Author : Jianping Li
Publisher : Springer Nature
ISBN 13 : 9811904081
Total Pages : 217 pages
Book Rating : 4.8/5 (119 download)

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Book Synopsis Financial Statements-Based Bank Risk Aggregation by : Jianping Li

Download or read book Financial Statements-Based Bank Risk Aggregation written by Jianping Li and published by Springer Nature. This book was released on 2022-03-15 with total page 217 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes a bank risk aggregation framework based on financial statements. Specifically, bank risk aggregation is of great importance to maintain stable operation of banking industry and prevent financial crisis. A major obstacle to bank risk management is the problem of data shortage, which makes many quantitative risk aggregation approaches typically fail. Recently, to overcome the problem of inaccurate total risk results caused by the shortage of risk data, some researchers have proposed a series of financial statements-based bank risk aggregation approaches. However, the existing studies have drawbacks of low frequency and time lag of financial statements data and usually ignore off-balance sheet business risk in bank risk aggregation. Thus, by reviewing the research progress in bank risk aggregation based on financial statements and improving the drawbacks of existing methods, this book proposes a bank risk aggregation framework based on financial statements. It makes full use of information recorded in financial statements, including income statement, on- and off-balance sheet assets, and textual risk disclosures, which solves the problem of data shortage in bank risk aggregation to some extent and improves the reliability and rationality of bank risk aggregation results. This book not only improves the theoretical studies of bank risk aggregation, but also provides an important support for the capital allocation of the banking industry in practice. Thus, this book has theoretical and practical importance for bank managers and researchers of bank risk management.

Financial Risk Management

Author : Jimmy Skoglund
Publisher : John Wiley & Sons
ISBN 13 : 1119135516
Total Pages : 580 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Financial Risk Management by : Jimmy Skoglund

Download or read book Financial Risk Management written by Jimmy Skoglund and published by John Wiley & Sons. This book was released on 2015-10-12 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Analyzing Banking Risk

Author : Hennie van Greuning
Publisher : World Bank Publications
ISBN 13 : 9780821378984
Total Pages : 438 pages
Book Rating : 4.3/5 (789 download)

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Book Synopsis Analyzing Banking Risk by : Hennie van Greuning

Download or read book Analyzing Banking Risk written by Hennie van Greuning and published by World Bank Publications. This book was released on 2009-03-31 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview of topics focusing on assessment, analysis, and management of financial risks in banking. The publication emphasizes risk-management principles and stresses that key players in the corporate governance process are accountable for managing the different dimensions of financial risk. This third edition remains faithful to the objectives of the original publication. A significant new edition is the inclusion of chapters on the management of the treasury function. Advances made by the Basel Committee on Banking Supervision are reflected in the chapters on capital adequacy, transparency, and banking supervision. This publication should be of interest to a wide body of users of bank financial data. The target audience includes persons responsible for the analysis of banks and for the senior management or organizations directing their efforts.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Financial Soundness Indicators

Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1589063856
Total Pages : 302 pages
Book Rating : 4.5/5 (89 download)

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Book Synopsis Financial Soundness Indicators by : International Monetary Fund

Download or read book Financial Soundness Indicators written by International Monetary Fund and published by International Monetary Fund. This book was released on 2006-04-04 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Soundness Indicators (FSIs) are measures that indicate the current financial health and soundness of a country's financial institutions, and their corporate and household counterparts. FSIs include both aggregated individual institution data and indicators that are representative of the markets in which the financial institutions operate. FSIs are calculated and disseminated for the purpose of supporting macroprudential analysis--the assessment and surveillance of the strengths and vulnerabilities of financial systems--with a view to strengthening financial stability and limiting the likelihood of financial crises. Financial Soundness Indicators: Compilation Guide is intended to give guidance on the concepts, sources, and compilation and dissemination techniques underlying FSIs; to encourage the use and cross-country comparison of these data; and, thereby, to support national and international surveillance of financial systems.

International Convergence of Capital Measurement and Capital Standards

Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Risk Disclosure in the European Banking Industry

Author : Salvatore Polizzi
Publisher : Springer Nature
ISBN 13 : 3030939677
Total Pages : 150 pages
Book Rating : 4.0/5 (39 download)

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Book Synopsis Risk Disclosure in the European Banking Industry by : Salvatore Polizzi

Download or read book Risk Disclosure in the European Banking Industry written by Salvatore Polizzi and published by Springer Nature. This book was released on 2022-02-02 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book analyses the use of qualitative and quantitative content analysis methodologies for risk disclosure practices in the European banking industry. While doing so, it assesses the level of transparency of financial and non-financial reports by focusing on the information disclosed to the public with reference to risk exposure and management. By drawing upon both qualitative and quantitative techniques, the book proposes two different methodological approaches to assess the information European financial institutions provide to the public with reference to the risk disclosure and derivative disclosure in their annual financial reports. These methodologies are subsequently employed to carry out empirical analyses on samples of European banks. By exploiting the points of strength of both qualitative and quantitative content analysis methodologies, this book offers insights into the advantages and disadvantages of these methodologies. The book is a must-read for academics and researchers that analyze disclosure practices of financial and non-financial firms, as well as financial analysts and other practitioners that are interested in assessing the level of transparency and evaluating the disclosures of financial and non-financial firms, especially, but not exclusively, with reference to risk disclosure and derivative disclosure.

Analyzing Financial Statements

Author : Thomas P. Carlin
Publisher :
ISBN 13 :
Total Pages : 368 pages
Book Rating : 4.3/5 (555 download)

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Book Synopsis Analyzing Financial Statements by : Thomas P. Carlin

Download or read book Analyzing Financial Statements written by Thomas P. Carlin and published by . This book was released on 1993 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at commercial loan officers and officer trainees familiar with basic accounting principles and practices, this text details how to use advanced analytical techniques, including sensitivity analysis and operation leverage as well as providing the practice necessary to construct and analyze long-run, multiple year forecasts of income statements and balance sheets.

Advances in Investment Analysis and Portfolio Management (New Series) Vol．9

Author : Cheng F. Lee
Publisher : Center for PBBEFR & Ainosco Press
ISBN 13 : 9864371746
Total Pages : pages
Book Rating : 4.8/5 (643 download)

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Book Synopsis Advances in Investment Analysis and Portfolio Management (New Series) Vol．9 by : Cheng F. Lee

Download or read book Advances in Investment Analysis and Portfolio Management (New Series) Vol．9 written by Cheng F. Lee and published by Center for PBBEFR & Ainosco Press. This book was released on 2019-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.

How to Analyse Bank Financial Statements

Author : Thomas Padberg
Publisher : Harriman House Limited
ISBN 13 : 0857195182
Total Pages : 0 pages
Book Rating : 4.8/5 (571 download)

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Book Synopsis How to Analyse Bank Financial Statements by : Thomas Padberg

Download or read book How to Analyse Bank Financial Statements written by Thomas Padberg and published by Harriman House Limited. This book was released on 2017-01-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, by experienced bank analyst Thomas Padberg, provides analysts and investors with the tools to analyse bank financial statements, find problems in bank finances, and assess the risks of banks.

ALM Modeling and Balance Sheet Optimization

Author : Diogo Gobira
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3110664666
Total Pages : 216 pages
Book Rating : 4.1/5 (16 download)

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Book Synopsis ALM Modeling and Balance Sheet Optimization by : Diogo Gobira

Download or read book ALM Modeling and Balance Sheet Optimization written by Diogo Gobira and published by Walter de Gruyter GmbH & Co KG. This book was released on 2023-07-24 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: ALM Modeling and Balance Sheet Optimization is a comprehensive book that combines theoretical exploration with practical guidance and code examples on implementing a balance sheet optimization model. The book emphasizes the use of stochastic dynamic programming to develop a deep and holistic understanding of the banking problem. Encompassing the entire implementation stack – spanning from data layers to the specification of decision variables, business and regulatory constraints, objective functions, modeling strategies, solving techniques, debugging, and reporting – this book serves as a comprehensive guide for constructing highly effective balance optimization models from scratch, enabling the maximization of banking outcomes. Readers will learn how to build a mathematical model capable of generating projections for portfolios; balance sheet, income and cash flow statements; capital, and risk measures in real-world scenarios. This practical approach is particularly valuable for professionals involved in integrated stress testing, capital adequacy assessment, financial planning, and optimization tasks. In essence, the book offers valuable insights into the challenges of balance sheet optimization, providing readers with the necessary tools to build their own dynamic and comprehensive ALM models.

Data Science

Author : Jing He
Publisher : Springer Nature
ISBN 13 : 9811528101
Total Pages : 720 pages
Book Rating : 4.8/5 (115 download)

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Book Synopsis Data Science by : Jing He

Download or read book Data Science written by Jing He and published by Springer Nature. This book was released on 2020-02-01 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 6th International Conference on Data Science, ICDS 2019, held in Ningbo, China, during May 2019. The 64 revised full papers presented were carefully reviewed and selected from 210 submissions. The research papers cover the areas of Advancement of Data Science and Smart City Applications, Theory of Data Science, Data Science of People and Health, Web of Data, Data Science of Trust and Internet of Things.

Risk Assessment and Financial Regulation in Emerging Markets' Banking

Author : Alexander M. Karminsky
Publisher : Springer Nature
ISBN 13 : 3030697487
Total Pages : 395 pages
Book Rating : 4.0/5 (36 download)

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Book Synopsis Risk Assessment and Financial Regulation in Emerging Markets' Banking by : Alexander M. Karminsky

Download or read book Risk Assessment and Financial Regulation in Emerging Markets' Banking written by Alexander M. Karminsky and published by Springer Nature. This book was released on 2021-05-11 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes various approaches in modelling financial risks and compiling ratings. Focusing on emerging markets, it illustrates how risk assessment is performed and analyses the use of machine learning methods for financial risk assessment and measurement. It not only offers readers insights into the differences between emerging and developed markets, but also helps them understand the development of risk management approaches for banks. Highlighting current problems connected with the evaluation and modelling of financial risks in the banking sector of emerging markets, the book presents the methodologies applied to credit and market financial risks and integrated and payment risks, and discusses the outcomes. In addition it explores the systemic risks and innovations in banking and risk management by analyzing the features of risk measurement in emerging countries. Lastly, it demonstrates the aggregation of approaches to financial risk for emerging financial markets, comparing the experiences of various countries, including Russia, Belarus, China and Brazil.

Analyzing Banking Risk (Fourth Edition)

Author : Hennie van Greuning
Publisher : World Bank Publications
ISBN 13 : 1464815186
Total Pages : 399 pages
Book Rating : 4.4/5 (648 download)

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Book Synopsis Analyzing Banking Risk (Fourth Edition) by : Hennie van Greuning

Download or read book Analyzing Banking Risk (Fourth Edition) written by Hennie van Greuning and published by World Bank Publications. This book was released on 2020-06-10 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyzing Banking Risk: A Framework for Assessing Corporate Governance and Risk Management provides a comprehensive overview of topics focusing on assessment, analysis, and management of financial risks in banking. The publication emphasizes risk management principles and stresses that key players in the corporate governance process are accountable for managing the different dimensions of financial and other risks. This fourth edition remains faithful to the objectives of the original publication. It covers new business aspects affecting banking risks, such as mobile banking and regulatory changes over the past decade—specifically those related to Basel III capital adequacy concepts—as well as new operational risk management topics such as cybercrime, money laundering, and outsourcing. This publication will be of interest to a wide body of users of bank financial data. The target audience includes the persons responsible for the analysis of banks and for the senior management or organizations directing their efforts. Because the publication provides an overview of the spectrum of corporate governance and risk management, it is not aimed at technical specialists of any particular risk management area. *** Hennie van Greuning was formerly a Senior Adviser in the World Bank’s Treasury Unit and previously worked as a sector manager for financial sector operations in the World Bank. He has been a partner in a major international accounting firm and a controller and head of bank supervision in a central bank. Since retiring from the World Bank, he has chaired audit, ethics, and risk committees in various banks and has been a member of operational risk and asset-liability management committees. Sonja Brajovic Bratanovic was a Lead Financial Sector Specialist at the World Bank, after a career as a senior official in a central bank. With extensive experience in banking sector reforms and financial risk analysis, she led World Bank programs for financial sector reforms, as well as development projects. Since her retirement, she has continued as a senior consultant for World Bank development projects in the financial sector, as well as an advisor for other development institutions.

Revisiting Risk-Weighted Assets

Author : Vanessa Le Leslé
Publisher : International Monetary Fund
ISBN 13 : 1475502656
Total Pages : 50 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis Revisiting Risk-Weighted Assets by : Vanessa Le Leslé

Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.

Handbook of Financial Data and Risk Information I

Author : Margarita S. Brose
Publisher : Cambridge University Press
ISBN 13 : 1107012015
Total Pages : 659 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Handbook of Financial Data and Risk Information I by : Margarita S. Brose

Download or read book Handbook of Financial Data and Risk Information I written by Margarita S. Brose and published by Cambridge University Press. This book was released on 2014 with total page 659 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume I examines the business and regulatory context that makes risk information so important. A vast set of quantitative techniques, internal risk measurement and governance processes, and supervisory reporting rules have grown up over time, all with important implications for modeling and managing risk information. Without an understanding of the broader forces at work, it is all too easy to get lost in the details. -- Back cover.

Risk Accounting

Author : Allan D. Grody
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Risk Accounting by : Allan D. Grody

Download or read book Risk Accounting written by Allan D. Grody and published by . This book was released on 2016 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the period following the global financial crisis high profile regulatory breaches and other instances of banks' misconduct triggered widespread concern that the culture and standards of conduct in banks had declined to a point of unacceptability. The crisis also brought into sharp focus the inability of banks to completely and accurately report the risks they accept in order to create shareholder value. These events and circumstances culminated in a crisis of trust between banks and their stakeholders that include governments, regulators, investors and customers. In this same period regulators focused on their primary 'capital-at-risk' regimes administered through the Basel capital accords, reinforcing additional levels of capital as a bank's primary protection against unexpected losses. At the same time Basel introduced 'firm-at-risk' mandates that required improvements in banks' control over risk data and associated technology infrastructure. The most significant game changing post-crisis regulatory mandate in this regard is the Basel Committee's principles for effective risk data aggregation and risk reporting also known as 'BCBS 239'. This new mandate requires banks: to implement controls over risk data that are as robust as those applicable to accounting data; to create accurate and single authoritative sources of risk data; and to ensure the precision, timeliness, comprehensiveness and adaptability of risk reporting. BCBS 239 effectively sets the parameters for enterprise risk management (ERM) and provides the foundation on which risk governance and risk cultures can positively evolve.Whereas BCBS 239 expressly states that a common risk metric for all forms of risk is not required, the authors challenge this thinking and argue that it is only through the adoption of a common risk metric that the objectives of BCBS 239 can be reasonably achieved. Part 1 of this paper explains why bankers - risk managers and accountants in particular - must view the need for the convergence of finance and risk systems within a common control and reporting framework as an imperative. Part 2 describes the 'Risk Accounting' methodology and its introduction of both a common measurement framework for all forms of risk and a common risk metric, the 'Risk Unit' or RU.