commercial bank risk management.pdf

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1、FinancialCommercialBankRiskInstitutionsManagement:AnAnalysisoftheCenterProcessbyAnthonyM.Santomero95-11-BTHEWHARTONFINANCIALINSTITUTIONSCENTERTheWhartonFinancialInstitutionsCenterprovidesamulti-disciplinaryresearchapproachtotheproblemsandopportunitiesfacingthefinancialservicesindust

2、ryinitssearchforcompetitiveexcellence.TheCenter'sresearchfocusesontheissuesrelatedtomanagingriskatthefirmlevelaswellaswaystoimproveproductivityandperformance.TheCenterfostersthedevelopmentofacommunityoffaculty,visitingscholarsandPh.D.candidateswhoseresearchinterestscomplementandsupp

3、ortthemissionoftheCenter.TheCenterworkscloselywithindustryexecutivesandpractitionerstoensurethatitsresearchisinformedbytheoperatingrealitiesandcompetitivedemandsfacingindustryparticipantsastheypursuecompetitiveexcellence.CopiesoftheworkingpaperssummarizedhereareavailablefromtheCente

4、r.IfyouwouldliketolearnmoreabouttheCenterorbecomeamemberofourresearchcommunity,pleaseletusknowofyourinterest.AnthonyM.SantomeroDirectorTheWorkingPaperSeriesismadepossiblebyagenerousgrantfromtheAlfredP.SloanFoundationCommercialBankRiskManagement:AnAnalysisoftheProcessAnthonyM.Santome

5、roRichardK.MellonProfessorofFinanceTheWhartonSchoolOctober8,1996I.IntroductionThepastdecadehasseendramaticlossesinthebankingindustry.Firmsthathadbeenperformingwellsuddenlyannouncedlargelossesduetocreditexposuresthatturnedsour,interestratepositionstaken,orderivativeexposuresthatmayor

6、maynothavebeenassumedtohedgebalancesheetrisk.Inresponsetothis,commercialbankshavealmostuniversallyembarkeduponanupgradingoftheirriskmanagementandcontrolsystems.Coincidentaltothisactivity,andinpartbecauseofourrecognitionoftheindustry'svulnerabilitytofinancialrisk,theWhartonFinancialI

7、nstitutionsCenter,withthesupportoftheSloanFoundation,hasbeeninvolvedinananalysisoffinancialriskmanagementprocessesinthefinancialsector.Throughthepastacademicyear,on-sitevisitswereconductedtoreviewandevaluatetheriskmanagementsystemsandtheprocessofriskevaluationthatisinplace.Inthebank

8、ingsector,systemeva