Risk Management.pdf

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1、PageiRiskManagementMichelCrouhyDanGalaiRobertMarkPagevContentsForewordxiiiByRobertC.MertonIntroductionxviiByJohnHunkinPrefacexixChapter11TheNeedforRiskManagementSystems1.Introduction12.HistoricalEvolution43.TheRegulatoryEnvironment194.TheAcademicBackgroundandTechnologicalChange

2、s215.AccountingSystemsversusRiskManagementSystems296.LessonsfromRecentFinancialDisasters317.TypologyofRiskExposures348.ExtendingRiskManagementSystemstoNonfinancial39CorporationsNotes41Chapter245TheNewRegulatoryandCorporateEnvironment1.Introduction452.TheGroupof30(G-30)PolicyRec

3、ommendations483.The1988BISAccord:The"Accord"534.The"1996Amendment"or"BIS98"62+5.TheBIS2000Accord68Notes91Chapter397StructuringandManagingtheRiskManagementFunctioninaBank1.Introduction972.OrganizingtheRiskManagementFunction:Three-Pillar99FrameworkPagevi3.DataandTechnologicalInfr

4、astructure1094.RiskAuthoritiesandRiskControl1165.EstablishingRiskLimitsforGapandLiquidityManagement1266.Conclusion:StepstoSuccess133Notes135Chapter4137TheNewBISCapitalRequirementsforFinancialRisks1.Introduction1372.TheStandardizedApproach1383.TheInternalModelsApproach1504.Prosa

5、ndConsoftheStandardizedandInternalModels162Approaches:ANewProposal—the"PrecommitmentApproach"5.ComparisonsoftheCapitalChargesforVariousPortfolios165AccordingtotheStandardizedandtheInternalModelsApproaches6.Conclusions169Notes174Chapter5177MeasuringMarketRisk:TheVaRApproach1.Int

6、roduction1772.MeasuringRisk:AHistoricalPerspective1793.DefiningValueatRisk1874.CalculatingValueatRisk1965.Conclusion:ProsandConsoftheDifferentApproaches216Appendix1:DurationandConvexityofaBond218Notes225Chapter6229MeasuringMarketRisk:ExtensionsoftheVaRApproachandTestingtheModel

7、s1.Introduction2292.Incremental-VaR(IVAR),DeltaVar(DVAR),andMost230SignificantRisks3.StressTestingandScenarioAnalysis232Pagevii4.Dynamic-VaR2415.MeasurementErrorsandBack-TestingofVaRModels2436.ImprovedVariance-CovarianceVaRModel2497.LimitationsofVaRasaRiskMeasure252Appendix:Pro

8、ofoftheDeltavarProperty255Notes257Chapter7259CreditRat