Catalogue


Analyzing and managing banking risk : a framework for assessing corporate governance and financial risk /
Hennie van Greuning, Sonja Brajovic Bratanovic.
edition
2nd ed.
imprint
Washington, DC : World Bank, 2003.
description
xvi, 367 p. ; ill. + 1 CD-ROM disc (in pambinder)
ISBN
0821354183
format(s)
Book
Holdings
More Details
added author
imprint
Washington, DC : World Bank, 2003.
isbn
0821354183
general note
Originally published under title: Analyzing bank risk.
catalogue key
4873832
 
Includes bibliographical references and index.
A Look Inside
Reviews
This item was reviewed in:
Reference & Research Book News, August 2003
To find out how to look for other reviews, please see our guides to finding book reviews in the Sciences or Social Sciences and Humanities.
Summaries
Main Description
This is the second edition of this book which considers issues involved in the assessment, analysis, and management of financial risks in banking. It highlights risk-management principles and the accountability of key players in corporate governance process, as well as discussing transparency in bank's financial statements. It also contains new material including chapters on the management of the treasury function, management of a stable liquidity investment portfolio, and a discussion of proprietary trading activities and asset management liability components. A hardback version is also available (ISBN 0821354655) containing illustrative prototype software and Excel spreadsheets which can be adapted for banking diagnostic processes.
Main Description
'Analyzing Banking Risk (2nd edition)' provides a comprehensive overview of topics dealing with the assessment, analysis, and management of financial risks in banking. This book focuses on risk-management principles and stresses that key players in the corporate governance process are accountable for managing the different dimensions of financial risk.This second edition remains faithful to the objectives of the original publication ('Analyzing Banking Risk'). A significant new addition is the inclusion of chapters on the management of the treasury function and management of a stable liquidity investment portfolio. New material also consists of a discussion of proprietary trading activities and asset management liability components.Chapters include:- Organization of the Treasury Function- Investment/Stable Portfolio Management- Proprietary Trading/Market Risk Management- Asset-Liability Management Components- Key Players in the Corporate Governance and Risk Management Process- Transparency in the Financial Statements of BanksManaging the risks associated with the banking industry today has become more difficult. The approach used in this publication provides a framework for identifying the key players in the risk-management process and discussing their accountability for the various dimensions of the financial and other risk management processes.The hardcover edition includes a CD-ROM.
Long Description
What role might selective interventions and international arrangements play in improving the investment climate?
Long Description
Printed on Demand. Limited stock is held for this title. If you would like to order 30 copies or more please contact books@worldbank.org Contact books@worldbank.org, if currently unavailable. Analyzing Banking Risk (2nd edition) provides a comprehensive overview of topics dealing with the assessment, analysis, and management of financial risks in banking. This book focuses on risk-management principles and stresses that key players in the corporate governance process are accountable for managing the different dimensions of financial risk. This second edition remains faithful to the objectives of the original publication (Analyzing Banking Risk). A significant new addition is the inclusion of chapters on the management of the treasury function and management of a stable liquidity investment portfolio. New material also consists of a discussion of proprietary trading activities and asset management liability components. Chapters include: Organization of the Treasury Function Investment / Stable Portfolio Management Proprietary Trading / Market Risk Management Asset-Liability Management Components Key Players in the Corporate Governance and Risk Management Process Transparency in the Financial Statements of Banks Managing the risks associated with the banking industry today has become more difficult. The approach used in this publication provides a framework for identifying the key players in the risk-management process and discussing their accountability for the various dimensions of the financial and other risk management processes. The hardcover edition includes a CD-ROM.
Table of Contents
Foreword to the Second Editionp. xiii
Acknowledgmentsp. xv
Analyzing and Managing Banking Riskp. 1
Introduction: The Changing Bank Environmentp. 1
Bank Exposure to Riskp. 3
Corporate Governancep. 5
Risk-Based Analysis of Banksp. 8
Analytical Tools Providedp. 11
A Context for the Risk-Based Review of Banksp. 15
Introduction: Why Banks Are Analyzedp. 15
Banks as Providers of Financial Informationp. 17
A Framework for Financial Sector Developmentp. 18
A Holistic View of the Entire Financial Systemp. 24
Disclosure and Transparency of Bank Financial Information: A Prerequisite for Risk-Based Analysisp. 27
Key Players in the Corporate Governance and Risk Management Processp. 31
Introduction: Corporate Governance Principlesp. 31
Regulatory Authorities: Establishing a Corporate Governance and Risk Management Frameworkp. 33
Supervisory Authorities: Monitoring Risk Managementp. 35
The Shareholders: Appointing the Right Policymakersp. 38
The Board of Directors: Ultimate Responsibility for a Bank's Affairsp. 40
Management: Responsibility for Bank Operations and the Implementation of Risk Management Policiesp. 46
The Audit Committee and Internal Auditors: An Extension of the Board's Risk Management Functionp. 51
External Auditors: A Reassessment of the Traditional Approach of Auditing Bankp. 53
The Role of the General Publicp. 56
Balance Sheet Structure and Managementp. 59
Introduction: Composition of the Balance Sheetp. 59
Asset Structure: Growth and Changesp. 62
Liabilities Structure: Growth and Changesp. 67
Overall On- and Off-Balance-Sheet Growthp. 72
Managing Risk Effectivelyp. 76
Profitabilityp. 81
Introduction: The Importance of Profitable Banksp. 81
Income Statement Compositionp. 83
Income Structure and Profit Qualityp. 89
Profitability Indicatorsp. 96
Profitability Ratio Analysisp. 97
Capital Adequacyp. 101
Introduction: The Characteristics and Functions of Capitalp. 102
Constituents of Regulatory Capital (Current Methodology)p. 104
Coverage of Risk Components by Constituents of Capital (Current Methodology)p. 108
Basel II: Proposed Changes for Determining Capital Adequacyp. 113
Implementation of the Basel Accordp. 121
Assessing Management Information with Respect to Capital Adequacyp. 123
Annex to Chapter 6p. 130
Credit Risk Managementp. 135
Introduction: Components of Credit Riskp. 135
Credit Portfolio Managementp. 136
Review of Lending Function and Operationsp. 140
Credit Portfolio Quality Reviewp. 142
Nonperforming Loan Portfoliop. 146
Credit Risk Management Policiesp. 151
Policies to Limit or Reduce Credit Riskp. 154
Asset Classificationp. 159
Loan Loss Provisioning Policyp. 164
Liquidity Risk Managementp. 167
Introduction: The Need for Liquidityp. 167
Liquidity Management Policiesp. 169
The Regulatory Environmentp. 172
The Structure of Funding: Deposits and Market Borrowingp. 175
Maturity Structure and Funding Mismatchesp. 177
Deposit Concentration and Volatility of Fundingp. 181
Liquidity Risk Management Techniquesp. 182
Treasury Organization and Risk Managementp. 189
Introduction: Overview of Treasury Functionsp. 189
Establishing the Overall Policy Frameworkp. 192
Market Operationsp. 199
Risk Analytics and Compliancep. 201
Treasury Operationsp. 207
Corporate Governance and Operational Risk Assessmentp. 213
Management of the Stable Liquidity Investment Portfoliop. 221
Nature of the Stable Liquidity Investment Portfoliop. 221
Investment Policyp. 223
Eligible Instrumentsp. 224
Credit Riskp. 224
Market Riskp. 225
Benchmark Portfoliop. 225
Active Managementp. 227
Risk Management and Risk Budgetsp. 228
Management Reportingp. 229
Market Risk Management and Proprietary Tradingp. 231
Introduction: Market Risk Characteristicsp. 231
Portfolio Risk Management Policiesp. 234
Trading Book and Management of Trading Activitiesp. 237
Market Risk Measurementp. 240
Value at Riskp. 244
Stress Testingp. 246
Interest Rate Risk Managementp. 249
Introduction: Sources of Interest Rate Riskp. 249
Risk Management Responsibilitiesp. 252
Models for the Management of Interest Rate Riskp. 253
The Impact of Changes in Forecast Yield Curvesp. 258
Currency Risk Managementp. 261
Introduction: Origin and Components of Currency Riskp. 261
Policies for Currency Risk Managementp. 263
Currency Risk Exposure and Business Strategyp. 270
Currency Risk Management and Capital Adequacyp. 274
Transparency in the Financial Statements of Banksp. 281
Introduction: The Importance of Useful Informationp. 281
Transparency and Accountabilityp. 283
Transparency in Financial Statementsp. 285
Disclosure in the Financial Statements of Banksp. 290
Deficiencies Found in Bank Accounting Practicesp. 293
The Relationship between Risk Analysis and Bank Supervisionp. 297
Introduction: The Bank Supervisory Processp. 297
The Analytical Review Processp. 298
Banking Risks and the Accountability of Regulatory/Supervisory Authoritiesp. 304
The Supervisory Processp. 307
Consolidated Supervisionp. 314
Supervisory Cooperation with Internal and External Auditorsp. 319
Appendixes
Background Questionnaire to Facilitate Analysis of Banksp. 323
IAS-Required Disclosure in Financial Statements, by Risk Categoryp. 359
Deficiencies Found in Accounting Practicesp. 365
Boxes
A New Philosophy of Bank Supervisionp. 37
The Role of the Boardp. 42
The Board's Financial Risk Management Responsibilitiesp. 44
Accountability of Bank Managementp. 47
"Fit and Proper" Standards for Bank Managementp. 48
Financial Risk and Management Responsibilitiesp. 50
Internal Audit Controversiesp. 52
The Responsibilities of Audit Committees and Internal Auditorsp. 54
Financial Risk Management Responsibilities of External Auditorsp. 55
Content of a Loan Review Filep. 144
Signs of Distorted Credit Culturep. 150
Asset Classification Rulesp. 161
Typical Liquidity Regulations or Internal Liquidity Guidelinesp. 175
ALM Mission Statementp. 193
Asset Classesp. 201
Criteria for Evaluating Accounting Standardsp. 286
Survey on Public Disclosures of Banksp. 295
Figures
The Banking Risk Spectrump. 4
Partnership in Corporate Governance of Banksp. 6
A Framework for Financial Sector Developmentp. 20
Holistic View of the Financial System: A Template for Financial Sector Reviewp. 26
Balance Sheet Componentsp. 61
Structural Change and Assets Growthp. 64
Changes in the Structure of a Bank's Assets Portfoliop. 64
Structural Change and Growth of Capital and Liabilitiesp. 69
Total Growthp. 73
Low and Nonearning Assets as a Percentage of Total Assetsp. 75
Off-Balance-Sheet Items as a Percentage of Total Assetsp. 76
Structure of Gross Incomep. 91
Asset Structure versus Income Structurep. 92
Sources of Income versus Costsp. 93
Operating Income Ratiosp. 94
Average Yield Differential on Intermediation Businessp. 99
Return on Assets (ROA) and on Equity (ROE)p. 100
Components of Shareholders' Fundsp. 124
Risk Profile of Assetsp. 125
Risk Profile of On- and Off-Balance-Sheet Itemsp. 125
Actual versus Required Capitalp. 127
Estimating Potential Capital Requirementp. 128
Loans to Customers Per Borrower Groupp. 146
Customer Loans by Productp. 147
Maturity of Loans to Customersp. 147
Loan Portfolio Statisticsp. 149
Exposure to the 20 Largest Borrowersp. 156
Sectoral Analysis of Loansp. 158
Classification of Loansp. 163
Statutory Liquidity Required versus Actual Liquid Assets Heldp. 173
Customer Deposits by Sectorp. 177
Maturity Mismatchp. 178
Maturities of Deposits Payable in Local Currencyp. 180
Ten Largest Sources of Deposits as Percentage of Total Customer Depositsp. 182
Liquidity Statisticsp. 187
Holistic View of the Treasury Environmentp. 191
Benchmarking--Operationalization of Strategic Asset Allocationp. 197
Potential Risk Analytics Reportsp. 203
Example of Daily/Monthly Checklist of Portfolio Compliance Issuesp. 205
Treasury Operations: Reporting (Funding and Investment Business)p. 211
Risk Management in the Treasuryp. 214
Trading Portfoliop. 238
Marking to Marketp. 243
Potential Amount of Qualifying Capital Exposedp. 248
Current and Forecast Yield Curvesp. 259
Potential Effect on Capital due to a Movement in Expected Yield Curvep. 259
Currency Structure of Assets and Liabilitiesp. 271
Currency Structure of Loan Portfolio and Customer Depositsp. 272
Freely Convertible Currency Deposit Maturities as a Percentage of Total Customer Depositsp. 278
Currency Risk Exposure as a Percentage of Qualifying Capitalp. 279
Transparency in Financial Statementsp. 289
The Context of Bank Supervisionp. 299
Banking Risk Exposuresp. 305
Tables
Possible Uses of Tools Providedp. 14
Key Players and Their Responsibilities in Bank Governance and Risk Managementp. 33
Shareholder Informationp. 40
Supervisory Board/Board of Directorsp. 45
A Bank's Balance Sheet Structurep. 62
Total Growth of Balance-Sheet and Off-Balance-Sheet Itemsp. 73
Composition of Income and Expensesp. 84
Profitability Ratiosp. 97
Credit Risk Multiplication Factors for Derivative Instrumentsp. 110
Summary of Basel II Proposalsp. 114
Proposed Standardized Approach: Risk Weights Based on External Ratingsp. 115
Operational Risk: Business Lines and Operational Loss Event Typesp. 119
Capital Adequacy Ratiosp. 126
Calculating the Allowable Portion of Tier 3 Capitalp. 132
Loan Portfolio Statisticsp. 148
Related-Party Lendingp. 157
Recommended Provisionsp. 165
Maturity Ladder under Alternative Scenariosp. 184
Liquidity Ratiosp. 186
Credit Risk Management Toolsp. 226
Examples of U.S. Dollar Market Indicesp. 226
Market Risk Management Toolsp. 229
Disclosures of Market Riskp. 234
Simplistic Calculation of Net Open Positionsp. 242
A Repricing Gap Model for Interest Rate Risk Managementp. 254
Open Positions in Foreign Currenciesp. 276
International Accounting Standards Applicable to Banksp. 291
Stages of the Analytical Review Processp. 300
Proposed Outline for Bank Analytical Reportsp. 301
Off-Site Surveillance versus On-Site Examinationp. 310
Generic Features of Early Warning Systemsp. 315
Adapting the External Audit for Specific Circumstances/Needsp. 321
Table of Contents provided by Ingram. All Rights Reserved.

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