Risk Management and Regulation in Banking

by International Conference on Advances in Structural Dynamics (2000 : Hong Kong, China); Galai, Dan

• ISBN13: 9780792384830
• ISBN10: 0792384830
• Format: Hardcover
• Copyright: 1999-11-01
• Publisher: Kluwer Academic Pub

Summary

Over the last fifty years, increasingly sophisticated risk measurement and management techniques have revolutionized the field of finance. More recently, the globalization of financial markets and policy changes in the regulation of financial institutions have impacted upon how commercial banks manage risk. The widespread implications of these fundamental changes prompted an international conference held in May, 1997, devoted to the topic of risk management and regulation in banking. This book contains the formal papers and the panel discussions that comprise the conference proceedings, and thus collects some of the latest research on managing financial market risk by top scholars, policymakers, and high-ranking banking officials from around the world.

Table of Contents

Contributors to the Conference	vii
I. INTRODUCTION
Marshall Sarnat
II. RISK MANAGEMENT IN BANKING: AN OVERVIEW
Bank Risk Management: Theory	5	(10)
David H. Pyle
Risk Management in Banking: Practice Reviewed and Questioned	15	(32)
Anthony M. Santomero
III. MANAGING MARKET AND CREDIT RISKS
Introduction to VaR (Value-at-Risk)	47	(18)
Zvi Wiener
A Comparison between the BIS Standardized Approach and the Internal Models Approach	65	(34)
Michel Crouhy
Dan Galai
Robert Mark
Evaluating Credit Risk: An Option Pricing Approach	99	(16)
Michel Crouhy
Dan Galai
Robert Mark
Non-Linear Value-at-Risk	115	(32)
Mark Britten-Jones
Stephen M. Schaefer
IV. MARKET RISKS: THE 1996 BASEL ACCORD
A Critique of the Basel Regulations, or How to Enhance (Im) Moral Hazards	147	(12)
Giorgio Szego
The Implementation in the UK of the Basel Accord Regarding Market Risk	159	(10)
Clifford Smout
V. PROBLEMS IN FINANCIAL REGULATION
Recent US Experience in Regulating Financial Risk	169	(6)
John G. Heimann
A Recent Case History of International Bank Fraud	175	(12)
Brian Smouha
VI. MANAGING MARKET RISKS: THE CASE OF ISRAEL
Market Risks---The Amendment to the Basle Capital Accord and Internal Model Approach: The Israeli Case	187	(16)
Yoram Landskroner
David Ruthenberg
David Zaken
Risk Management with Derivatives Traded at the Tel Aviv Stock Exchange	203
Yair E. Orgler