Risk Management in Volatile Financial Markets

by Bruni, Franco; Fair, Donald E.; O'Brien, Richard; Allen, Bill

• ISBN13: 9780792340539
• ISBN10: 0792340531
• Format: Hardcover
• Copyright: 1996-06-01
• Publisher: Kluwer Academic Pub

Summary

The rapidly changing structure of financial markets is leading to a radical shift in the way in which private sector financial institutions and firms, and public regulators, are coping with risk. Faced with innovation and volatility, the task of risk management is being passed to the private sector. Following assessments of the extent of market volatility and risk in financial markets, this volume presents examples of how private institutions are developing new risk management techniques and case studies from specific markets including securities markets and retail banking. In addition, senior central bankers discuss their changing attitude to risk and regulation and the implications for exchange rate and monetary policies. The papers are written by authors from a large number of countries covering a wide range of country experiences: by players in leading banks and companies; by public officials; and by academics, providing three differing perspectives on the financial markets of the 1990s. The four main sections address central bank perspectives, volatility and risk, institutional issues and practices, and the policy implications. The volume includes the 1995 Prix Marjolin essay and concludes with the 1995 Marjolin Lecture, given at the 19th Colloquium of the Société Universitaire Européenne de Recherches Financières (SUERF) in Thun, Switzerland, from which the papers are selected. The contributions will be of considerable interest to those in banks, securities houses, company treasuries, central banks and regulatory bodies as well as to academics.

Table of Contents

Editor's Introduction
Volatility is Here to Stay - Some Thoughts on Its Implications	p. 3
The Changing Structure of Financial Institutions and Markets: A Central Bank Perspective	p. 13
Financial Innovations and the Incidence of Risk in the Financial System	p. 25
Has Financial Risk Really Worsened?	p. 41
The Anatomy of the Bond Market Turbulence of 1994	p. 61
Volatility and Risk in Integrated Financial Systems: Measurement, Transmission and Policy Implications	p. 87
Volatility, International Trade and Capital Flows	p. 117
Institutional Investors, Unstable Financial Markets and Monetary Policy	p. 135
Internal Organisation of Risk Control and Management in a Bank with Large International Operations	p. 161
Currency Exposure Management within Philips	p. 171
Measuring Value-at-Risk for Mortgage Backed Securities	p. 185
Does the Paris Warrants Market Present a Systematic Risk?	p. 209
Asset and Liability Management in Retail Banking	p. 225
Is Central Bank Intervention Effective in Stabilizing Exchange Rates?	p. 255
The Emerging Framework of Bank Regulation and Capital Control	p. 285
Monetary Policy and Liberalisation in Poland, Russia and the United Kingdom	p. 327
Central Banking and Market Volatility	p. 361
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