Essays In Bank Risk Management

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Essays In Bank Risk Management

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Author : James Hammann Gilkeson
language : en
Publisher:
Release Date : 1993

Essays In Bank Risk Management written by James Hammann Gilkeson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Bank investments categories.

Essays On Bank Risk Management

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Author : Congyu Liu
language : en
Publisher:
Release Date : 2018

Essays On Bank Risk Management written by Congyu Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Banks and banking categories.

This dissertation includes three chapters. The first chapter studies the impact of compensation on the types of risk taken by bank CEOs according to the time horizon when losses are realized. Bonus is recognized to encourage executives to boost short-term profits while equity compensation motivates long term growth. I use Guidance on Sound Incentive Compensation Policies ("the Guidance"), part of the Dodd-Frank Act, as an exogenous shock to the compensation structure of executives in banks with over $1 billion total assets. The Guidance requires banks to make deferred payment and risk adjusted awards. Using banks with less than $1billion in assets as control, I find that the treated banks pay executives with higher percentage in the stocks and engage in activities with less short-term risk and less down-side long-term risk. This paper empirically documents the effectiveness of the Guidance on the bank CEOs compensation and show that the compensation structure alters the types of risk that CEOs take. This second chapter documents the cross hedging of interest rate risk within bank holding companies (BHCs): Subsidiaries capable of risk management manage interest rate risk for themselves and for other banks in the same BHC. Bank mergers are used as exogenous shocks to address endogeneity concerns. Cross hedging increases with the complexity of BHCs, uses funds from the external capital market, and reduces exposure to interest rate risk. The paper contributes to the internal capital market literature by documenting risk management redistribution in BHCs. The third chapter examines the relation between deposit market power and several interest rate risk management tools, including interest rate derivatives hedging, wholesale funding management, and liquid asset management. Drechsler et al. (2017) document that banks can transmit monetary policy without interest rate risk because of their deposit market power. This paper hypothesizes that other risk management tools can be substitutions for market power. It finds that banks with larger market power have lower derivatives hedging level. They respond to a Fed fund rate increase with higher wholesale funding and liquid asset holding to replace the deposit outflow. This paper contributes to the banking risk management literature by documenting the mutual relation among risk management tools.

Essays On Credit And Market Risk Management In Banking

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Author : 馮健彤
language : en
Publisher:
Release Date : 2003

Essays On Credit And Market Risk Management In Banking written by 馮健彤 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Bank management categories.

Essays On Regulation Risk Management And Governance Of Banks

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Author : Corinna Woyand
language : en
Publisher:
Release Date : 2019

Essays On Regulation Risk Management And Governance Of Banks written by Corinna Woyand and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

Essays On Risk Management And Financial Stability

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Author : Saifeddine Ben Hadj
language : en
Publisher:
Release Date : 2017

Essays On Risk Management And Financial Stability written by Saifeddine Ben Hadj and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

We first investigate the computational complexity for estimating quantile based risk measures, such as the widespread Value at Risk for banks and Solvency II capital requirements for insurance companies, via nested Monte Carlo simulations. The estimator is a conditional expectation type estimate where two stage simulations are required to evaluate the risk measure: an outer simulation is used to generate risk factor scenarios that govern price movements and an inner simulation is used to evaluate the future portfolio value based on each of those scenarios. The second essay considers the financial stability from a macro perspective. Measuring negative externalities of banks is a major challenge for financial regulators. We propose a new risk management approach to enhance the financial stability and to increase the fairness of financial transactions. The basic idea is that a bank should assume as much risk as it creates. Any imbalance in the tails of the distribution of profit and losses is a sign of the bank's failure to internalize its externalities or the social costs associated with its activities. The aim of the third essay is to find a theoretical justification toward the mutual benefits for members of a bonking union in the context of a strategic interaction model. We use a unique contagion dynamic that marries the rich literature of game theory, contagion in pandemic crisis and the study of collaboration between regulators. The model is focused toward regulating asset classes, not individual banks. This special design addresses moral hazard issues that could result from government intervention in the case of crisis.

Essays In Innovative Risk Management Methods

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Author : Marco Desogus
language : en
Publisher:
Release Date : 2018-10

Essays In Innovative Risk Management Methods written by Marco Desogus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10 with Business & Economics categories.

This analysis works towards overcoming the current business valuation logic as prevalently set by banks and other credit entities or, more generally, within risk capital markets. Current banking practice applies rigorous deterministic valuations that are based entirely on indices and ratios. Present accounting models are also poor representations of the correct money-credit-production-income mechanisms. This research proposes reforms for methods of business evaluation and determining the relative solidity or probability of insolvency. Each of the themes treated has its own identity, however they are integrated in relation to problems related to bank risk management and relevant creditworthiness assessments.

Essays On Risk Management With Focus On Credit Risk

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Author : Daniel Aunon-Nerin
language : en
Publisher:
Release Date : 2006

Essays On Risk Management With Focus On Credit Risk written by Daniel Aunon-Nerin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

Essays In Quantitative Risk Management For Financial Regulation Of Operational Risk Models

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Author : Pavan Aroda
language : en
Publisher:
Release Date : 2016

Essays In Quantitative Risk Management For Financial Regulation Of Operational Risk Models written by Pavan Aroda and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

An extensive amount of evolving guidance and rules are provided to banks by financial regulators. A particular set of instructions outline requirements to calculate and set aside loss-absorbing regulatory capital to ensure the solvency of a bank. Mathematical models are typically used by banks to quantify sufficient amounts of capital. In this thesis, we explore areas that advance our knowledge in regulatory risk management. In the first essay, we explore an aspect of operational risk loss modeling using scenario analysis. An actuarial modeling method is typically used to quantify a baseline capital value which is then layered with a judgemental component in order to account for and integrate what-if future potential losses into the model. We propose a method from digital signal processing using the convolution operator that views the problem of the blending of two signals. That is, a baseline loss distribution obtained from the modeling of frequency and severity of internal losses is combined with a probability distribution obtained from scenario responses to yield a final output that integrates both sets of information. In the second essay, we revisit scenario analysis and the potential impact of catastrophic events to that of the enterprise level of a bank. We generalize an algorithm to account for multiple level of intensities of events together with unique loss profiles depending on the business units effected. In the third essay, we investigate the problem of allocating aggregate capital across sub-portfolios in a fair manner when there are various forms of interdependencies. Relevant to areas of market, credit and operational risk, the multivariate shortfall allocation problem quantifies the optimal amount of capital needed to ensure that the expected loss under a convex loss penalty function remains bounded by a threshold. We first provide an application of the existing methodology to a subset of high frequency loss cells. Lastly, we provide an extension using copula models which allows for the modeling of joint fat-tailed events or asymmetries in the underlying process.

Essays In Risk Management

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Author : Amiyatosh Kumar Purnanandam
language : en
Publisher:
Release Date : 2005

Essays In Risk Management written by Amiyatosh Kumar Purnanandam and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Essays On Risk Management And Liquidity Private Banking And Executive Compensation

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Author : Michael R. Reichenecker
language : en
Publisher:
Release Date : 2012

Essays On Risk Management And Liquidity Private Banking And Executive Compensation written by Michael R. Reichenecker and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.