Risk Management For Central Banks And Other Public Investors

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Bindseil, Ulrich

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ISBN:9780521518567
Editorial: Cambridge University Press
Fecha de la edición:2009
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Dimensiones: 0 cm x 0 cm
Nº Pág.:544
Idiomas:Ingles,Inglés

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Domestic and foreign financial assets of all central banks and public wealth funds world wide are estimated to have reached more than 10 trillion US dollars in 2007. How do these institutions manage such unprecedented growth in their financial assets and how have they responded to the 'revolution' of risk management techniques during the last fifteen years? This book surveys the fundamental issues and techniques associated with risk management and shows how central banks and other public investors can create better risk management systems. Each chapter looks at a specific area of risk management, first presenting general problems and then showing how these materialize in the special case of public institutions. Written by a team of risk management experts from the European Central Bank, this much-needed survey is an ideal resource for those concerned with the increasingly important task of managing risk in central banks and other financial institutions.

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Foreword by Jose-Manuel Gonzalez-Paramo
Introduction by Ulrich Bindseil and Fernando Gonzalez and Evangelos Tabakis
Pt. I Investment operations 1
1 Central banks and other public institutions as financial investors by Ulrich Bindseil 3
2 Strategic asset allocation for fixed-income investors by Matti Koivu and Fernando Monar Lora and Ken Nyholm 49
3 Credit risk modelling for public institutions' investment portfolios by Han van der Hoorn 117
4 Risk control, compliance monitoring and reporting by Andres Manzanares and Henrik Schwartzlose 157
5 Performance measurement by Herve Bourquin and Roman Marton 207
6 Performance attribution by Roman Marton and Herve Bourquin 222
Pt. II Policy operations 269
7 Risk management and market impact of central bank credit operations by Ulrich Bindseil and Francesco Papadia 271
8 Risk mitigation measures and credit risk assessment in central bank policy operations by Fernando Gonzalez and Phillipe Molitor 303
9 Collateral and risk mitigation frameworks of central bank policy operations - a comparison across central banks by Evangelos Tabakis and Benedict Weller 340
10 Risk measurement for a repo portfolio - an application to the Eurosystem's collateralized lending operations by Elke Heinle and Marti Koivu 359
11 Central bank financial crisis management from a risk management perspective by Ulrich Bindseil 394
Pt. III Organizational issues and operational risk 441
12 Organizational issues in the risk management function of central banks by Evangelos Tabakis 443