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Analyzing and managing banking risk : a framework for assessing corporate governance and financial risk 2nd ed

Analyzing and managing banking risk : a framework for assessing corporate governance and financial risk 2nd ed (5회 대출)

자료유형
단행본
개인저자
Greuning, Hennie van. Greuning, Hennie van Brajovic Bratanovic, Sonja 1946-
서명 / 저자사항
Analyzing and managing banking risk : a framework for assessing corporate governance and financial risk / Hennie van Greuning, Sonja Brajovic Bratanovic.
판사항
2nd ed.
발행사항
Washington, DC :   World Bank ,   2003.  
형태사항
xvi, 367 p. : ill. ; 23 cm.
ISBN
0821354183
일반주기
Originally published under title: Analyzing bank risk.  
서지주기
Includes bibliographical references and index.
일반주제명
Bank management. Risk management. Corporate governance.
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020 ▼a 0821354183
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040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
042 ▼a pcc
050 0 0 ▼a HG1615 ▼b .G746 2003
082 0 0 ▼a 332.1/068/1 ▼2 21
090 ▼a 332.10681 ▼b G836a2
100 1 ▼a Greuning, Hennie van.
245 1 0 ▼a Analyzing and managing banking risk : ▼b a framework for assessing corporate governance and financial risk / ▼c Hennie van Greuning, Sonja Brajovic Bratanovic.
250 ▼a 2nd ed.
260 ▼a Washington, DC : ▼b World Bank , ▼c 2003.
300 ▼a xvi, 367 p. : ▼b ill. ; ▼c 23 cm.
500 ▼a Originally published under title: Analyzing bank risk.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Bank management.
650 0 ▼a Risk management.
650 0 ▼a Corporate governance.
700 1 ▼a Greuning, Hennie van ▼t Analyzing banking risk.
700 1 ▼a Brajovic Bratanovic, Sonja ▼d 1946-
945 ▼a KINS

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.10681 G836a2 등록번호 111345834 도서상태 대출가능 반납예정일 예약 서비스 B M

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목차


CONTENTS
Foreword to the Second Edition = xiii
Acknowledgments = xv
1 Analyzing and Managing Banking Risk = 1
 1.1 Introduction : The Changing Bank Environment = 1
 1.2 Bank Exposure to Risk = 3
 1.3 Corporate Governance = 5
 1.4 Risk-Based Analysis of Banks = 8
 1.5 Analytical Tools Provided = 11
2 A Context for the Risk-Based Review of Banks = 15
 2.1 Introduction : Why Banks Are Analyzed = 15
 2.2 Banks as Providers of Financial Information = 17
 2.3 A Framework for Financial Sector Development = 18
 2.4 A Holistic View of the Entire Financial System = 24
 2.5 Disclosure and Transparency of Bank Financial Information : A Prerequisite for Risk-Based Analysis = 27
3 Key Players in the Corporate Governance and Risk Management Process = 31
 3.1 Introduction : Corporate Governance Principles = 31
 3.2 Regulatory Authorities : Establishing a Corporate Governance and Risk Management Framework = 33
 3.3 Supervisory Authorities : Monitoring Risk Management = 35
 3.4 The Shareholders : Appointing the Right Policymakers = 38
 3.5 The Board of Directors : Ultimate Responsibility for a Bank's Affairs = 40
 3.6 Management : Responsibility for Bank Operations and the Implementation of Risk Management Policies = 46
 3.7 The Audit Committee and Internal Auditors : An Extension of the Board's Risk Management Function = 51
 3.8 External Auditors : A Reassessment of the Traditional Apporach of Auditing Banks = 53
 3.9 The Role of the General Public = 56
4 Balance Sheet Structure and Management = 59
 4.1 Introduction : Composition of the Balance Sheet = 59
 4.2 Asset Structure : Growth and Changes = 62
 4.3 Liabilities Structure : Growth and Changes = 67
 4.4 Overall On- and Off-Balance-Sheet Growth = 72
 4.5 Managing Risk Effectively = 76
5 Profitability = 81
 5.1 Introduction : The Importance of Profitable Banks = 81
 5.2 Income Statement Composition = 83
 5.3 Income Structure and Profit Quality = 89
 5.4 Profitability Indicators = 96
 5.5 Profitability Ratio Analysis = 97
6 Capital Adequacy = 101
 6.1 Introduction : The Characteristics and Functions of Capital = 102
 6.2 Constituents of Regulatory Capital(Current Methodology) = 104
 6.3 Coverage of Risk Components by Constituents of Capital(Current Methodology) = 108
 6.4 Base Ⅱ : Proposed Changes for Determining Capital Adequacy = 113
 6.5 Implementation of the Basel Accord = 121
 6.6 Assessing Management Information with Respect to Capital Adequacy = 123
 Annex to Chapter 6 = 130
7 Credit Risk Management = 135
 7.1 Introduction : Components of Credit Risk = 135
 7.2 Credit Portfolio Management = 136
 7.3 Review of Lending Function and Operations = 140
 7.4 Credit Portfolio Quality Review = 142
 7.5 Nonperforming Loan Portfolio = 146
 7.6 Credit Risk Management Policies = 151
 7.7 Policies to Limit or Reduce Credit Risk = 154
 7.8 Asset Classification = 159
 7.9 Loan Loss Provisioning Policy = 164
8 Liquidity Risk Management = 167
 8.1 Introduction : The Need for Lquidity = 167
 8.2 Liquidity Management Policies = 169
 8.3 The Regulatory Environment = 172
 8.4 The Structure of Funding : Deposits and Market Borrowing = 175
 8.5 Maturity Structure and Funding Mismatches = 177
 8.6 Deposit Concentration and Volatility of Funding = 181
 8.7 Liquidity Risk Management Techniques = 182
9 Treasury Organization and Risk Management = 189
 9.1 Introduction : Overview of Treasury Functions = 189
 9.2 Establishing the Overall Policy Framework = 192
 9.3 Market Operations = 199
 9.4 Risk Analytics and Compliance = 201
 9.5 Treasury Operations = 207
 9.6 Corporate Governance and Operational Risk Assessment = 213
10 Management of the Stable Liquidity Investment Portfolio = 221
 10.1 Nature of the Stable Liquidity Investment Portfolio = 221
 10.2 Investment Policy = 223
 10.3 Eligible Instruments = 224
 10.4 Credit Risk = 224
 10.5 Market Risk = 225
 10.6 Benchmark Portfolio = 225
 10.7 Active Management = 227
 10.8 Risk Management and Risk Budgets = 228
 10.9 Management Reporting = 229
11 Market Risk Management and Proprietary Trading = 231
 11.1 Introduction : Market Risk Characteristics = 231
 11.2 Portfolio Risk Management Policies = 234
 11.3 Trading Book and Management of Trading Activities = 237
 11.4 Market Risk Measurement = 240
 11.5 Value at Risk = 244
 11.6 Stress Testing = 246
12 Interest Rate Risk Management = 249
 12.1 Introduction : Sources of Interest Rate Risk = 249
 12.2 Risk Management Responsibilieis = 252
 12.3 Models for the Management of Interest Rate Risk = 253
 12.4 The Impact of Changes in Forecast Yield Curves = 258
13 Currency Risk Management = 261
 13.1 Introduction : Origin and Components of Currency Risk = 261
 13.2 Policies for Currency Risk Management = 263
 13.3 Currency Risk Exposure and Business Strategy = 270
 13.4 Currency Risk Management and Capital Adequacy = 274
14 Transparency in the Financial Statements of Banks = 281
 14.1 Introduction : The Importance of Useful Information = 281
 14.2 Transparency and Accountability = 283
 14.3 Transparency in Financial Statements = 285
 14.4 Disclousre in the Financial Statements of Banks = 290
 14.5 Deficiencies Found in Bank Accounting Practices = 293
15 The Relationship between Risk Analysis and Bank Supervision = 297
 15.1 Introduction : The Bank Supervisory Process = 297
 15.2 The Analytical Review Process = 298
 15.3 Banking Risks and the Accountability of Regulatory/Supervisory Authorities = 304
 15.4 The Supervisory Process = 307
 15.5 Consolidated Supervision = 314
 15.6 Supervisory Cooperation with Internal and External Auditors = 319
Appendixes
 1 Background Questionnaire to Facilitate Analysis of Banks = 323
 2 IAS-Required Disclosure in Financial Statements, by Risk Category = 359
 3 Deficiencies Found in Accounting Practices = 365
Boxes
 3.1 A New Philosophy of Bank Supervision = 37
 3.2 The Role of the Board = 42
 3.3 The Board's Financial Risk Management Responsibilities = 44
 3.4 Accountability of Bank Management = 47
 3.5 "Fit and Proper" Standards for Bank Management = 48
 3.6 Financial Risk and Management Responsibilities = 50
 3.7 Internal Audit Controversies = 52
 3.8 The Responsibilities of Audit Committees and Internal Auditors = 54
 3.9 Financial Risk Management Responsibilities of External Auditors = 55
 7.1 Content of a Loan Review File = 144
 7.2 Signs of Distorted Credit Culture = 150
 7.3 Asset Classification Rules = 161
 8.1 Typical Liquidity Regulations or Internal Liquidity Guidelines = 175
 9.1 ALM Mission Statement = 193
 9.2 Asset Classes = 201
 14.1 Criteria for Evaluating Accounting Standards = 286
 14.2 Survey on Public Disclosures of Banks = 295
Figures
 1.1 The Banking Risk Spectrum = 4
 1.2 Partnership in Corporate Governance of Banks = 6
 2.1 A Framework for Financial Sector Development = 20
 2.2 Holistic View of the Financial System : A Template for Financial Sector Review = 26
 4.1 Balance Sheet Components = 61
 4.2 Structural Change and Assets Growth = 64
 4.3 Changes in the Structure of a Bank's Assets Portfolio = 64
 4.4 Structural Change and Growth of Capital and Liabilities = 69
 4.5 Total Growth = 73
 4.6 Low and Nonearning Assets as a Percentage of Total Assets = 75
 4.7 Off-Balance-Sheet Items as a Percentage of Total Assets = 76
 5.1 Structure of Gross Income = 91
 5.2 Asset Structure versus Income Structure = 92
 5.3 Sources of Income versus Costs = 93
 5.4 Operating Income Ratios = 94
 5.5 Average Yield Differential on Intermediation Business = 99
 5.6 Return on Assets(ROA) and on Equity(ROE) = 100
 6.1 Components of Shareholders' Funds = 124
 6.2 Risk Profile of Assets = 125
 6.3 Risk Profile of On- and Off-Balance-Sheet Items = 125
 6.4 Actual versus Required Capital = 127
 6.5 Estimating Potential Capital Requirement = 128
 7.1 Loans to Customers Per Borrower Group = 146
 7.2 Customer Loans by Product = 147
 7.3 Maturity of Loans to Customers = 147
 7.4 Loan Portfolio Statistics = 149
 7.5 Exposure to the 20 Largest Borrowers = 156
 7.6 Sectoral Analysis of Loans = 158
 7.7 Classification of Loans = 163
 8.1 Statutory Liquidity Required versus Actual Liquid Assets Held = 173
 8.2 Customer Deposits by Sector = 177
 8.3 Maturity Mismatch = 178
 8.4 Maturities of Deposits Payable in Local Currency = 180
 8.5 Ten Largest Sources of Deposits as Percentage of Total Customer Deposits = 182
 8.6 Liquidity Statistics = 187
 9.1 Holistic View of the Treasury Environment = 191
 9.2 Benchmarking - Operationalization of Strategic Asset Allocation = 197
 9.3 Potential Risk Analytics Reports = 203
 9.4 Example of Daily/Monthly Checklist of Portfolio Compliance Issues = 205
 9.5 Treasury Operations : Reporting(Funding and Investment Business) = 211
 9.6 Risk Management in the Treasury = 214
 11.1 Trading Portfolio = 238
 11.2 Marking to Market = 243
 11.3 Potential Amount of Qualifying Capital Exposed = 248
 12.1 Current and Forecast Yield Curves = 259
 12.2 Potential Effect on Capital due to a Movement in Expected Yield Curve = 259
 13.1 Currency Structure of Assets and Liabilities = 271
 13.2 Currency Structure of Loan Portfolio and Customer Deposits = 272
 13.3 Freely Convertible Currency Deposit Maturities as a Percentage of Total Customer Deposits = 278
 13.4 Currency Risk Exposure as a Percentage of Qualifying Capital = 279
 14.1 Transparency in Financial Statements = 289
 15.1 The Context of Bank Supervision = 299
 15.2 Banking Risk Exposures = 305
Tables
 1.1 Possible Uses of Tools Provided = 14
 3.1 Key Players and Their Responsibilities in Bank Governance and Risk Management = 33
 3.2 Shareholder Information = 40
 3.3 Supervisory Board/Board of Directors = 45
 4.1 A Bank's Balance Sheet Structure = 62
 4.2 Total Growth of Balance-Sheet and Off-Balance-Sheet Items = 73
 5.1 Composition of Income and Expenses = 84
 5.2 Profitability Ratios = 97
 6.1 Credit Risk Multiplication Factors for Derivative Instruments = 110
 6.2 Summary of Basel Ⅱ Proposals = 114
 6.3 Proposed Standardized Approach : Risk Weights Based on External Ratings = 115
 6.4 Operational Risk : Business Lines and Operational Loss Event Types = 119
 6.5 Capital Adequacy Ratios = 126
 6.6 Calculating the Allowable Portion of Tier 3 Capital = 132
 7.1 Loan Portfolio Statistics = 148
 7.2 Related-Party Lending = 157
 7.3 Recommended Provisions = 165
 8.1 Maturity Ladder under Alternative Scenarios = 184
 8.2 Liquidity Ratios = 186
 10.1 Credit Risk Management Tools = 226
 10.2 Examples of U.S. Dollar Market Indices = 226
 10.3 Market Risk Management Tools = 229
 11.1 Disclosures of Market Risk = 234
 11.2 Simplistic Calculation of Net Open Positions = 242
 12.1 A Repricing Gap Model for Interest Rate Risk Management = 254
 13.1 Open Positions in Foreign Currencies = 276
 14.1 International Accounting Standards Applicable to Banks = 291
 15.1 Stages of the Analytical Review Process = 300
 15.2 Proposed Outline for Bank Analytical Reports = 301
 15.3 Off-Site Surveillance versus On-Site Examination = 310
 15.4 Generic Features of Early Warning Systems = 315
 15.5 Adapting the External Audit for Specific Circumstances/Needs = 321


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