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The All-in-One Banker’s and Financial Manager’s Guide for Implementingæand Usingæan Effective Risk Management Program

In today’s world of multibillion-dollar credit losses and bailouts, it has become increasingly imperative for corporate and banking leaders to monitor and manage riskæon all fronts. Risk Management introduces and explores the latest financial and hedging techniques in use around the world, and provides the foundation for creating an integrated, consistent, and effective risk management strategy.

The tested and comprehensive analyses and insights in Risk Management give bankers and financial managers all the necessary information for:
* Risk Management Overview--From the history of risk management to the new regulatory and trading environment, a look at risk management past and present
* Risk Management Program Design--Techniques to organize the risk management function, and design a system to cover your organization’s many risk exposures
* Risk Management Implementation--How to use the myriad systems and productsævalue at risk (VaR), stress-testing, derivatives, and more for measuring and hedging risk in today’s marketplace

In the financial world, the need for a dedicated risk management framework is a relatively recent phenomenon. But as the Long-Term Capital Management and BankAmerica crises attest, lack of up-to-date knowledge concerning its many components can be devastating. For financial managers in both the banking and business environments, Risk Management will introduce and illustrate the many aspects of modern risk managementæand strengthen every financial risk management program.

Exploding global competition, increasing regulations, and the ever-changing product mix of innovative, intricate derivative and securitization products have pushed risk management to the forefront of today’s financial landscape. Corporate and banking executives trying to make sense of this environment often find themselves wasting valuable time searching for detailsæand actually creating risk through innocent misinterpretations or misguided hedging strategies.

Risk Management consolidates the entire field of corporate risk administrationæfrom data and technological infrastructure to investment and hedging strategies that include innovative derivatives credit risk securitization techniquesæinto one all-inclusive, easily accessible reference. Michel Crouhy, Dan Galai, and Robert Markæseasoned finance professionals with an unmatched breadth of experience covering banking, corporate, and academic risk management applicationsæwalk you through risk management with the focus on concrete, results-oriented tips and analysis.

The result is, quite frankly, the only reference you’ll need for a quick, thorough understanding of today’s complex financial risk management challenges. Look to the expert analysis and proven suggestions in Risk Management for a no-nonsense overview of:
* Integrated Risk Management--How to understandæand develop the necessary tools for measuring and managing all of your firm’s risk in terms of a common unit
* Regulatory Environment--Group of 30 (G-30) policy recommendations, BIS 1998 models, and the standardized approach proposed by the Basle Committee
* Market Risk--New rules set by the SEC for traded companies to disclose their risk management policies and quantify their exposure to market risk
* Practical Measurement Issues--Utilizing historical, implied, and stochastic models to measure volatility, plus helpful summaries of measuring correlations and the yield curve
* Future Considerations--Expected conditions and effects of the BIS 2000+ Accord, with review of the G-12 recommendations to improve counterparty risk management practices

Never before have the fields of banking and corporate financial risk management been as complicatedæand the stakes as unyielding. Whether used as an essential resource for institutional financial risk management, a comprehensive text for courses concentrating on bank risk management, or simply as an unprecedented reference covering every important aspect of the discipline, Risk Management will bring you up-to-date on an area that promises to increase in importance as we enter the uncharted waters of the 21st century.

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Product Details

  • ISBN-13: 9780071357319
  • Publisher: McGraw-Hill Professional Publishing
  • Publication date: 10/30/2000
  • Edition number: 1
  • Pages: 752
  • Product dimensions: 6.50 (w) x 9.30 (h) x 1.92 (d)

Meet the Author

Michel Crouhy, Ph.D., is senior vice president, Global Analytics, Risk Management Division at Canadian Imperial Bank of Commerce (CIBC), where he is in charge of market and credit risk analytics. He has published extensively in academic journals, is currently associate editor of both Journal of Derivatives and Journal of Banking and Finance, and is on the editorial board of Journal of Risk.

Dan Galai, Ph.D., is the Abe Gray Professor of Finance and Business Administration at the Hebrew University and a principal of Sigma P.C.M. Dr. Galai has consulted for the Chicago Board Options Exchange and the American Stock Exchange and published numerous articles in leading journals. He was the winner of the First Annual Pomeranze Prize for excellence in options research presented by the CBOE.

Robert Mark, Ph.D., is senior executive vice president at the Canadian Imperial Bank of Commerce. Dr. Mark is the chief risk officer at CIBC and is a member of the senior executive team of the bank. In 1998, he was named Financial Risk Manager of the Year by the Global Association of Risk Professionals (GARP).

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Read an Excerpt

Chapter 1: what is After-Hours Trading?

Halbert Uy, a professional after-hours trader, recognized a buying opportunity when a late-breaking news announcement flashed across his computer screen at 3:52 p.m. eastern standard time (EST). New Tel Ltd. (NWLL), an Australian telecommunications company, was teaming with a government-owned Chinese news agency to provide an Internet Service Provider (ISP) and an Internet portal. It was not the fundamentals of the company that caught Uy's attention, but the key words contained in the press release: "ISP," "Internet," and "China." These were all hot themes that could appeal to short term traders looking for the next momentum play. It didn't hurt that the company was thinly traded, with an average volume of fewer than 35,000 shares a day. Because Uy understood the relationship between the late-breaking news and a low-volume stock, he bought 1,000 shares of NWLL at 8'/z a share and another 1,000 shares at 81/4.

After the regular 4:00 p.m. EST market close, NWLL rose as high as $28 a share during the after-hours session. Although Uy could have sold NWLL for a huge profit the same day, he held it overnight, hoping the momentum would carry the stock even higher the next day. As it turned out, he was right.

The next day, NWLL continued to surge, reaching as high as $51 a share. Uy sold his shares between 281/8 and 48'/6, pocketing $47,500. Ultimately, by the end of the week, the stock fell back to 31'/2, dropping to 13'/8 a week later.

Whether you are aware of it or not, the after-hours market is coming to a stock market near you. Already, thousands of specialized short-term traders like Uy have discovered that they can make moneybuying and selling stocks after the regular market closes or before it opens. For professional short-term traders, the objective is to consistently find new and more profitable ways to increase their profits, and the after-hours market is their new arena.

The move toward after-hours trading has been controversial. Proponents say that after-hours trading gives individual investors the same access to the market that it gives institutional investors. Critics, on the other hand, have said this trading is simply an extension of a speculative bull market. Some even characterize after-hours trading as a casino or the Wild West rather than an organized stock market. Others characterize night traders as more akin to firefighters, with long periods of boredom punctuated by short and intense action.

No matter what your opinion, nearly everyone agrees that after-hours trading is here to stay. Now that thousands of online traders and investors have had a taste of the possible profits that after-hours trading can bring, it will be impossible to return to the old ways. If anything, the after-hours market will extend even longer, perhaps moving to a fully operational 24-hour market. All you have to do is look at the numbers to see that trading after hours is becoming increasingly popular. In the early days of the after-hours market, retail investors traded no more than a few thousand shares. But those figures are increasing every quarter, with Instinet and Island ECN handling most of the volume. For example, the Dow Jones newswires reported that after-hours trading activity was increasing each month, to almost a billion shares traded during the month of January 2000 alone.

There is little doubt the after-hours market has created a revolution in personal investing that will affect the life of everyone who invests or who works on Wall Street. It will affect how you buy and sell stocks or mutual funds, when daily newspapers report stock quotes, how financial television programs report on...

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Table of Contents

The Need for Risk Management Systems.

The New Regulatory and Corporate Environment.

Structuring and Managing the Risk Management Function in a Bank.

The New BIS Capital Requirements for Financial Risks.

Measuring Market Risk: The VaR Approach.

Measuring Market Risk: Extensions of the VaR Approach and Testing the Models.

Credit Rating Systems.

Credit Migration Approach to Measuring Credit Risk.

The Contingent Claim Approach to Measuring Credit Risk.

Other Approaches: The Actuarial and Reduced-form Approaches to Measuring Credit Risk.

Comparison of Industry-sponsored Credit Models and Associated Back-Testing Issues.

Hedging Credit Risk.

Managing Operational Risk.

Capital Allocation and Performance Measurement.

Model Risk.

Risk Management in Nonbank Corporations.

Risk Management in the Future.
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