Risk Management

TABLE OF CONTENTS
Foreword III
Introduction 1
I- General View on the Banking System 5
1.1.Financial Evulution and Banking 8
1.2.Financial Intermediation 10
1.3.Financial Instruments and Markets 18
1.3.1.Financial Systems 19
1.3.2.Valuation in Securities 21
1.3.4.New types of Financial Instruments (Means) 24
1.3.4.1. Derivative Products 25
1.3.4.1.1.Forward Transactions 26
1.3.4.1.2.Futures Transactions 27
1.3.4.1.3.Swap Transactions 29
1.3.4.1.4.0ptions 31
1.3.4.2.Reasons for non-utilisation of Derivative Products in Turkey 41
1 .S.Invertation Policies 41
1.5.1.Financial Liberty and Banking 41
1.5.1.1.Liquidity Effect 42
1.5.1.2.Effect on Financial Prices 43
1.5.1.3.Effect on Savings 46
l.ö.Financial Liberty Policies applied in Turkey and in Financial Markets 47
1.6.1.Reform on Interest Rates and Consequences 48
1.6.2.Reform on the foreign exchange regime and Consequences 48
1.6.3.Financial Reforms and Consequences 49
1.6.4.Development of Interest Rates and Foreign Exchange Rates in Turkish
Economy 51
1.6.5.State of the Banking Sector in 1995 and After 54
1.7.Financial Development Process in East European Countries (1987-1992) 58
1.7.1.Banking in view of Economic and Structural Problems in Eastern
Europe…: 48
1.7.1.1. Banks and Loan Mechanism 62
1.7.2.Stock Markets and Privatisation 63
1.7.2. l.Contribution of Banks To Privatisation As Financial
Intermediaries 65
1.7.3.Consequences of Financial Liberalisation Practices in Eastern Europe…. 66
II- TRANSITION TO MODERN BANKING 69
2.1.BIS and BASIL Committee 69
2.2.Capital adequacy Approach 70
2.2.1.Minimum Capital Adequacy 71
2.2.2.Supervision of Capilal Needs (Extemal supervision) 72
2.2.3.Market Discipline 73
2.3..Assessment, Rating of Risks 74
2.3.1.Assessment of Country Risk Weights 74
2.3.2.Assessment of Bank Risk Weights 76
2.3.3.Assessment of Corporate Risk Weights 77
2.3.4.Risks Rating Institutions 78
2.3.5.Risk Taken Under Assesment 78
2.3.6.Evaluation (Credit) Rates 79
REFLECTİONS IN TURKEY 81
2.4.Banking Regulation and Auditing Board (BDDK) and Savina Deposits
Insurance Fund (TMSF) 81
III-Risk Management… 89
3.1.Frame of Risk and its Development 90
3.1.1 .Disposition of VaR according to the type of risk 92
3.2.Types of in Banks 93
3.2.1.Loan Risk 94
3.2.2.Liquidity Risk 96
3.2.3.1nterest Risk 98
3.2.4.Foreign Exchange Rate Risk 99
3.2.5.Market Risk 100
3.2.6.Country and Transfer Risk 101
3.2.7.SoIvency Risk 101
3.2.8.0perational Risk 102
3.2.9.Lega! Risk 102
3.2. lO.Reputation Risk 103
3.3.Profitability in Banking 103
3.3.1 .Balance Sheet and Banking Administrations 104
3.3.2.Portfolio of Banking 105
3.3.2.l.Transactions not inciuded in the Balance Sheet 106
3.4.Measurement of Risks in Banks 108
3.4.l.Maturity Gap Model 108
3.4.2.Duration Analysis 109
3.4.2.1.Duration Gap Model 109
3.4.2.2.Duration Gap of Net Interest Income 109
3.4.2.3.Duration Gap of Non-sensitive Items 110
3.4.2.4.Duration Gap of Net Worth 110
3.4.4.Statistical Analysis 110
3.4.4. l.Correlation 110
3.4.4.2.Scenario Analysis 110
3.4.5.Unexpected Loss and Value at Risk VaR. 110
3.4.5.l.Parametrical VaR 112
3.4.5.2.Monte-Carlo VaR 113
3.4.5.3.Chronological VaR 113
3.4.5.4.Delta-Gamma VaR 113
3.4.6.Stress Test 114
3.4.7.CAR-Capital At Risk 114
3.-5.Risk Management Process in Banks 118
3.5.1. Determination of Ri sks 120
3.5.2.Measurement-Evaluation of Risks 120
3.5.3.Direction of Risks 122
3.5.4.Reporting of Risks 122
IV-Development of Organisations 125
4.1 .New Banking Regulations 126
4.1.1.Basic Concepts 127
4.1.3.Change Management 132
4.1.4.0rganisational Structures and Approaches to Management 135
4.1.5.Management of Information Systems 140
V-Risk Management Organisation 145
5.1.Legal Expectations 145
5.1.1.Target Specification 145
5.1.1.1.Legal Targets 145
5.1.1.2.Institutional Targets 151
5.1.2.0rganisational Structure 159
5.1.2.l.Loan Risk Management 165
5.1.2.2.Assets-Liabilities Management 165
5.1.3.Identification of Risk Limits 170
5.1.4.Identifıcation of Information Systems Practices 174
5.1 .S.Formation of Risk Culture 175
Vl-Conciusion And Advices 181
6.1.1 .Classical Definition Of Risk 181
6.1.2.Modem Definition Of Risk 181
6.2.Factors Of Risk Management 182
6.3.Macro recommendations 183

References 185
Index 191
ANNEXES 193
Annex 1: Organisational Regulation of Banking Regulation and Auditinglnstitution.,197
Annex 2: Regulation on Internal Auditing and Risk Management Systems in Banks..219
Annex 3; Regulation on the Measurement and Assessment of Capital adequacy in
Banks 255
Annex 4: Prmcıples for the Measurement of market risk 285

Stok Kodu : 9789753682476
Boyut : 16.5×23.5
Sayfa Sayısı : 303
Basım Yeri : İstanbul
Baskı : 1
Basım Tarihi : 2002
Kapak Türü : Karton Kapak
Kağıt Türü : 1.Hamur
Dili : Türkçe

Prof Dr Emre Alkin Dr A Tuğrul Savaş Risk Management Filiz Kitabevi 9753682476