Risk Management for Central Banks and Other Public Investors

A survey of the fundamental issues and techniques surrounding risk management.

Ulrich Bindseil (Edited by), Fernando Gonzalez (Edited by), Evangelos Tabakis (Edited by)

9781107403567, Cambridge University Press

Paperback / softback, published 27 October 2011

542 pages
24.4 x 17 x 2.8 cm, 0.85 kg

Review of the hardback: 'A timely and comprehensive reference that should be required reading for risk managers and central bankers.' Philippe Jorion, University of California, Irvine

Domestic and foreign financial assets of all central banks and public wealth funds worldwide are estimated to have reached more than 12 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 two decades? 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.

Foreword
Introduction
Part I. Investment Operations of Central Banks and Other Public Investors: 1. Central banks and other public institutions as financial investors U. Bindseil
2. Strategic asset allocation for central banks and public investors K. Nyholm and M. Koivu
3. Credit risk modeling for public institutions' bond portfolios H. van der Hoorn
4. Risk control framework, limits, reporting, compliance monitoring, and other risk control functions A. Manzanares and H. Schwartzlose
5. Performance measurement and attribution H. Bourquin, S. Hesselberg and R. Marton
Part II. Collaterised Lending Operations: 6. Credit risk taking in collaterised lending operations U. Bindseil and F. Papadia
7. The collateral and credit risk mitigation frameworks of central banks E. Tabakis and B. Weller
8. Risk mitigation measures and credit risk assessment in central bank policy operations F. González and P. Molitor
9. Risk measures for a repo portfolio E. Heinle and M. Koivu
Part III. Organisational Issues and Operational Risk Management: 10. Organisational issues relating to the risk management function of public investors E. Tabakis
11. Operational risk management in central banks J.-C. Sevet
Index.

Subject Areas: Applied mathematics [PBW], Banking [KFFK], Finance & accounting [KF], Monetary economics [KCBM], Risk assessment [GPQD]