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Bank Management and Control

Strategy, Capital and Risk Management

  • Book
  • © 2014

Overview

Authors:
  1. Johannes Wernz

    1. Zurich, Switzerland

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  • Provides a comprehensive view on Basel III, advanced methods, capital optimization
  • Explains in detail advanced methods within risk management
  • Describes macroeconomic scenarios for implementation

Part of the book series: Management for Professionals (MANAGPROF)

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Table of contents (14 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Outline

    • Johannes Wernz
    Pages 1-2

  3. Bank Management and Steering

    • Johannes Wernz
    Pages 3-24

  4. Banks in Their Regulatory and Economic Environment

    • Johannes Wernz
    Pages 25-38

  5. Risk Modeling and Capital: Credit Risk (Loans)

    • Johannes Wernz
    Pages 39-68

  6. Risk Modeling and Capital: Counterparty Credit Risk (EPE)

    • Johannes Wernz
    Pages 69-74

  7. Risk Modeling and Capital: Credit Risk (Securitizations)

    • Johannes Wernz
    Pages 75-76

  8. Risk Modeling and Capital: Market Risk

    • Johannes Wernz
    Pages 77-79

  9. Risk Modeling and Capital: Operational Risk

    • Johannes Wernz
    Pages 81-92

  10. Risk Modeling: Asset Liability Management (ALM)

    • Johannes Wernz
    Pages 93-96

  11. Appendix: A-IRB Formulas for the Derivation of Risk-Weighted Assets

    • Johannes Wernz
    Pages 97-100

  12. Appendix: Credit Portfolio Modeling

    • Johannes Wernz
    Pages 101-102

  13. Appendix: Country Risk/Issuer Risk

    • Johannes Wernz
    Pages 103-104

  14. Appendix: Settlement Risk and Systemic Risk

    • Johannes Wernz
    Pages 105-106

  15. Appendix: Historical Data

    • Johannes Wernz
    Pages 107-109

  16. Back Matter

    Pages 111-120
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Keywords

About this book

Strategic planning, including the required quantitative methods, is an essential part of bank management and control. In this book capital, risk and yield are treated comprehensively and seamlessly. And a thorough introduction to the advanced methods of risk management for all sectors of banking is discussed. In addition, directly applicable concepts and data such as macroeconomic scenarios for strategic planning and stress testing as well as detailed scenarios for operational risk and advanced concepts for credit risk are presented in straightforward language. The book analyzes the effects of macroeconomic and regulatory developments such as the set of Basel III rules on planning, and it also presents and discusses the consequences for actively meeting these challenges, especially in terms of capital. A wealth of essential background information from practice, international observations and comparisons, along with numerous illustrative examples, make this book a useful resource for established and future professionals in bank management, risk/return management, controlling and accounting.

Reviews

Aus den Rezensionen:

 

“... Das Buch ist für alle jene geeignet, welche sich einen raschen Überblick über die jüngsten regulatorischen Veränderungen und deren Auswirkungen auf die Gesamtbanksteuerung verschaffen möchten.Dabei wird sehr gut herausgearbeitet, welchen erheblichen Einfluss die Risikomodellierung auf den regulatorischen Kapitalbedarf hat.“ (in: Bank Praktiker, Heft 6, 2014)

Authors and Affiliations

  • Zurich, Switzerland

    Johannes Wernz

About the author

Dr. Johannes Wernz has many years of experience in the banking and insurance industries, particularly in advisory and audit roles. He has been an advisor and consultant for several well-known international banks in London, Zurich, Frankfurt and other locations.

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