Commercial Banking Risk Management

1. Front Matter

   Pages i-xxvii

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2. Regulatory Capital and Market Risk

   1. Front Matter

      Pages 1-1

      PDF

   2. Regulatory Capital Requirement in Basel III

      • Weidong Tian

      Pages 3-34

   3. Market Risk Modeling Framework Under Basel

      • Han Zhang

      Pages 35-52

3. Counterparty Credit Risk

   1. Front Matter

      Pages 53-53

      PDF

   2. IMM Approach for Managing Counterparty Credit Risk

      • Demin Zhuang

      Pages 55-74

   3. XVA in the Wake of the Financial Crisis

      • John Carpenter

      Pages 75-100

4. Liquidity Risk, Operational Risk and Fair Lending Risk

   1. Front Matter

      Pages 101-101

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   2. Liquidity Risk

      • Larry Li

      Pages 103-119

   3. Operational Risk Management

      • Todd Pleune

      Pages 121-134

   4. Fair Lending Monitoring Models

      • Maia Berkane

      Pages 135-150

5. Model Risk Management

   1. Front Matter

      Pages 151-151

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   2. Caveat Numerus: How Business Leaders Can Make Quantitative Models More Useful

      • Jeffrey R. Gerlach, James B. Oldroyd

      Pages 153-167

   3. Model Risk Management Under the Current Environment

      • Dong (Tony) Yang

      Pages 169-197

6. CCAR and Stress Testing

   1. Front Matter

      Pages 199-199

      PDF

   2. Region and Sector Effects in Stress Testing of Commercial Loan Portfolio

      • Steven H. Zhu

      Pages 201-229

   3. Estimating the Impact of Model Limitations in Capital Stress Testing

      • Brian A. Todd, Douglas T. Gardner, Valeriu (Adi) Omer

      Pages 231-249

7. Modern Risk Management Tools

   1. Front Matter

      Pages 251-251

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   2. Quantitative Risk Management Tools for Practitioners

      • Roy E. DeMeo

      Pages 253-280

   3. Modern Risk Management Tools and Applications

      • Yimin Yang

      Pages 281-302

This edited collection comprehensively addresses the widespread regulatory challenges uncovered and changes introduced in financial markets following the 2007-2008 crisis, suggesting strategies by which financial institutions can comply with stringent new regulations and adapt to the pressures of close supervision while responsibly managing risk. It covers all important commercial banking risk management topics, including market risk, counterparty credit risk, liquidity risk, operational risk, fair lending risk, model risk, stress test, and CCAR from practical aspects. It also covers major components of enterprise risk management, a modern capital requirement framework, and the data technology used to help manage risk. Each chapter is written by an authority who is actively engaged with large commercial banks, consulting firms, auditing firms, regulatory agencies, and universities. This collection will be a trusted resource for anyone working in or studying the commercial banking industry.

• bank
• Comprehensive Capital Analysis and Review
• Internal Model Method
• Valuation adjustments
• governance
• compliance
• banking
• Basel II
• Basel III
• Credit Risk
• econometrics
• economics
• finance
• macroeconomics
• Risk Management

• University of North Carolina at Charlotte, Charlotte, USA

  Weidong Tian

Weidong Tian is Professor of Finance and Distinguished Professor of Risk Management and Insurance at the University of North Carolina at Charlotte, USA. Prior to coming to UNC Charlotte, Tian served as a faculty member at the University of Waterloo, Canada, and a visiting scholar at the Sloan School of Management at the Massachusetts Institute of Technology, USA. He also held various positions in financial institutions.

Contributors
Maia Berkane, Wells Fargo & Co.

John Carpenter, Bank of America

Roy E. DeMeo, Wells Fargo & Co.

Douglas Gardner, Bank of the West

Jeffrey Gerlach, Federal Reserve of Richmond

Larry Li, JPMorgan Chase

Kevin Oden, Wells Fargo & Co.

James B. Oldroyd, Brigham Young University

Valeriu (Adi) Omer, Bank of the West

Todd Pleune, Protiviti

Jeff Recor, Grant Thornton

Brain A. Todd, Bank of the West

Hong Xu, AIG

Dong (Tony) Yang

Yimin Yang, Protiviti

Han Zhang, Wells Fargo & Co., USA

Steven Zhu, Bank of America

Deming Zhuang, Citigroup

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