Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets)


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A review of operational risk in banks and its role in the financial crisis

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Models at Work A Practitioner's Guide to Risk Management Global Financial Markets

Please enter a valid email address. Walmart Services. Get to Know Us. Customer Service. In The Spotlight. Shop Our Brands. All Rights Reserved. Cancel Submit. How was your experience with this page? Needs Improvement Love it! Concentration risk. Concentration risk is the risk posed to the Bank by any single or group of exposures which have the potential to incur large losses. The Bank mitigates this risk through diversification, and by limiting the extent of exposure to any one institution relative to the market value of the portfolio.

This excludes government owned entities and guaranteed securities of highly rated countries. Credit risk monitoring and model validation. Counterparty credit risk in the reserves portfolios is monitored by using market data from a variety of sources such as data vendors, credit rating agencies and publically available data.

Credit risk models are built to capture credit spreads, credit limits and ratings of counterparties and these factors are monitored dynamically and validated according to sound market intelligence. Market risk. Adverse price movements. The Bank is exposed to market risk through unfavourable price movements affecting the gold price, interest rates and foreign exchange rates. Market risk is managed within a policy framework defined and set by the GEC and Resmanco.

Credit limits are combined with operational limits to further mitigate market risk e. Gold price risk arises out of the possibility of the price of gold moving adversely.

The Bank holds gold as part of its reserve assets. Interest rate risk.

Models at Work: A Practitioner's Guide to Risk Management (Global Financial Markets)

Interest rate risk is the sensitivity of a portfolio to adverse movements in market interest rates. The Bank faces interest rate risk through its holding of interest bearing assets.


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Interest rate risk is measured and analysed by using amongst others duration, convexity and VaR. Interest rate risk is taken at two levels, the strategic level as represented by the strategic asset allocation benchmarks and at a tactical level, where fund managers change their interest rate risk exposure away from that of the benchmarks.

ISBN 13: 9781137371638

Foreign exchange risk. Foreign exchange risk refers to the risk of adverse movements in currencies which can result in a change in the value of foreign reserves. The Bank has approved certain currencies for its portfolio of foreign exchange reserves. Liquidity risk.

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Liquidity risk refers to the possible difficulties in selling liquidating large amounts of assets timeously. The risk usually arises in adverse market conditions where prices are deteriorating rapidly, causing market disorder.

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Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets) Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets)
Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets) Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets)
Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets) Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets)
Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets) Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets)
Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets) Models at Work: A Practitioners Guide to Risk Management (Global Financial Markets)

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