Risk Management for Central Banks and Other Public Investors

by Ulrich Bindseil, Fernando Gonzalez, Evangelos Tabakis

Overview

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.

Product Details

ISBN-13:	9780521518567
Publisher:	Cambridge University Press
Publication date:	01/15/2009
Pages:	542
Product dimensions:	7.10(w) x 9.80(h) x 1.50(d)

About the Author

Ulrich Bindseil is Head of the Risk Management Division at the European Central Bank.

Fernando González is Principal Economist at the European Central Bank.

Evangelos Tabakis is Deputy Head of the Risk Management Division at the European Central Bank.

Table of Contents

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.

Editorial Reviews

Review of the hardback: 'How should public institutions - central banks in particular - approach investment and risk management? What should be similar to private asset management, and crucially, what should be different and why? Such important questions have received remarkably little attention. Against this background, Bindseil, González and Tabakis have produced a timely and authoritative guide to the state of the art, and a blueprint for moving forward. Their book will be of great interest not only in central banking, but in all of financial asset management - public and private, practitioner and academic.' Francis X. Diebold, Wharton School and University of Pennsylvania

Review of the hardback: 'While there is a vast literature on risk management for financial institutions, there is little discussion on its specific applications for public institutions and particularly central banking. With this book, Bindseil and team present a comprehensive and authoritative overview on how central banks address financial risks in their operations and how risk management techniques, originally developed in the private sector, are being successfully applied to the problems faced by these institutions. This book is a must-read for anyone interested in central bank's risk management, whether working for central banks or public wealth funds, performing research or providing services to these institutions.' Dan Rosen, R2 Financial Technologies, and Fields Institute for Research in Mathematical Sciences

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

From the Publisher