Modeling Non-Maturing Demand Deposits: A Proposed Methodology to Determining the Idiosyncratic Confidence Level Used for Separating Stable Deposit Volumes From Volatile Deposit Volumes

2021 ◽  
Author(s):  
Sophie Döpp ◽  
Andre Horovitz ◽  
Alexander Szimayer
Keyword(s):  
Risk Management ◽  
Confidence Level ◽  
Financial Risk ◽  
Management Practice ◽  
Liquidity Constraints ◽  
Banking Supervision ◽  
Basel Committee ◽  
Demand Deposits ◽  
European Banking ◽  
Management Policies

This paper aims to develop a methodology for the estimation of the idiosyncratic confidence level inherent within the process of determining the threshold of separation between volatile and stable deposit volumes. The idiosyncratic confidence level must be reflective of the institution’s specific risk preferences and liquidity risk management policies as anchored into the Principle 9 of the European Banking Authority and Basel Committee for Banking Supervision recommendations. We illustrate the proposed methodology by including liquidity constraints from the Basel III regulatory recommendations introduced in 2013. Furthermore, we point to other ancillary applications of such procedures in the financial risk management practice.

scholarly journals RISIKO OPERASIONAL BANK DAN PERMODELANNYA

2019 ◽  
Vol 1 (1) ◽  
pp. 28-43
Author(s):  
Iwan Lesmana
Keyword(s):  
Risk Management ◽  
Management Practice ◽  
Operational Risk ◽  
Internal Controls ◽  
Banking Supervision ◽  
Risk Models ◽  
Basel Committee ◽  
Operational Risks ◽  
Indicator Approach ◽  
Measurement Approach

Managing bank’s operational risks becoming an important feature of sound risk management practice in modern financial markets. The most important types of operational risk involve breakdown in internal controls and corporate governance, which could lead to financial losses through fraud, error or failure to perform. Development of statistic has accelarated banks to create internal operational risk models in different ways. Although those models created in different ways, they surely use the pattern of risk management that is developed by Basel Committee on Banking Supervision. Basel Committee on Banking Supervision has proposed three increasingly sophisticated approaches of operational risk, i.e basic indicator approach, standardized approach and advanced measurement approach. Applying those approaches will help banks to eliminate the operational risk, that will lead them to a better intermediation process.

scholarly journals Roles and responsibilities for managing operational risk in a banking environment

2008 ◽  
Vol 5 (3) ◽  
pp. 34-46
Author(s):  
Jackie Young
Keyword(s):  
Risk Management ◽  
Operational Risk ◽  
Main Role ◽  
Banking Supervision ◽  
Operational Risk Management ◽  
Roles And Responsibilities ◽  
Global Institutions ◽  
Basel Committee ◽  
Operational Risks ◽  
Role Players

Operational risk management is one of the fastest growing management disciplines within a banking environment as a result of various disastrous international incidents. Subsequently, various global institutions got involved in order to ensure that the effect of similar events do not negatively influence the international industries, for example, the Basel Committee on Banking Supervision regarding banks. It is, however, a known fact that operational risks are difficult to manage, as it is not easy to quantify. Therefore, it is of the utmost importance to understand the concept of operational risk management and, more specifically, the actual roles and responsibilities of various role-players within an organisation. This paper aims to identify the main role-players involved in the management of operational risk in a banking environment and to identify their specific roles and responsibilities

RISIKO PASAR: PERBANDINGAN MODEL EWMA DAN GARCH PADA NILAI TUKAR RUPIAH TERHADAP US DOLLAR

2010 ◽  
Vol 5 (2) ◽  
pp. 153
Author(s):  
Ari Christianti
Keyword(s):  
Risk Management ◽  
Financial Risk ◽  
Risk Model ◽  
Moving Average ◽  
Var Model ◽  
Banking Supervision ◽  
Us Dollar ◽  
Exponential Weighted Moving Average ◽  
The Garch Model ◽  
Weighted Moving Average

Financial risk model evaluation or backtesting is a key part of the internal model’s approach to market risk management as laid out by the Basle Committee on Banking Supervision. Using daily exchange rate from January 2006-February 2008, will be compared measuring volatility between EWMA (Exponential Weighted Moving Average) and GARCH (Generalized Autoregressive Conditional Heterocedasticity). The results show that GARCH methods have considerably better power properties in measuring the volatility than the EWMA methods. However, the number of exceptions from the GARCH model, although much less than the EWMA model but the numbers were still above 5% and 1% (confidence level of 95% and 99%). The arguments for explained this finding is a pressure from stakeholders or the existence of an economic events that result in changes in exposure due to the different policies. As a result, the VaR model would be inaccurate to reality.Keywords: volatility, backtesting, EWMA, and GARCH

scholarly journals Exploring the Relationship between Risk Management and Business Strategies in the Sports Goods Industry in the City of Sialkot in Pakistan

2021 ◽  
Vol 8 (4) ◽  
pp. 184-199
Author(s):  
Shah Khalid
Keyword(s):  
Risk Management ◽  
Financial Risk ◽  
Management Practices ◽  
Management Practice ◽  
Business Strategies ◽  
Structured Interviews ◽  
Competitive Situation ◽  
Reputational Risk ◽  
The City ◽  
Sports Goods

The purpose of this study is to explore the current state of risk management practice and the influences on it, particularly concerning competitive positioning, in the sports goods industry in the city of Sialkot, Pakistan. This study is based on the analysis of twenty semi-structured interviews. It was conducted with the owners and other key decision makers of sports goods SMEs in Sialkot. The findings indicate that the main obstacle faced in improving risk management practices relates to underestimation of their link to competitive strategising while determining the long-term strategic options. The value of this study lies in its potential to highlight the competitive situation of Pakistani SMEs within the sports goods industry in the face of increasing competition on the international scale. This study identifies the mutual impact of various types of risks, such as financial risk, reputational risk, strategic risk and price fluctuation risk, on adoption of a particular competitive strategy by SMEs. Altogether, it raises SMEs’ awareness of various business scenarios which would allow them to recognise risks earlier and improve their competitive standing.

scholarly journals Internal Controls and Credit Risk in European Banking: The Basel Committee on Banking Supervision Framework Approach

2020 ◽  
Author(s):  
Ellis Kofi Akwaa-Sekyi
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Internal Control ◽  
Internal Controls ◽  
Banking Supervision ◽  
Basel Committee ◽  
Operational Risks ◽  
Control Framework ◽  
Governance Practices ◽  
European Banking

Poor corporate governance practices have been cited as contributory to the 2007 global financial crisis. The chapter explores a qualitative self-regulation approach to address a major risk facing banks using the Basel Committee on Banking Supervision (BCBS) framework of internal controls. The study examines the effect of the qualitative principles of the BCBS internal control framework on credit risk. Corporate institutions use internal control frameworks to address the most operational risks, but the current study hypothesizes a possible relation with the credit risk. This research covers banks from selected EU countries covering some period before and after the 2007 financial crisis using a fixed-effect model. We report a significant relationship between board functions and activities, board structure and board monitoring, and credit risk. The results indicate that investment in high-risk assets, bank profitability and board chair being ex-CEO increases credit risk in European banking. The chapter extends the scope of a previous work that used the elements of the COSO internal control framework on a single country. This quantitative measure of qualitative constructs of the framework complements existing research that uses algorithms and simulations to study credit risk.

Assessing the regulatory impact: credit risk — going beyond Basel II

2004 ◽  
Vol 5 (3) ◽  
pp. 10-13
Author(s):  
RICHARD TSCHEMERNJAK
Keyword(s):  
Risk Management ◽  
Best Practices ◽  
Financial Risk ◽  
Basel Ii ◽  
Management Systems ◽  
Banking Supervision ◽  
Regulatory Impact ◽  
Key Driver ◽  
Supervisory Practices ◽  
Near Future

The new capital accord, otherwise known as Basel II, from the Basel Committee on Banking Supervision, addresses the issue of financial risk. Within the latest version of the new accord and numerous consultation papers, the committee has reinforced its emphasis on risk management, encouraging banks to improve their risk assessment capabilities. Basel II attempts to accomplish this by closely aligning capital with modern risk management best practices, and by ensuring that the emphasis on risk makes its way onto supervisory practices and market discipline. Thus, regulatory pressure is, and will remain over the near future, a key driver of risk management systems development across market, credit and operational risk.

scholarly journals The Implementation of Basel Committee BCBS 239: Short analysis of the new rules for Data Management

2018 ◽  
Vol 7 (3) ◽  
pp. 57-72
Author(s):  
Joerg Orgeldinger
Keyword(s):  
Risk Management ◽  
Financial Institutions ◽  
Data Aggregation ◽  
Management Process ◽  
Banking Supervision ◽  
Basel Committee ◽  
Aggregate Risk ◽  
Risk Management Process ◽  
Systemically Important Banks ◽  
Risk Reporting

Abstract In January 2013, the Basel Committee on Banking Supervision issued 14 principles for effective risk data aggregation and risk reporting (BCBS 239) and outlined the paths to compliance for globally systemically important banks (G-SIBs) and domestic systemically important banks (D-SIBs).The Basel Committee devised BCBS 239 in order to ensure that banks and other financial institutions could monitor risks more effectively through superior data aggregation, enabling an overall more reliable and efficient risk management process. In a McKinsey report from June 2015 (Harreis et al, 2017) it is estimated that an average G-SIB would have to spend approximately 230 million USD and an average D-SIB 75 million USD to aggregate risk data that was previously dispersed over a wide variety of systems, geographic locations and banking groups. As the BCBS 239 for G-SIBs deadline was - at the time of writing – 10 months overdue, what approach towards compliance will prove to be more effective? In this article, the new principles according to BCBS 239 are described, criticized and one possible solution to meet the requirements is presented.

Sign in / Sign up

Export Citation Format

Share Document