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Relevant bibliographies by topics / Financial risk management

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Academic literature on the topic 'Financial risk management'

Author: Grafiati

Published: 4 June 2021

Last updated: 29 July 2024

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Journal articles on the topic "Financial risk management"

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Mishchenko, Svitlana, Svitlana Naumenkova, Volodymyr Mishchenko, and Dmytro Dorofeiev. "Innovation risk management in financial institutions." Investment Management and Financial Innovations 18, no. 1 (February 17, 2021): 190–202. http://dx.doi.org/10.21511/imfi.18(1).2021.16.

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The extensive use of financial technologies and innovations in the provision and utilization of financial products and services causes new risks that require constant attention. The article aims to improve innovation risk management methods to increase the operational stability of financial institutions in Ukraine. By generalizing international practice, the types of innovation risks are classified, and their impact on the activities of financial institutions and consumers is characterized. The attention is drawn to the control strengthening over the impact of operational and regulatory risks, based on important theoretical provisions contained in WBG, BIS, BCBS, and FSB documents. An organizational scheme for the interaction of a financial institution and an IT company is proposed to conclude “smart contracts” based on the use of a cloud service and blockchain technology. The authors propose additional methods of insurance protection and compensation for losses caused by the implementation of risks of using ICT and innovation based on creating the Collective Risk Insurance Fund of financial institutions; offer approaches to the calculation of variable and fixed parts of the contribution to the insurance fund for certain groups of financial institutions. It is concluded that to maintain the proper operational stability of financial institutions in Ukraine, it is necessary to introduce additional collective compensation methods for the risks of innovation and the strengthening of cyber threats.

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Anitha, A., and K. Manisha. "A Study on Financial Risk Management." International Journal of Research Publication and Reviews 5, no. 5 (May 26, 2024): 11034–37. http://dx.doi.org/10.55248/gengpi.5.0524.1406.

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Rascher, Daniel A., Matthew T. Brown, Mark S. Nagel, and Chad D. McEvoy. "Financial Risk Management." Journal of Sports Economics 13, no. 4 (June 22, 2012): 431–50. http://dx.doi.org/10.1177/1527002512450281.

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Jirásková, Soňa. "Financial Risk Management." Land Forces Academy Review 22, no. 4 (December 1, 2017): 276–80. http://dx.doi.org/10.1515/raft-2017-0037.

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Abstract This paper analyses financial risk management at the Ministry of Defence of the Slovak Republic. In its first part, the author defines the basic terms related to risk management, explains the negative consequences of risks and points to the importance of financial risk management. The second part of the paper is concerned with the risk management process at the Ministry of Defence of the Slovak Republic relating to financial management.

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Endah Suci Damayanti, Adler Haymans Manurung, and Nera Marinda Machdar. "Financial Risk Management." Formosa Journal of Sustainable Research 2, no. 7 (July 30, 2023): 1525–34. http://dx.doi.org/10.55927/fjsr.v2i7.5025.

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The purpose of this article is to describe the existing variables by providing a corroboration from the literature articles from the findings. The research method used is qualitative by graphically depicting sources from existing journals related to this article. The findings derived from these scientific articles then the findings or results are reinforcement for this scientific article with regard to the variables used. Financial risk management in the context of digitalization has an important role in increasing company value and meeting customer expectations. Through the implementation of an effective digital strategy, financial institutions can optimize financial services, improve customer data security, and provide a better experience for customers. The importance of service quality in the digitalization context was also revealed, where good service quality contributes to customer satisfaction and their loyalty to the company. However, it is important to remember that digitization also carries its own risks, such as data security and financial transactions

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Jorion, Philippe. "Risk Management." Annual Review of Financial Economics 2, no. 1 (December 2010): 347–65. http://dx.doi.org/10.1146/annurev-financial-073009-104045.

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Dinu, Ana Maria. "Risk in Financial Transactions and Financial Risk Management." Procedia - Social and Behavioral Sciences 116 (February 2014): 2458–61. http://dx.doi.org/10.1016/j.sbspro.2014.01.591.

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Bansal, Arun, Robert J. Kauffman, Robert M. Mark, and Edward Peters. "Financial risk and financial risk management technology (RMT)." Information & Management 24, no. 5 (January 1993): 267–81. http://dx.doi.org/10.1016/0378-7206(93)90004-d.

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Jasintha, V. L. "Financial inclusion for financial risk management." TRANS Asian Journal of Marketing & Management Research (TAJMMR) 8, no. 3and4 (2019): 5. http://dx.doi.org/10.5958/2279-0667.2019.00009.9.

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Wright, Lesley F. "Risk and Financial Management." Journal of the Royal Statistical Society: Series A (Statistics in Society) 168, no. 2 (March 2005): 466. http://dx.doi.org/10.1111/j.1467-985x.2005.358_17.x.

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Dissertations / Theses on the topic "Financial risk management"

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Laurent, Marie-Paule. "Essays in financial risk management." Doctoral thesis, Universite Libre de Bruxelles, 2003. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211221.

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Zhang, Lequn. "Extreme Risk Forecast for Quantitative Financial Risk Management." Thesis, Curtin University, 2022. http://hdl.handle.net/20.500.11937/89362.

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Value at Risk (VaR) is one of the key risk measures for quantitative financial risk management. VaR measures extreme risk, which has a small probability but a significant consequence to financial institutions. This thesis develops methods based on an extended extreme value approach to improve the forecast skill of VaR. The proposed methods improve the forecasting accuracy, robustness, efficiency and outperform the existing methods in the literature.

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Gueye, Djibril. "Some contributions to financial risk management." Thesis, Strasbourg, 2021. http://www.theses.fr/2021STRAD027.

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Cette thèse traite différentes questions liées à la gestion quantitative des risques financiers. Nous nous intéressons, dans une première partie, aux modèles de temps de défaut en risque de crédit dans le cadre de la théorie de grossissement de filtrations. Nous proposons des modèles où le temps de défaut peut coïncider avec des instants de chocs économiques. D’abords, nous étendons le modèle de Jiao et Li (2018) dans le cas où les chocs ne sont pas prévisibles en étudiant les caractéristiques du temps de défaut. Nous présentons ensuite le modèle de Cox généralisé qui est une extention de celui de Lando (voir Lando, 1998). Nous proposons une large gamme d’exemples pour ullistrer notre construction. La seconde partie porte sur la construction de surfaces de volatilités des actifs financiers sous la condition d’absence d’opportunité d’arbitrage (AOA) en utilisant les méthodologies de krigeage (où la regression par processus Gaussien). Notre approche consiste á mettre en œuvre l’apprentissage du krigeage sur les prix d’options européennes en respectant les conditions de non-arbitrage. Ces conditions sont caractérisées par des contraintes de forme sur les prix, à savoir la monotonicité dans la direction des maturités et la convexité dans la direction des strikes. Etant donné que ces contraintes correspondent à un nombre fini d’inégalités linéaires, nous adoptons une technique de krigeage sous contraintes d’inégalités linéaires. Nous utilisons, pour cela, la méthode d’eveloppée par Maatouk et Bay (2016) qui est basée sur l’approximation fini-dimensionnelle du processus Gaussien. L’algorithme de Monte Carlo Hamiltonien de Pakman et Paninski (2014) sera utilisé pour simuler les coefficients Gaussiens. Nous proposons une méthode de calcul du Maximum a Posteriori (MAP) du processus Gaussien. Nous comparons notre méthode avec celles des réseaux de neuronne contraints et des SSVI
This thesis deals with various issues related to quantitative management of financial risks. We are interested, in a first part, in the models of default time in credit risk within the framework of enlargement of filtrations theory. We propose models where the default time can coincide with some instants of economic shocks. We first extend the model of Jiao and Li (2018) in the case where the shocks are not predictable by studying the characteristics of the default time. Secondly, we present the generalized Cox model which is an extension of Lando's (see Lando, 1998). We offer a wide range of examples to ulistate our construction. The second part deals with the construction of volatility surfaces of financial assets under the condition of no arbitrage opportunity (AOA) using kriging methodologies (or Gaussian process regression). Our approach consists in learning kriging on European option prices by taking into account non-arbitrage conditions. These conditions are characterized by shape constraints on prices, namely monotonicity in the direction of maturities and convexity in the direction of strikes. Since these constraints correspond to a finite number of linear inequalities, we adopt a kriging technique under constraints of linear inequalities. For this, we use the method developed by Maatouk and Bay (2016) which is based on the finite-dimensional approximation of the Gaussian process. The Monte Carlo Hamiltonian algorithm of Pakman and Paninski (2014) will be used to simulate the Gaussian coefficients. We propose a method for calculating the Maximum a Posteriori (MAP) of the Gaussian process. We compare our method with those of constrained neural networks and SSVIs

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Wang, Mulong. "Financial derivatives in corporate risk management." Access restricted to users with UT Austin EID, 2001. http://wwwlib.umi.com/cr/utexas/fullcit?p3036610.

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Schaumburg, Julia. "Quantile methods for financial risk management." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2013. http://dx.doi.org/10.18452/16675.

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In dieser Dissertation werden neue Methoden zur Erfassung zweier Risikoarten entwickelt. Markrisiko ist definiert als das Risiko, auf Grund von Wertrückgängen in Wertpapierportfolios Geld zu verlieren. Systemisches Risiko bezieht sich auf das Risiko des Zusammenbruchs eines Finanzsystems, das durch die Notlage eines einzelnen Finanzinstituts entsteht. Im Zuge der Finanzkrise 2007–2009 realisierten sich beide Risiken, was weltweit zu hohen Verlusten für Investoren, Unternehmen und Steuerzahler führte. Vor diesem Hintergrund besteht sowohl bei Finanzinstituten als auch bei Regulierungsbehörden Interesse an neuen Ansätzen für das Risikomanagement. Die Gemeinsamkeit der in dieser Dissertation entwickelten Methoden besteht darin, dass unterschiedliche Quantilsregressionsansätze in neuartiger Weise für das Finanzrisikomanagement verwendet werden. Zum einen wird nichtparametrische Quantilsregression mit Extremwertmethoden kombiniert, um extreme Markpreisänderungsrisiken zu prognostizieren. Das resultierende Value at Risk (VaR) Prognose- Modell für extremeWahrscheinlichkeiten wird auf internationale Aktienindizes angewandt. In vielen Fällen schneidet es besser ab als parametrische Vergleichsmodelle. Zum anderen wird ein Maß für systemisches Risiko, das realized systemic risk beta, eingeführt. Anders als bereits existierende Messgrößen erfasst es explizit sowohl Risikoabhängigkeiten zwischen Finanzinstituten als auch deren individuelle Bilanzmerkmale und Finanzsektor-Indikatoren. Um die relevanten Risikotreiber jedes einzelnen Unternehmens zu bestimmen, werden Modellselektionsverfahren für hochdimensionale Quantilsregressionen benutzt. Das realized systemic risk beta entspricht dem totalen Effekt eines Anstiegs des VaR eines Unternehmens auf den VaR des Finanzsystems. Anhand von us-amerikanischen und europäischen Daten wird gezeigt, dass die neue Messzahl sich gut zur Erfassung und Vorhersage systemischen Risikos eignet.
This thesis develops new methods to assess two types of financial risk. Market risk is defined as the risk of losing money due to drops in the values of asset portfolios. Systemic risk refers to the breakdown risk for the financial system induced by the distress of individual companies. During the financial crisis 2007–2009, both types of risk materialized, resulting in huge losses for investors, companies, and tax payers all over the world. Therefore, considering new risk management alternatives is of interest for both financial institutions and regulatory authorities. A common feature of the models used throughout the thesis is that they adapt quantile regression techniques to the context of financial risk management in a novel way. Firstly, to predict extreme market risk, nonparametric quantile regression is combined with extreme value theory. The resulting extreme Value at Risk (VaR) forecast framework is applied to different international stock indices. In many situations, its performance is superior to parametric benchmark models. Secondly, a systemic risk measure, the realized systemic risk beta, is proposed. In contrast to exististing measures it is tailored to account for tail risk interconnections within the financial sector, individual firm characteristics, and financial indicators. To determine each company’s relevant risk drivers, model selection techniques for high-dimensional quantile regression are employed. The realized systemic risk beta corresponds to the total effect of each firm’s VaR on the system’s VaR. Using data on major financial institutions in the U.S. and in Europe, it is shown that the new measure is a valuable tool to both estimate and forecast systemic risk.

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Genin, Adrien. "Asymptotic approaches in financial risk management." Thesis, Sorbonne Paris Cité, 2018. http://www.theses.fr/2018USPCC120/document.

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Cette thèse se propose de traiter de trois problèmes de gestion des risques financiers en utilisant différentes approches asymptotiques. La première partie présente un algorithme Monte Carlo d’échantillonnage d’importance pour la valorisation d’options asiatiques dans des modèles exponentiels de Lévy. La mesure optimale d’échantillonnage d’importance est obtenue grâce à la théorie des grandes déviations. La seconde partie présente l’étude du comportement asymptotique de la somme de n variables aléatoires positives et dépendantes dont la distribution est un mélange log-normal ainsi que des applications en gestion des risque de portefeuille d’actifs. Enfin, la dernière partie, présente une application de la notion de variations régulières pour l’analyse du comportement des queues de distribution d’un vecteur aléatoire dont les composantes suivent des distributions à queues épaisses et dont la structure de dépendance est modélisée par une copule Gaussienne. Ces résultats sont ensuite appliqués au comportement asymptotique d’un portefeuille d’options dans le modèle de Black-Scholes
This thesis focuses on three problems from the area of financial risk management, using various asymptotic approaches. The first part presents an importance sampling algorithm for Monte Carlo pricing of exotic options in exponential Lévy models. The optimal importance sampling measure is computed using techniques from the theory of large deviations. The second part uses the Laplace method to study the tail behavior of the sum of n dependent positive random variables, following a log-normal mixture distribution, with applications to portfolio risk management. Finally, the last part employs the notion of multivariate regular variation to analyze the tail behavior of a random vector with heavy-tailed components, whose dependence structure is modeled by a Gaussian copula. As application, we consider the tail behavior of a portfolio of options in the Black-Scholes model

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Nikoci, Besjana <1989&gt. "Stress Testing for Financial Risk Management." Master's Degree Thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/6935.

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The complexity and duration of the financial crisis has led many banks and authorities to question the adequacy of stress testing practices prior to the crisis and their efficiency to cope with rapidly changing circumstances. Stress testing is a process to identify and manage situations that could cause extraordinary losses and it is an important risk management tool that is used by banks as part of their internal risk management. Majority of models make assumptions that do not hold in abnormal markets. Therefore, stress tests are vital for a comprehensive picture of risk. In this thesis we will be introducing basics of stress-testing and elaborate on its models and methodologies.

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Aas, Roar. "Risk management using derivatives." Thesis, Heriot-Watt University, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262000.

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Eriksson, Kristofer. "Risk Measures and Dependence Modeling in Financial Risk Management." Thesis, Umeå universitet, Institutionen för fysik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-85185.

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In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. The dependence is therefore directly linked to the risk of the portfolio. The risk can be estimated by several different risk measures, for example Value-at-Risk and Expected shortfall. This paper studies some different ways to measure risk and model dependence, both in a theoretical and empirical way. The main focus is on copulas, which is a way to model and construct complex dependencies. Copulas are a useful tool since it allows the user to separately specify the marginal distributions and then link them together with the copula. However, copulas can be quite complex to understand and it is not trivial to know which copula to use. An implemented copula model might give the user a "black-box" feeling and a severe model risk if the user trusts the model too much and is unaware of what is going. Another model would be to use the linear correlation which is also a way to measure dependence. This is an easier model and as such it is believed to be easier for all users to understand. However, linear correlation is only easy to understand in the case of elliptical distributions, and when we move away from this assumption (which is usually the case in financial data), some clear drawbacks and pitfalls become present. A third model, called historical simulation, uses the historical returns of the portfolio and estimate the risk on this data without making any parametric assumptions about the dependence. The dependence is assumed to be incorporated in the historical evolvement of the portfolio. This model is very easy and very popular, but it is more limited than the previous two models to the assumption that history will repeat itself and needs much more historical observations to yield good results. Here we face the risk that the market dynamics has changed when looking too far back in history. In this paper some different copula models are implemented and compared to the historical simulation approach by estimating risk with Value-at-Risk and Expected shortfall. The parameters of the copulas are also investigated under calm and stressed market periods. This information about the parameters is useful when performing stress tests. The empirical study indicates that it is difficult to distinguish the parameters between the stressed and calm market period. The overall conclusion is; which model to use depends on our beliefs about the future distribution. If we believe that the distribution is elliptical then a correlation model is good, if it is believed to have a complex dependence then the user should turn to a copula model, and if we can assume that history will repeat itself then historical simulation is advantageous.

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Černák, Peter. "Risk Management." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-76579.

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The Master's Thesis deals with the topic of risk management in a non-financial company. The goal of this Thesis is to create a framework for review of risk management process and to practically apply it in a case study. Objectives of the theoretical parts are: stating the reasons for risk management in non-financial companies, addressing the main parts of risk management and providing guidance for review of risk management process. A special attention is paid to financial risks. The practical part applies the framework created in the theoretical part on a case study -- review/gap analysis of risk management process in a Czech non-financial companies operating in utilities. Risk management process in this company is described with a special attention to management of financial risk. Author's own remarks on the process and recommendations are stated in the practical part.

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Books on the topic "Financial risk management"

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Población García, Francisco Javier. Financial Risk Management. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2.

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Allen, Steven, ed. Financial Risk Management. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781119203209.

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Skoglund, Jimmy, and Wei Chen. Financial Risk Management. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2015. http://dx.doi.org/10.1002/9781119157502.

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S, Hughes, ed. Financial risk management. Aldershot, Hants, England: Gower, 1988.

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Dun & Bradstreet Corporation. Financial risk management. New Delhi: Tata McGraw-Hill, 2007.

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B, Falkena H. Financial risk management. South Africa: Southern Book Publishers, 1991.

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Wu, Dash, ed. Quantitative Financial Risk Management. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-19339-2.

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Rohmeyer, Paul, and Jennifer L. Bayuk. Financial Cybersecurity Risk Management. Berkeley, CA: Apress, 2019. http://dx.doi.org/10.1007/978-1-4842-4194-3.

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Zopounidis, Constantin, and Emilios Galariotis, eds. Quantitative Financial Risk Management. Hoboken, NJ, USA: John Wiley & Sons, Inc, 2015. http://dx.doi.org/10.1002/9781119080305.

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Thomas, L. C. Financial risk management models. Edinburgh: Department of Business Studies, University of Edinburgh, 1989.

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Book chapters on the topic "Financial risk management"

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Errington, Charles. "Risk Management." In Financial Engineering, 45–58. London: Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1007/978-1-349-13268-3_3.

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Jain, P. K., Shveta Singh, and Surendra Singh Yadav. "Risk Management." In Financial Management Practices, 277–97. India: Springer India, 2013. http://dx.doi.org/10.1007/978-81-322-0990-4_7.

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Zhu, Ning. "Risk Managment! Risk Management!" In Financial Decision Making, 94–101. Abingdon, Oxon ; New York, NY : Routledge, 2017.: Routledge, 2017. http://dx.doi.org/10.4324/9781315619859-12.

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García, Francisco Javier Población. "Derivative Credit Risk (Counterparty Risk)." In Financial Risk Management, 265–73. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_12.

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Wu, Desheng Dash, and David L. Olson. "Financial Risk Management." In Enterprise Risk Management in Finance, 15–22. London: Palgrave Macmillan UK, 2015. http://dx.doi.org/10.1057/9781137466297_3.

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García, Francisco Javier Población. "One-Dimensional Market Risk; Equity Risk." In Financial Risk Management, 41–73. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_3.

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García, Francisco Javier Población. "Operational Risk." In Financial Risk Management, 277–92. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_13.

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García, Francisco Javier Población. "Liquidity Risk." In Financial Risk Management, 293–303. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_14.

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García, Francisco Javier Población. "Country Risk." In Financial Risk Management, 305–19. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_15.

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García, Francisco Javier Población. "Risk Quantification." In Financial Risk Management, 17–38. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-41366-2_2.

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Conference papers on the topic "Financial risk management"

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Pashchenko, Svetlana, Nikolay Pashchenko, and Olga Krioni. "Financial risk management." In International Conference on Trends of Technologies and Innovations in Economic and Social Studies 2017. Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/ttiess-17.2017.84.

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Romanova, A. A., L. A. Terekhova, and P. A. Romanov. "Financial Innovations’ Risk Management." In International Scientific Conference "Far East Con" (ISCFEC 2020). Paris, France: Atlantis Press, 2020. http://dx.doi.org/10.2991/aebmr.k.200312.070.

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"An Overview of Financial Risk Management HomeAn Overview of Financial Risk Management." In rd Joint International Conference on Accounting, Business, Economics and Politics. Tishk International University, 2021. http://dx.doi.org/10.23918/icabep2021p30.

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Chen, Qian, and Mu Zhang. "Risk analysis and risk management in financial industry." In 7th Annual Meeting of Risk Analysis Council of China Association for Disaster Prevention (RAC-2016). Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/rac-16.2016.89.

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Chu, Weimei. "Analysis of Financial Investment Risk in Enterprise Financial Management." In 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210319.063.

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Zhang, Chun-ying, and Qi Wang. "Strengthen financial risk management and prevent financial crisis effectively." In 2012 4th Electronic System-Integration Technology Conference (ESTC). IEEE, 2012. http://dx.doi.org/10.1109/estc.2012.6485733.

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He, Lianyue. "Analysis and Management of Big Data Financial Risk." In Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/wrarm-17.2017.33.

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Rémillard, Bruno, Bouchra Nasri, and Malek Ben-Abdellatif. "Replication Methods for Financial Indexes." In Innovations in Insurance, Risk- and Asset Management. WORLD SCIENTIFIC, 2018. http://dx.doi.org/10.1142/9789813272569_0017.

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Yuezhong, Duan, Xie Xiguo, Jin Yongsheng, and Cheng Che. "A New Financial Risk Management Model." In 2009 Third International Symposium on Intelligent Information Technology Application. IEEE, 2009. http://dx.doi.org/10.1109/iita.2009.140.

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Liu, Tie, Feng Li, Hao Zhang, Xiangyang He, Rongzeng Cao, and Yongming Wei. "Provide financial risk management as service." In 2010 IEEE International Conference on Service Operations and Logistics and Informatics (SOLI). IEEE, 2010. http://dx.doi.org/10.1109/soli.2010.5551616.

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Reports on the topic "Financial risk management"

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Andersen, Torben, Tim Bollerslev, Peter Christoffersen, and Francis Diebold. Financial Risk Measurement for Financial Risk Management. Cambridge, MA: National Bureau of Economic Research, May 2012. http://dx.doi.org/10.3386/w18084.

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Rampini, Adriano, S. Viswanathan, and Guillaume Vuillemey. Risk Management in Financial Institutions. Cambridge, MA: National Bureau of Economic Research, March 2019. http://dx.doi.org/10.3386/w25698.

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Soares, Tatiana Fontes, Alexis Smith-Juvelis, Cheryl Gray, and Alejandro Soriano. IDB-9: Financial and Risk Management. Inter-American Development Bank, March 2013. http://dx.doi.org/10.18235/0010520.

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This paper analyzes whether the Inter-American Development Bank (IDB, or Bank) has fully and effectively implemented the IDB-9 requirements related to risk and financial management. IDB-9 included four requirements in this area: (i) adopt a rule-based Income Management Model (IMM); (ii) implement the recently introduced risk-based Capital Adequacy Policy; (iii) execute a set of agreed actions to enhance the short-term sustainability of the Fund for Special Operations (FSO); and (iv) continue strengthening the Banks Risk Management Framework. The Bank has fully implemented the IDB-9 financial and risk management actions. The highly detailed and prescriptive nature of the requirements aided implementation. In terms of effectiveness, the IMM imposes financial discipline and enhances financial selfsustainability by linking Bank expenses directly to income through loan charges. The CAP supports prudent risk management and the Banks AAA rating. The actions taken for the FSO will not be sufficient to ensure the Funds sustainability until 2020, as mandated in IDB-9, and Management is preparing to propose additional measures for the Board¿s approval. A few issues with the IMM and CAP merit further review going forward. First, the IMM is very strict, with a high administrative expense coverage rule and its inclusion of nonoperational expenses. Second, it is not clear that the reserve ratios for sovereignguaranteed (SG) and non-sovereign-guaranteed (NSG) exposure adequately reflect their relative levels of risk or lead to the most effective leveraging of scarce Bank capital. Third, the Bank¿s unused borrowing capacity rule¿though perhaps reassuring to potential investors¿is outdated and is not relevant to the maintenance of the Bank¿s AAA rating, while a criterion that rating agencies do consider relevant¿country portfolio concentration¿is not factored into the Bank¿s rules. Finally, the IDB-9 architecture is inward-looking and does not promote a focus on the Bank¿s financial competitiveness. In light of these findings, OVE suggests that the Bank (i) consider introducing greater flexibility in the IMM by setting an administrative coverage band and perhaps excluding certain nonoperational expenses; (ii) review the capital accumulation rule and the reserve ratios for SG and NSG exposures; (iii) update the Bank¿s financial rules by phasing out the borrowing authority limit; and (iv) use the financial and risk management architecture as input to strategic decision-making on the projected size of the Bank, the blend of SG and NSG lending, expected countercyclical support, the role of the FSO, and the Bank¿s approach to future capitalization.

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Draghi, Mario, Francesco Giavazzi, and Robert Merton. Transparency, Risk Management and International Financial Fragility. Cambridge, MA: National Bureau of Economic Research, June 2003. http://dx.doi.org/10.3386/w9806.

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Andersen, Torben. Innovative Financial Instruments for Natural Disaster Risk Management. Inter-American Development Bank, December 2002. http://dx.doi.org/10.18235/0008816.

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This technical paper provides us with an in-depth explanation of how losses due to catastrophes are insured and who absorbs the costs of compensating the insured assets. In the absence of an effective insurance market, the government often becomes the de facto financier of postdisaster rehabilitation efforts. Alternatively, governments can encourage the local insurance industry to engage in risk financing arrangements through insurance pools that, in turn, may cover higher exposures in the global reinsurance and capital markets. This study takes a closer look at how this type of international risk financing scheme might be developed. This paper is an insider's primer on insurance, reinsurance and new capital market instruments that make it possible to continue to respond to the impacts of recurrent natural disasters.

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Christoffersen, Peter, and Francis Diebold. How Relevant is Volatility Forecasting for Financial Risk Management? Cambridge, MA: National Bureau of Economic Research, December 1998. http://dx.doi.org/10.3386/w6844.

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Freeman, Paul, Leslie A. Martin, Joanne Linnerooth-Bayer, Reinhard Mechler, Georg Pflug, and Koko Warner. Disaster Risk Management: National Systems for the Comprehensive Management of Disaster Risk and Financial Strategies for Natural Disaster Reconstruction. Inter-American Development Bank, November 2003. http://dx.doi.org/10.18235/0010539.

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This report was commissioned by the Natural Disasters Network of the Regional Policy Dialogue. This report constitutes Phase 2 of this project. While the first phase of the study discusses the components of a national system, the second focuses on instruments for financing reconstruction after a disaster. The research compares centralized, government-directed management systems with those that are localized and decentralized, and also analyzes the factors affecting the financial and political stability of alternative approaches. As natural disasters may result in major resource gaps for governments facing the task of financing reconstruction, the report presents case studies of four countries-Bolivia, Colombia, the Dominican Republic, and El Salvador-to highlight the various policy options. Alternative sources of ex ante funding are identified, including reserve funds, contingent credit, and insurance. These innovative methods of funding are compared with ex post funding possibilities through international aid, loan diversions and increased external debt, budget reallocations, and tax increases.

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Andersen, Torben, Tim Bollerslev, Peter Christoffersen, and Francis Diebold. Practical Volatility and Correlation Modeling for Financial Market Risk Management. Cambridge, MA: National Bureau of Economic Research, January 2005. http://dx.doi.org/10.3386/w11069.

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Ketterer, Juan Antonio, and Agustina Calatayud. Integrated Value Chain Risk Management. Inter-American Development Bank, January 2016. http://dx.doi.org/10.18235/0010631.

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A widespread view in the private sector is that the lack of access to finance significantly limits the entry into and the performance of value chains. Access to finance is expensive, scarce, and short term in countries in Latin America and the Caribbean, and it hampers firms' investment and the financial management required to gain entry and remain as participants in a value chain. The lack of access to finance is a consequence of a series of market failures that form the basis for public policy intervention. The region's development banks and specialized agencies have thus designed programs to ease access to value chains and improve their performance. This paper suggests that the public sector could have a more effective role in enhancing value chain access and performance by embracing an integrated risk management approach to value chains. This approach will assist thepublic sector identify the various threats to which value chains are exposed, estimate the probability of occurrence and severity of such risks, and ensure risk prevention and mitigation through the use of a cost-effective combination of financial and nonfinancial instruments.

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Trivelli, Carolina, Sergio Navajas, Mark D. Wenner, and Alvaro Tarazona. Managing Credit Risk in Rural Financial Institutions in Latin America. Inter-American Development Bank, May 2007. http://dx.doi.org/10.18235/0008848.

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The purpose of this report is to review common credit risk management techniques used in a sample of Latin American financial institutions with agricultural portfolios, identify the factors that contribute to successful credit risk management as measured by several key financial performance indicators in order to assist donors, governments, and owners of financial institutions to promote and adopt the most efficient and robust techniques. This report also examines a sample of 42 financial institutions in Latin America that have agricultural portfolios, and identifies their principal perceived risks, how they asses and manage credit risk, and how effective they are in the process as measured by key financial performance indicators (such as asset quality, portfolio growth, and profit margins).

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