Managing Bank Capital: Capital Allocation and Performance Measurement, 2nd Edition

Index

3–6–3 banking 2, 12

1988 Accord see Basel Accord

absolute price risk 171

absolute value 182

actuarial modelling 211

adjusted duration 71

allocation of capital see capital allocation

Asset & Liability Management (ALM) function 51

asset volatility 145–66

available capital versus required capital 38–9

back-testing 118–19

bail-outs 1, 4

Bank for International Settlements (BIS) 12, 95

Bank Holding Company Act 135

Bank of America 162

Bankers Trust 150, 162

case study 24–6

RAROC system 3, 173, 319

Banque Paribas 36

Barings Bank 209, 228

barriers to implementation 324–8

cultural 327–8

technical 325–7

factors outside control of managers 326

inconsistent signals 327

model inappropriate for the organisation 326–7

statistical overkill 327

unclear measurement of return 325–6

Basel Accord 13–14, 15–16, 18, 32

calculating risk-weigh ted assets 83–4

calculating the market risk requirement 84–7

converting the market risk charge into an RWA-equivalent 86–7

internal models approach 85, 86

standardised methodology 85–6

chronology and related amendments 95–7

converting off-balance-sheet exposures 82–3

eligible capital 97–103

deductions from capital 101–2

hybrid equity instruments 102–3

tier 1 capital 98–9

tier 2 capital 99–100

tier 3 capital 100–1

managing regulatory capital ratios 88–90

meeting the capital adequacy requirements 87–8

overview 82–8

off-balance-sheet assets 105–10

contingent claims 105–6

derivatives – original exposure method 106–7

derivatives – current exposure method 107–