Commercial Banking Risk Management
Regulation in the Wake of the Financial Crisis

Editors: Weidong Tian



Shares knowledge from practicing industry experts

Covers all major post-crisis risk management topics

Assists with risk management regulation compliance

This edited collection comprehensively addresses the widespread regulatory challenges uncovered and changes introduced in financial markets following the 2007-2008 crisis, suggesting strategies by which financial institutions can comply with stringent new regulations and adapt to the pressures of close supervision while responsibly managing risk. It covers all important commercial banking risk management topics, including market risk, counterparty credit risk, liquidity risk, operational risk, fair lending risk, model risk, stress test, and CCAR from practical aspects. It also covers major components of enterprise risk management, a modern capital requirement framework, and the data technology used to help manage risk. Each chapter is written by an authority who is actively engaged with large commercial banks, consulting firms, auditing firms, regulatory agencies, and universities. This collection will be a trusted resource for anyone working in or studying the commercial banking industry.

Table of contents (16 chapters)

Front Matter
Pages i-xxvii

Regulatory Capital and Market Risk
Front Matter
Pages 1-1
Regulatory Capital Requirement in Basel III
Pages 3-34
Market Risk Modeling Framework Under Basel
Pages 35-52

Counterparty Credit Risk
Front Matter
Pages 53-53
IMM Approach for Managing Counterparty Credit Risk
Pages 55-74
XVA in the Wake of the Financial Crisis
Pages 75-100

Liquidity Risk, Operational Risk and Fair Lending Risk
Front Matter
Pages 101-101
Liquidity Risk
Pages 103-119
Operational Risk Management
Pages 121-134
Fair Lending Monitoring Models
Pages 135-150

Model Risk Management
Front Matter
Pages 151-151
Caveat Numerus: How Business Leaders Can Make Quantitative Models More Useful
Pages 153-167
Model Risk Management Under the Current Environment
Pages 169-197

CCAR and Stress Testing
Front Matter
Pages 199-199
Region and Sector Effects in Stress Testing of Commercial Loan Portfolio
Pages 201-229
Estimating the Impact of Model Limitations in Capital Stress Testing
Pages 231-249

Modern Risk Management Tools
Front Matter
Pages 251-251
Quantitative Risk Management Tools for Practitioners
Pages 253-280
Modern Risk Management Tools and Applications
Pages 281-302

Risk Management and Technology
Front Matter
Pages 303-303
GRC Technology Introduction
Pages 305-331
GRC Technology Fundamentals
Pages 333-392

Risk Management: Challenge and Future Directions
Front Matter
Pages 393-393
Quantitative Finance in the Post Crisis Financial Environment
Pages 395-418

Back Matter
Pages 419-429


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