Risk Framework Design in Practice - Michelle McCarthy Beck

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Auteur(s) : Michelle McCarthy Beck

Editeur : Wiley

Langue : Anglais

Parution : 01/04/2026

Format : Moyen, de 350g à 1kg

Nombre de pages : 448.0

ISBN : 9781394378654

Résumé :

A comprehensive and practical collection of tools and frameworks for risk governance at banks, insurance firms, asset managers, and other financial organizations

In Risk Framework Design in Practice: Getting Risk Governance and Limits Right for Financial Institutions, veteran portfolio and risk manager, Michelle Beck, delivers a robust and functional approach to risk governance that's perfect for financial institution managers and executives. Beck skips the high-level bromides, ?avoids narrowly considering only one type of asset class or financial institution, and instead offers practical guidance for leaders across the full scope of the industry seeking to answer critical risk management questions:

What types of risk limits are necessary? How many of them does my organization need? How should they be set? Are minimum regulatory standards sufficient to safeguard my company's interests?

Risk Framework Design in Practice provides an effective structure for enterprise risk limits in different types of firms, including banks, asset managers, insurers, and corporate pensions. It explains how these types of firms should establish risk appetites, the essential pieces of their governance structures, and how to ensure the right information is in the right hands at the right times. It also includes:

• Deep dives into the relevant limits for market, credit, and operational risks, including the implications of using alternative methods
• Detailed discussions of contemporary approaches to limiting economic capital, value at risk, stress tests, exposures, liquidity, concentrations, stop-losses, and drawdown limits
• Approaches to operational risk that avoid the expensive trap of attempting to police business efficiency, and instead focus on control strength for truly dangerous risks

Risk Framework Design in Practice is an effective resource for chief risk officers and professionals working in enterprise risk departments at banks, broker dealers, insurance companies, asset managers, and hedge funds.? Also perfect for board members at banks and insurance companies, in-house counsel at financial firms, and bank and securities regulators.

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Biographie:

MICHELLE McCARTHY BECK has nearly 40 years of experience as a derivative portfolio manager, risk manager, and chief risk officer in large banking, asset management, and insurance companies in the U.S. and Europe. Most recently, she served as a risk management expert at the U.S. Securities and Exchange Commission.

Sommaire:

Foreword xi

A Note On Language In This Book xx

About the Author xxiii

Chapter One Overview of Enterprise Risk Frameworks 1

Purpose and Philosophy of Risk Limits 3

Setting a Total Risk Limit at the Top of the Enterprise: Interaction with Return on Equity, Cost of Equity, and Other Corporate Objectives 14

Lessons from Risk Governance Gone Wrong 18

What Does Effective Challenge Look Like? 31

Profitable Strategies and Event Risk 33

Distinctions Between Risk Controls and Financial Controls 35

Differences and Establishing Limits/Tolerances by Type of Financial Institution 40

Where Is Governance Needed? 48

Exercises for Chapter One 53

Answer Key 54

Chapter Two Risks of Degree: An Overview 55

Market Risks for Public Markets 57

Exercises for Chapter Two 72

Answer Key 72

Chapter Three Risks of Degree: the big Six for Market Risk, Part I 73

Notional and Principal Limits 74

Exposure Limits 89

Value at Risk 151

Exercises for Chapter Three 188

Answer Key 190

Chapter Four Risks of Degree: the big Six for Market Risk, Part II 191

Stress Tests and Scenario Analysis 191

Liquidity: Concentration and Market Participation Limits 199

Stop- Loss and Drawdown Limits 241

Summary of Chapters Three and Four: How the Big Six Work Together to Maximize Strengths and Minimize Weaknesses 244

Exercises for Chapter Four 248

Answer Key 249

Chapter Five Risks of Degree: Credit Exposure and Potential Loss Limits 251

Limiting Commitments 252

Credit Default and Ratings Change Risk Limits 258

Interplay of Market Risk and Counterparty Credit 263

Collateral Considerations 272

Credit Default Derivatives as a Hedge 273

Exercises for Chapter Five 275

Answer Key 276

Chapter Six Binary Risks 277

Understanding Binary, One- Tailed Risks 280

Operational Risk Program Design 285

Key Risk Indicators 297

Specialized Operational Risk Programs 298

Compliance Program Design 302

Exercises for Chapter Six 314

Answer Key 315

Chapter Seven Model Risk Controls 317

How and Why Did Model Risk Controls Develop? 317

How Do We Define a Financial Model? 319

What Makes a Model High- Risk? 321

What Controls Can Be Applied to Manage Financial Model Risk? 339

Additional Words for the Wise 362

Exercises for Chapter Seven 366

Answer Key 368

Chapter Eight Risk Governance for Private Assets 369

Risk Management Frameworks for Stand- Alone Private Asset Investment Funds 372

Incorporating Private Assets into Multiasset Portfolios 380

Exercises for Chapter Eight 386

Answer Key 387

Notes 389

Index 401