Johannes wernzs bank management and control

Management for Professionals Johannes Wernz Bank Management and Control Strategy, Capital and Risk Management Management for Professionals For further volumes: http://www.springer.com/series/10101 ThiS is a FM Blank Page Johannes Wernz Bank Management and Control Strategy, Capital and Risk Management Johannes Wernz Zurich Switzerland ISSN 2192-8096 ISSN 2192-810X (electronic) ISBN 978-3-642-40373-6 ISBN 978-3-642-40374-3 (eBook) DOI 10.1007/978-3-642-40374-3 Springer Heidelberg New York Dordrecht London Library of Congress Control Number: 2013949516 # Springer-Verlag Berlin Heidelberg 2014 This work is subject to copyright All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer Permissions for use may be obtained through RightsLink at the Copyright Clearance Center Violations are liable to prosecution under the respective Copyright Law The use of general descriptive names, registered names, trademarks, service marks, etc in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made The publisher makes no warranty, express or implied, with respect to the material contained herein Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com) Preface These are challenging times for banking Within the last several years, the banking industry has changed significantly due to the global financial crisis As a reaction to the macroeconomic situation, an entire series of governmental and new regulatory requirements have been implemented to meet the new developments and previously underestimated risks This book focuses on bank management and control in terms of strategy, capital, and risk management in the context of the recent macroeconomic and regulatory developments Such developments include the following: • The implementation of Basel II (and the corresponding national standards such as BIPRU in the United Kingdom) in 2006 • The economic and financial crisis that started with the mortgage bubble in the United States and spread to Europe and other parts of the world in 2007 and 2008 (see Sect 3.9.2) • The worsening situation regarding public debts in the United States in the early years of the new century and the corresponding downgrading of the U.S federal government by a credit rating agency (the first time that one of the agencies had downgraded the U.S government) • The increasing debt situation in Europe and especially in the EU, which led to increased problems within the monetary union (Euro) • Problems with sovereign bonds (according to Basel II, BIPRU, and other national implementations, these were considered as being risk free; therefore, as a result, banks accumulated lots of government bonds) • The changes in Basel 2.5 that were first implemented in Switzerland and later in other countries • The implementation of Basel III – as shortcomings of Basel II were observed in the economic and financial crisis The main topics in this book explore management and steering according to desired return, capital planning and capital optimization, and the implementation of the Basel Accords Bank management, strategy and capital planning, and risk management are challenged within the perimeters of Basel 2.5 and Basel III Going forward, there will be shifts in strategy for many banks due to the new regulatory requirements v vi Preface Beginning with the economic and financial crisis in 2007, several banks faced specific damaging consequences: • The U.S bank Lehman Brothers crashed in 2008, despite expectations that the U.S government would rescue the bank • In the United Kingdom, the Halifax Bank of Scotland (HBOS) – a merger of Halifax plc and the Bank of Scotland – faced serious issues A merger of HBOS and Lloyds TSB under the new name Lloyds Banking Group resulted • The Royal Bank of Scotland (RBS) also faced big issues As a consequence, in 2013, about 82 % of the RBS is still owned by the U.K government • Other banks such as Dexia in Belgium and Depfa in Ireland were negatively impacted as a result of their refinancing schemes The banks did their refinancing short term, whereas the lending was long term As interest rates developed to their disadvantage within the crisis, huge losses were incurred Although Dexia was bailed out with the help of Belgium’s tax payers, the bank once again faced new difficulties in 2011 because it had accumulated many sovereign bonds • The bank HRE of Munich, Germany, purchased Depfa, and shortly after the purchase, the economic and financial crisis hit and the above-mentioned refinancing scheme resulted in massive problems for HRE HRE could only be saved with the help of Germany’s government and thus Germany’s tax payers • Many of Germany’s Landesbanken, mostly belonging to German states such as North Rhine-Westphalia, Bavaria, or Saxony and to local Sparkassen (thrifts), misjudged the risks associated with securitized products like collateralized debt obligations (CDOs) and faced significant trouble beginning in 2007 The Landesbank of North Rhine-Westphalia, the Duăsseldorf-based WestLB, was particularly hard hit During the crisis of 2007 and in the subsequent years, UBS of Switzerland requested help from the Swiss state and the Swiss National Bank (SNB) UBS had misjudged the risks associated with securitized products (CDOs) and faced large losses Concentrations within its portfolio (such as securitizations from the United States) were detected too late In addition, IKB, a Duăsseldorf-based bank (associated with the German state), which invested massively in securitized products from the United States, also faced massive losses Almost every big bank is internationally invested and therefore is very much affected by influences originating from almost any part of the globe If one bank faces a problem, many other banks are also affected Regulators faced a situation in which regulatory requirements were deemed to be insufficient Therefore, regulatory requirements were adjusted and expanded Depending on the business model of a bank, adjusting to new regulatory requirements will have a significant influence on the bank’s capital allocation Thus, the risk/return management of the banks is affected strongly Regulatory requirements for capital have the most prominent influence on the return these days Risk modeling has a significant influence on the capital requirement for the corresponding business segment Risk modeling, therefore, has an impact on the return on equity (RoE) of the corresponding business segment It is part of the Basel Preface vii II philosophy that incentives are set to implement a good and granular risk management So the improvement of risk management and the increase of granularity within risk management are often rewarded with lower capital charges Generally, the return on equity will be reduced when Basel III goes into effect To partly compensate for this, many banks will improve their risk management and the corresponding processes and governance within the next few years But even expensive projects aimed at improving the systems are often “highly profitable” as they can have a big influence on the return This book provides a systematic in-depth overview of all areas that are relevant to the management of risk and return and therefore to banks’ strategy The discussed topics are embedded in the context of the regulatory requirements represented by the Basel Accords (Basel II and Basel III) and the national guidelines This book focuses on the advanced approaches within the Basel Accords (see Sect 3.7), as these advanced approaches provide most opportunities for improving risk management and thus for strategic considerations An overview of the Basel Accords – the regulatory rules specifying the requirements for capital and reporting on risks – is given Also the national implementations of the Basel Accords – such as BIPRU in the United Kingdom, the Rundschreiben in Switzerland, and the Solvabilitaătsverordnung in Germany are discussed in Sect 3.7 The philosophy and evolution of the Basel Accords are discussed and important details of the rules are emphasized Terms like “Basel,” the “Basel Rules,” and the “Basel Accords” are used synonymously in this book ThiS is a FM Blank Page Acknowledgments I would like to thank my colleagues and partners for their insightful comments about the topics discussed in this book In particular, I would like to thank • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • • Alessandro Lana, Dr Tama´s Mayer, Dr Friedrich Hoheneck, Max Schieler, Dr Heidi Steiger, Dr Giovanni Cesari, Dr Joărg Behrens, Dr Uwe Steinhauser, David Kang, Dina Quraishi, Dr Janusz Milek, Martin Bell, Roland Schmid, Reto Schlaăfper, Dr Markus Pinkpank, Dr Matthias Metz, Juărgen Gieòler, Dr Sebastian Schmidt, Fritz Werner Muăller, Andreas Baumann, Sandra Wannenwetsch, Dr Maik Kaăstner, Steffen Henrich, Dr Marcel Fligge, Olaf Schmid, Volker Langner, Dr Michael Huăgler, Andreas Dierolf, Gunter Schmid, Dr Stephan Wuttke, Bernd Kurz, ix 104 Table 12.1 Capital quota depending on the rating for states 12 Appendix: Country Risk/Issuer Risk Rating AAA to AAÀ A+ to BBBÀ BB+ to BÀ Below BÀ Not rated Capital quota (%) 0.25–1.6 12 Appendix: Settlement Risk and Systemic Risk 13 The settlement risk, also known as “Herstatt risk,” is the risk of losing receivables during the settlement period The Herstatt-Bank of Cologne/Germany went bankrupt in 1974 A few banks had already made their payments in Deutsche Mark “DM” to Herstatt and lost the equivalent in U.S dollars as Herstatt was unable to make the payment To reduce settlement risk and more generally to reduce systemic risk in the banking sector according to Basel III, an incentive was created for banks to settle their transactions via a central counterparty (CCP) like CLS In this case, a risk weight of % for the transactions can be applied: “A bank’s collateral and mark-tomarket exposures to CCPs meeting these enhanced principles will be subject to a low risk weight, proposed at %; and default fund exposures to CCPs will be subject to risk-sensitive capital requirements.” Otherwise, the bank has to calculate a CVA capital charge according to the “revised metric to better address counterparty credit risk, credit valuation adjustments and wrong-way risk” addressed in Paragraph 98 of Basel EPE is discussed in Chap 5; the CVA capital charge will be discussed hereafter Although there is a capital charge for transactions via central counterparties (CCP) according to Basel III, there is a clear incentive to settle transactions via central counterparties Banks with an IMM approval and a specific interest rate risk VaR model approval for bonds can consider the advanced CVA risk capital charge Others apply the standardized CVA risk capital charge J Wernz, Bank Management and Control, Management for Professionals, DOI 10.1007/978-3-642-40374-3_13, # Springer-Verlag Berlin Heidelberg 2014 105 106 13 Appendix: Settlement Risk and Systemic Risk The capital charge is calculated as follows pffiffiffi K ¼ 2:33 à h vffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi u !2 u X   X u hedge u 0:5 à wi à Mi à EADtotal À Mi à Bi À wind à Mind à Bind i u i ind u  2 u X tỵ 0:75 w2 à Mi à EADtotal À Mhedge à Bi i i i i Where • h is the 1-year risk horizon (in units of a year), h ẳ w_i is the weight applicable to counterparty ‘i’ Counterparty ‘i’ must be mapped to one of the seven weights w_i based on its external rating When a counterparty does not have an external rating, the bank must, subject to supervisory approval, map the internal rating of the counterparty to one of the external ratings • (EAD_i)^total is the exposure at default of counterparty ‘i’ (summed across its netting sets), including the effect of collateral as per the existing IMM, SM or CEM rules as applicable to the calculation of counterparty risk capital charges for such counterparty by the bank For non-IMM banks the exposure should be discounted • B_i is the notional of purchased single name CDS hedges (summed if more than one position) referencing counterparty ‘i’, and used to hedge CVA risk • B_ind is the full notional of one or more index CDS of purchased protection, used to hedge CVA risk • w_ind is the weight applicable to index hedges The bank must map indices to one of the seven weights w_i based on the average spread of index ‘ind’ • M_i is the effective maturity of the transactions with counterparty ‘i’ • (M_i) ^hedge is the maturity of the hedge instrument with notional B_i • M_ind is the maturity of the index hedge ‘ind’ In case of more than one index hedge position, it is the notional weighted average maturity Appendix: Historical Data 14 Figures 14.1, 14.2, 14.3, and 14.4 show two historical scenarios (in parallel) First, the Great Depression in the United States – beginning in 1928 – is shown Second, in parallel, the developments of the 1973 Oil Crisis in the United States are shown, beginning in 1970 J Wernz, Bank Management and Control, Management for Professionals, DOI 10.1007/978-3-642-40374-3_14, # Springer-Verlag Berlin Heidelberg 2014 107 108 14 Appendix: Historical Data GDP of the U.S 140% 120% 100% 80% Great Depression 60% Oil Crisis 40% 20% 0% Fig 14.1 U.S GDP during the Great Depression and the 1973 Oil Crisis Stock Prices USA 140% 120% 100% 80% 60% Great Depression Oil Crisis 40% 20% 0% Fig 14.2 Stock market movement USA during the Great Depression and the 1973 Oil Crisis 14 Appendix: Historical Data 109 Unemployment USA 30% 25% 20% 15% Great Depression Oil Crisis 10% 5% 0% Fig 14.3 Unemployment rates in the United States during the Great Depression and the 1973 Oil Crisis IR of U.S Sovereign Bonds 10 yr 10% 9% 8% 7% 6% 5% 4% 3% Great Depression Oil Crisis 2% 1% 0% Fig 14.4 Interests rates of U.S Sovereign bonds during the Great Depression and the 1973 Oil Crisis Abbreviations ABCP ABS AF A-IRB ALM ARM ARS ASF AUD AVC BaFin BIPRU BoE CBO CCF CCP CCR CD CDO CDS CHF CLO CPM CPM CRE CRM CRM CT CVA DCP DoS DTA DTL DVA Asset-backed commercial paper Asset-backed securities (National) Adjustment factor of the capital Advanced internal ratings-based (Approach) Asset liability management Adjustable-rate mortgage Auction rate securities Available stable funding Australian dollar Asset value correlation Bundesanstalt fuăr Finanzdienstleistungsaufsicht German regulator Implementation of Basel II in the United Kingdom Bank of England Collateralized bond obligations Credit conversion factor Central counterparty Counterparty credit risk Canadian dollar Collateral debt obligation Credit default swap Confederation Helvetica francs (Swiss francs) Collateralized loan obligation Credit portfolio management Credit portfolio model Commercial real estate Credit risk mitigation Comprehensive risk measure Central tendency Credit valuation adjustment Debt collection process Denial of service Deferred tax asset Deferred tax liability Debit valuation adjustment J Wernz, Bank Management and Control, Management for Professionals, DOI 10.1007/978-3-642-40374-3, # Springer-Verlag Berlin Heidelberg 2014 111 112 DvP EAD EE EEPE EFH EL EPE EUR EWB Fannie Mae FCA Fed FINMA F-IRB FPC Freddie Mac FSA GBP Ginnie Mae GSE GuV HFLI HKD HVCRE ICS IKB ILS IMM IPO IPRE IRB IRC ISDA ISIN KMU LCR LFHI LGD M MaRisk Abbreviations Delivery-versus payment Exposure at default Expected exposure Effective expected positive exposure “Einfamilienhaus” – family home Expected loss Expected positive exposure Euro “Einzelwertberichtigung” – allowance Federal National Mortgage Association (Government-sponsored enterprise in the United States) Financial conduct authority (UK) Federal reserve system (USA) “Finanzmarktaufsicht” – Swiss regulator Foundation internal ratings-based (Approach) Financial policy committee Federal home loan mortgage corporation (Government-sponsored enterprise in the United States) Financial services authority (now: PRA) (£) Great British pound National mortgage association in the United States Government-sponsored enterprise (for example, Fannie Mae and Freddie Mac) “Gewinn- und Verlustrechnung” – P&L High frequency, low impact Hong Kong dollar High-volatility commercial real estate Internal control system IKB bank in Dusseldorf Israeli shekel Internal model method Initial public offering Income-producing real estate Internal ratings-based (Approach) Incremental risk charge International swaps and derivatives association International securities identification number “Kleine und Mittlere Unternehmen” – SME Liquidity coverage ratio Low frequency, high impact Loss given default Maturity “Mindestanforderungen an das Risikomanagement” – one part of the German implementation of Basel II Abbreviations M&A MBS MFH MtM NOK NSFR OBS PD PF PIT P&L PRA PSE PvP PWB QRRE R RoE RMB RMBS RRP Rs RUF RVE RVR SBA SBB SF SFr SFT SL S&L SME SNB SolvV SPV SR ST TRL TTC UL 113 Merger & acquisition Mortgage-backed securities “Mehrfamilienhaus” – apartment building Mark-to-market Norwegian krone Net stable funding ratio Off-balance sheet Probability of default Project finance Point in time Profit and loss statement Prudential regulation authority (Part of the Bank of England) – successor to the FSA Public sector entity Payment-versus-payment “Pauschalwertberichtigung” – general allowance for doubtful accounts receivable Qualifying revolving retail exposures Correlation parameter R Return on equity Chinese renminbi Residential mortgage-backed security Resolution and recovery planning Indian rupees Revolving underwriting facility Repurchase value estimator Repurchase value ratio Scenario based assessment “Schweizerische Bundesbahnen” – Swiss railway service Supervisory formula Swiss francs Securities financing transaction Specialized lending Savings and loan, also called “Thrift” Small and medium enterprises Schweizerische Nationalbank, Swiss National Bank Solvabilitaătsverordnung, one part of the German implementation of Basel II (like BIPRU in the United Kingdom) Special purpose vehicle Saudi riyals Stress testing Turkish lira Through the cycle Unexpected loss 114 US$ VaR VFE WWR ZVV Abbreviations United States dollar Value-at-risk Vorfaălligkeitsentschaădigung, a fee a customer has to pay, when he amortizes his loan upfront Wrong Way Risk Zuărcher Verkehrsverbund, the local transportation firm of Zurich, Switzerland Glossary Basel Accords Terms like “Basel,” the “Basel Rules” and the “Basel Accord” are used synonymously in this book The basic idea of Basel II – compared with Basel I – is that banks quantify their risks more precisely and then underpin them with capital According to Basel II and Basel III the required capital should correspond to the risk The idea is that the equity in most cases (usually there are “999 of 1,000” cases) should be sufficient to protect the bank from an insolvency in the event of a crisis With Basel II risks that were not taken into account under Basel I became relevant Operational risk (OpRisk) for example has been classified as critical under Basel II and must be taken into account since the implementation of Basel II Basel II and Basel III consist of three so-called pillars (see Pillar 1, and 3) CDO Collateralized Debt Obligations are a type of structured asset-backed security (ABS) with multiple "tranches." Each tranche offers a varying degree of risk and return so as to meet investors’ demands CDO securities are split into different risk classes, or tranches, whereby "senior" tranches are considered the safest securities Interest and principal payments are made in order of seniority, so that junior tranches offer higher coupon payments (and interest rates) to compensate for additional default risk CDS A Credit Default Swap is a financial swap agreement whereby the seller of the CDS (“insurance provider”) will compensate the buyer (“the insuree”) in the event of a loan default or other credit event The buyer of the CDS makes a series of payments (the CDS "fee" or "spread") to the seller and, in exchange, receives a payoff if the loan defaults Creditworthiness The ability of a client to pay back his debts The assigned measure is the Probability of Default (PD) CRM The Comprehensive Risk Measure is used for the calculation of the capital charge for correlation-trading portfolios Default A default or credit event occurs when a person or organization defaults on a significant transaction Within the Basel Accords definitions of a default are provided If one of these definitions is fulfilled a bank has to treat the client as a defaulter The marketplace recognizes default events as related to one’s creditworthiness; credit events can trigger specific protections provided by credit derivatives (e.g., credit default swap) The events triggering a credit derivative are defined in a bilateral swap confirmation, which is a transactional document J Wernz, Bank Management and Control, Management for Professionals, DOI 10.1007/978-3-642-40374-3, # Springer-Verlag Berlin Heidelberg 2014 115 116 Glossary that typically refers to an International Swaps and Derivatives Association (ISDA) master agreement previously executed between the two swap counterparties IRC The measure Incremental Risk Charge is meant to cover the default and the migration risk of interest positions within the trading book The measure is calculated for a year’s time horizon at a confidence level of 99.9 % LGD Loss Given Default is a common parameter in Risk Models and also a parameter used in the calculation of the regulatory capital under Basel II and Basel III for a banking institution This is an attribute of any exposure on a bank’s client The exposure is the amount that one may lose in an investment For example: if the LGD equals 20 % one might lose 20 % of the exposure in case of a default Monte Carlo Simulation Monte Carlo Simulations are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results; i.e., by running simulations many times over in order to calculate those same probabilities heuristically just like actually playing and recording results in a real casino situation: hence the name They are often used in finance (as well as in physical and mathematical problems) PD The Probability of Default is a financial term describing the likelihood of a default over a particular time horizon It provides an estimate of the likelihood that clients of a financial institution will be unable to meet their debt obligations The PD is a key parameter used in the calculation of regulatory capital under Basel II and Basel III for a banking institution Pillar 1, and Basel II and Basel III consist of three so-called Pillars Pillar The first pillar of the Basel Accord defines how to underpin the major risks with capital The major risks according to Basel are Credit Risk, Market Risk, and Operational Risk Pillar The second pillar of the Basel Accord stresses the need for adequate internal assessment of the overall risks a bank faces In addition to the risks covered within the first pillar other risks like pension risk or goodwill risk must be covered in the second pillar Pillar The third pillar of the Basel Accord recommends a holistic reporting of the risk and capital structure of the bank Solvency II The Solvency II Directive is an EU Directive that codifies and harmonizes the EU insurance regulation Primarily this concerns the amount of capital that EU insurance companies must hold to reduce the risk of insolvency Swiss Solvency Test The Swiss Solvency Test is the Swiss equivalent to Solvency II Quantiles Quantiles are points taken at regular intervals from the cumulative distribution function (CDF) of a random variable A Quantile of 99 % – reflecting a probability level of 99 % – will cover 99 % of the possible outcomes of a statistical “experiment.” The formulas for the derivation of capital within Basel II and Basel III are mostly implemented at a quantile of 99.9 %, reflecting the Basel philosophy that banks should not go bankrupt in 999 out of 1,000 years Glossary 117 Risk Weighted Asset The Risk-Weighted Assets are the bank’s exposures, weighted according to risk This asset calculation is used in determining the capital requirement under Basel II and Basel III Securitization Securitization is the financial practice of pooling various types of contractual debt such as residential mortgages, commercial mortgages, auto loans or credit card debt obligations as bonds, pass-through securities, or collateralized mortgage obligation (CMOs) and collateralized debt obligation (CDOs) to various investors The principal and interest on the debt, underlying the security, is paid back to the various investors regularly Securities backed by mortgage receivables are called mortgage-backed securities (MBS), while those backed by other types of receivables are asset-backed securities (ABS) VaR The Value at Risk (VaR) in financial mathematics and financial risk management is a widely used risk measure of the risk of loss on a specific portfolio of financial assets For a given portfolio, probability and time horizon, VaR is defined as a threshold value such that the probability that the loss on the portfolio over the given time horizon does not exceed this value (assuming normal markets and no trading in the portfolio) is the given quantile (see quantile) Bibliography An Explanatory note on the Basel II IRB risk weight functions, Basel Committee on Banking Supervision, July 2005 Ascend www.ascendworldwide.com Asset correlations and credit portfolio risk – an empirical analysis, Klaus Duăllmann, Martin Scheicher, Christian Schmieder (2007) Asset correlation, realized default correlation, and portfolio credit risk, Moody’s KMV (2008) Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen, Alfred Hamerle, Michael Knapp, Nicole Wildenauer (2005) Bank of England: Consultation paper, CP4/13, “Credit risk: Internal ratings based approaches,” March 2013 Basel II: International convergence of capital measurement and capital standards, A revised framework comprehensive version, June 2006 Basel III: A global regulatory framework for more resilient banks and banking systems, December 2010 (Rev June 2011) Basel III: International framework for liquidity risk measurement, standards and monitoring, December 2010 BIS: Principles for sound liquidity risk management and supervision (2008) Bundesamt fuăr Statistik, BfS www.bfs.admin.ch/bfs/portal/en/index.html Carpenter, B., et al (2013) The Federal Reserve’s balance sheet and earnings Washington, DC: Federal Reserve Board Clarksons www.clarksons.com Department of the Environment, Community and Local Government www.environ.ie Deutsche Bundesbank www.bundesbank.de Dossier of the paper ZEIT about Sale- und Lease-Back-Transaktionen Eidgenoăssische Finanzmarktaufsicht FINMA www.finma.ch FINMA: Jahresmedienkonferenz vom 26 Maărz 2013, March 2013 Granularity adjustment for Basel II, Michael B Gordy, Eva Luătkebohmert (2007) IMF: A new look at the role of sovereign credit default swaps (2013) Land Registry, UK www.landreg.gov.uk Loan portfolio value, risk, Oldrich Alfons Vasicek (2002) Lords of Finance, Liaquat Ahamed (2009) Maritime Economics, Martin Stopford (2009) Modelling, Pricing, and Hedging Counterparty Credit Exposure, Giovanni Cesari et al (2010) Option pricing formulas, Espen Gaarder Haug (2007) Options, futures, and other derivatives, John C Hull (2008) Schweizerische Nationalbank (SNB) www.snb.ch J Wernz, Bank Management and Control, Management for Professionals, DOI 10.1007/978-3-642-40374-3, # Springer-Verlag Berlin Heidelberg 2014 119 120 Statistisches Bundesamt www.destatis.de The Big Short, Michael Lewis (2010) Volatility and correlation, Riccardo Rebonato (2005) Wuăest & Partner Deutschland (2011) Wuăest & Partner Schweiz (2011) Bibliography .. .Management for Professionals For further volumes: http://www.springer.com/series/10101 ThiS is a FM Blank Page Johannes Wernz Bank Management and Control Strategy, Capital and Risk Management. .. available to J Wernz, Bank Management and Control, Management for Professionals, DOI 10.1007/978-3-642-40374-3_2, # Springer-Verlag Berlin Heidelberg 2014 Bank Management and Steering Fig 2.1... would rescue the bank • In the United Kingdom, the Halifax Bank of Scotland (HBOS) – a merger of Halifax plc and the Bank of Scotland – faced serious issues A merger of HBOS and Lloyds TSB under