Table of Contents

Foreword; Introduction; Part I. Investment Operations of Central Banks and Other Public Investors: 1. Central banks and other public institutions as financial investors U. Bindseil; 2. Strategic asset allocation for central banks and public investors K. Nyholm and M. Koivu; 3. Credit risk modeling for public institutions' bond portfolios H. van der Hoorn; 4. Risk control framework, limits, reporting, compliance monitoring, and other risk control functions A. Manzanares and H. Schwartzlose; 5. Performance measurement and attribution H. Bourquin, S. Hesselberg and R. Marton; Part II. Collaterised Lending Operations: 6. Credit risk taking in collaterised lending operations U. Bindseil and F. Papadia; 7. The collateral and credit risk mitigation frameworks of central banks E. Tabakis and B. Weller; 8. Risk mitigation measures and credit risk assessment in central bank policy operations F. González and P. Molitor; 9. Risk measures for a repo portfolio E. Heinle and M. Koivu; Part III. Organisational Issues and Operational Risk Management: 10. Organisational issues relating to the risk management function of public investors E. Tabakis; 11. Operational risk management in central banks J.-C. Sevet; Index.

Promotional Information

A survey of the fundamental issues and techniques surrounding risk management.

About the Author

Ulrich Bindseil is Head of the Risk Management Division at the European Central Bank. Fernando Gonzalez is Principal Economist at the European Central Bank. Evangelos Tabakis is Deputy Head of the Risk Management Division at the European Central Bank.

Reviews

Review of the hardback: 'How should public institutions - central banks in particular - approach investment and risk management? What should be similar to private asset management, and crucially, what should be different and why? Such important questions have received remarkably little attention. Against this background, Bindseil, González and Tabakis have produced a timely and authoritative guide to the state of the art, and a blueprint for moving forward. Their book will be of great interest not only in central banking, but in all of financial asset management - public and private, practitioner and academic.' Francis X. Diebold, Wharton School and University of Pennsylvania

Review of the hardback: 'While there is a vast literature on risk management for financial institutions, there is little discussion on its specific applications for public institutions and particularly central banking. With this book, Bindseil and team present a comprehensive and authoritative overview on how central banks address financial risks in their operations and how risk management techniques, originally developed in the private sector, are being successfully applied to the problems faced by these institutions. This book is a must-read for anyone interested in central bank's risk management, whether working for central banks or public wealth funds, performing research or providing services to these institutions.' Dan Rosen, R2 Financial Technologies, and Fields Institute for Research in Mathematical Sciences

Review of the hardback: 'A timely and comprehensive reference that should be required reading for risk managers and central bankers.' Philippe Jorion, University of California, Irvine