risksystem_risksystem学习参考材料.pdf

An Integrated Approach to Managing Risk and Performance

By

Thomas S. Y. Ho, Ph.D.

Executive Vice President

BARRA, Inc.

Marco Stalder, Ph.D.

Head of Treasury

Zürcher Kantonalbank

and

Bernhard Straub

Deputy Head of Treasury

Zürcher Kantonalbank

Abstract

This paper provides an integrated and practical approach to managing risk and

performance of a bank on an enterprise level. The results show how analytics can be used

along with a strategic management organization to formulate a coherent framework to

deal with some of the challenges of our current banking environment.

June 1998

The authors wish to acknowledge Ron Kahn, Ruedi Wettstein-Gloor, Mark Abbott, and

Mitch Talisman for their assistance on this project and Toni Laich for her editorial and

administrative support.

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An Integrated Approach to Managing Risk and Performance

Overview

Managing interest rate risk and maintaining a profitable balance sheet is perhaps

one of the most important challenges for banks in today’s competitive environment.

Recently, we have seen that the integration of global markets, specifically the European

markets, has led to higher market volatility and increased competition, with a greater

demand from customers and more competitive products on the market. Further,

regulators and rating agencies contin