Risk Management for Central Banks and Other Public Investors »

Ulrich Bindseil is Head of the Risk Management Division at the European Central Bank.

Fernando González is Principal Economist at the European Central Bank.

Evangelos Tabakis is Deputy Head of the Risk Management Division at the European Central Bank.

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

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Foreword Jose-Manuel Gonzalez-Paramo Gonzalez-Paramo, Jose-Manuel

Introduction Ulrich Bindseil Bindseil, Ulrich Fernando Gonzalez Gonzalez, Fernando Evangelos Tabakis Tabakis, Evangelos

Pt. I Investment operations 1

1 Central banks and other public institutions as financial investors Ulrich Bindseil Bindseil, Ulrich 3

2 Strategic asset allocation for fixed-income investors Matti Koivu Koivu, Matti Fernando Monar Lora Lora, Fernando Monar Ken Nyholm Nyholm, Ken 49

3 Credit risk modelling for public institutions' investment portfolios Han van der Hoorn Han, van der Hoorn 117

4 Risk control, compliance monitoring and reporting Andres Manzanares Manzanares, Andres Henrik Schwartzlose Schwartzlose, Henrik 157

5 Performance measurement Herve Bourquin Bourquin, Herve Roman Marton Marton, Roman 207

6 Performance attribution Roman Marton Marton, Roman Herve Bourquin Bourquin, Herve 222

Pt. II Policy operations 269

7 Risk management and market impact of central bank credit operations Ulrich Bindseil Bindseil, Ulrich Francesco Papadia Papadia, Francesco 271

8 Risk mitigation measures and credit risk assessment in central bank policy operations Fernando Gonzalez Gonzalez, Fernando Phillipe Molitor Molitor, Phillipe 303

9 Collateral and risk mitigation frameworks of central bank policy operations - a comparison across central banks Evangelos Tabakis Tabakis, Evangelos Benedict Weller Weller, Benedict 340

10 Risk measurement for a repo portfolio - an application to the Eurosystem's collateralized lending operations Elke Heinle Heinle, Elke Marti Koivu Koivu, Marti 359

11 Central bank financial crisis management from a riskmanagement perspective Ulrich Bindseil Bindseil, Ulrich 394

Pt. III Organizational issues and operational risk 441

12 Organizational issues in the risk management function of central banks Evangelos Tabakis Tabakis, Evangelos 443

13 Operational risk management in central banks Jean-Charles Sevet Sevet, Jean-Charles 460

References 490

Index 507