著者紹介

内容

目次

Foreword; Introduction; Part I. Investment Operations of Central Banksand Other Public Investors: 1. Central banks and other public institutions asfinancial investors U. Binseil; 2. Strategic asset allocation for centralbanks and public investors K. Nyholm and M. Koivu; 3. Credit risk modelingfor public institutions' bond portfolios H. van der Hoorn; 4. Risk controlframework, limits, reporting, compliance monitoring, and other risk controlfunctions A. Manzanares and H. Schwartzlose; 5. Performance measurement andattribution H. Bourquin, S. Hesselberg and R. Marton; Part II. CollaterisedLending Operations: 6. Credit risk taking in collaterised lending operationsU. Binseil and F. Papadia; 7. The collateral and credit risk mitigationframeworks of central banks E. Tabakis and B. Weller; 8. Risk mitigationmeasures and credit risk assessment in central bank policy operations F.Gonzalez and P. Molitor; 9. Risk measures for a repo portfolio E. Heinle andM. Koivu; Part III. Organisational Issues and Operational Risk Management:10. Organisational issues relating to the risk management function of publicinvestors E. Tabakis; 11. Operational risk management in central banks J.-C.Sevet; Index.