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33 min
1. Risk management: some lessons from the credit crisis- Mr. Edward Fishwick
- Archived Lectures *These may not cover the latest advances in the field
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22 min
2. The need for a new paradigm- Mr. Alan Brown
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41 min
3. Leading bank credit portfolio strategies- Mr. Brian Dvorak
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26 min
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18 min
5. Quantmare, August 2007- Mr. Eoin Murray
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36 min
6. Risk decomposition (and risk budgeting)- Mr. Jason MacQueen
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43 min
7. Structural and reduced form models- Dr. Theo Darsinos
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43 min
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40 min
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52 min
10. Estimating risk models- Prof. Kevin Dowd
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24 min
11. Hedge fund risk assessment- Mr. David Martin
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45 min
12. Modeling business dependencies for credit portfolios- Dr. Markus A. Leippold
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26 min
13. VaR when volatility is changing- Dr. Elizabeth Sheedy
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30 min
14. Conditional Value at Risk (CoVAR)- Mr. KiHoon Jimmy Hong
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40 min
15. Dependence modeling with copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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41 min
16. Extreme value theory and copulas- Prof. Paul Embrechts
- Dr. Johanna Neslehova
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42 min
17. Measures of financial risk- Prof. Kevin Dowd
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37 min
18. Modelling UK Mortgage Default in Light of the Financial Crisis- Mr. Warapong Wongwachara
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23 min
19. Statistical models for risk management- Prof. John Knight
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34 min
20. The structure of equity risk models- Mr. Jason MacQueen
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42 min
21. Utility theory and mean variance- Dr. Norvald Instefjord
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40 min
22. Definitions of risk- Dr. Norvald Instefjord
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29 min
23. Practical use of portfolio risk management today- Mr. Daryl Roxburgh
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44 min
24. Volatility- Dr. George A. Christodoulakis
Printable Handouts
Navigable Slide Index
- Introduction
- Alan Greenspan quote
- Presentation agenda
- Part 1: what characterizes a Leading Bank?
- What characterizes a leading bank?
- What is active credit portfolio management? (1)
- What is active credit portfolio management? (2)
- Trend toward active credit portfolio management
- Success stories
- Leading Bank strategies
- Part 2: economic capital management strategies
- Regulatory capital and economic capital
- Measuring required economic capital
- Banks use economic capital for many purposes
- Economic capital adequacy
- Internal risk reporting
- Economic capital allocation: risk/tail risk
- Aligning allocation with management's goals
- Strategic planning and capital budgeting
- Measuring risk and business line performance
- Credit limits, risk-based pricing and profitability
- Part 3: CPM strategies
- Leading Bank CPM organizational models
- Risk function overlay
- Profit center
- Leading Bank CPM strategies
- Portfolio risk reduction strategy
- Proprietary trading strategy
- Broad diversification strategy
- Capital velocity strategy
- Comparing active CPM strategies
- Active CPM challenges
- Part 4: adopting Leading Bank strategies
- 7 steps toward adopting Leading Bank strategies
- CPM solution
- Components of portfolio management solution (1)
- Components of portfolio management solution (2)
- Accurate and granular risk/return management
- Focusing on low-hanging fruit
- Improving the portfolio (1)
- Improving the portfolio (2)
- Summary
Topics Covered
- Leading banks manage their credit portfolios actively
- Active credit portfolio management objectives and principles
- Active credit portfolio management trends and success stories
- Leading bank economic capital management strategies
- Uses of required economic capital at leading banks
- Leading bank credit portfolio management organizational models
- Leading bank credit portfolio management strategies
- Adopting leading bank strategies
Talk Citation
Dvorak, B. (2007, October 1). Leading bank credit portfolio strategies [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved October 3, 2023, from https://hstalks.com/bm/18/.Export Citation (RIS)
