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The Management of Risks in Banking

Published online by Cambridge University Press:  10 June 2011

J.N. Allan ,
P.M. Booth ,
R.J. Verrall  and
D.E.P. Walsh
J.N. Allan
Affiliation:
Department of Actuarial Science & Statistics, The City University, Northampton Square, London EC1V 0HB, U.K. Tel: +44(0)171-477-8478; Fax: +44(0)171-477-8838
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Abstract

This paper takes an overview of the various financial risks which need to be managed in banking. It then looks in detail at the specific areas of operational risk, market risk and pricing loans. A cash flow model is then developed, which takes explicit account of the various financial factors which should influence the interest rate charged. The model is applied to price loans with various features. The results of the model are shown, and weaknesses in the model and possible areas for further work indicated.

Keywords

Financial Risk ManagementBankingActuarial Techniques
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 4 , Issue 4 , 01 October 1998 , pp. 707 - 802
Copyright
Copyright © Institute and Faculty of Actuaries 1998

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