Bibliography978-0-230-59786... · 2017. 8. 28. · 338 Bibliography IOSCO (1998) Methodologies for Determining Minimum Capital Standards for Internationally Active Securities Firms,

Bibliography

Attali. J. (1985) Sir Siegmund G. Warburg. Un Homme cTInfluence, Paris: Fayard. Basle Committee on Banking Supervision (1998) 'Framework for the Evaluation of

Internal Control Systems', Basle: BIS, January. Chemow, R. (1990) The House of Morgan, New York: Touchstone, Simon &

Schuster. Chorafas, D.N. (1960) Statistical Processes and Reliability Engineering, Princeton:

Van No strand. (1968) The Knowledge Revolution, London and New York: Allen &

Unwin and McGraw-Hill. (1987) Engineering Productivity Through CAM/CAD, London:

Butterworth. (1994a) Chaos Theory in the Financial Markets, Chicago: Probus. (1994b) Advanced Financial Analysis, London: Euromoney. (1995a) Financial Models and Simulation, London: Macmillan.

— (1995b) How to Understand and Use Mathematics for Derivatives, 1: Understanding the Behaviour of Markets, London: Euromoney.

(1995c) How to Understand and Use Mathematics for Derivatives, 2: Advanced Modelling Methods, London: Euromoney.

(1997) Internet Financial Services: Secure Electronic Banking and Electronic Commerce?, London and Dublin: Lafferty.

(1998a) Agent Technology Handbook, New York: McGraw-Hill. (1998b) The Market Risk Amendment. Understanding the Marking-to-

Market Model and Value-at-Risk, Burr Ridge, IL: McGraw-Hill. (1999) Setting Limits for Market Risk, London: Euromoney. (2000a) Reliable Financial Reporting and Internal Control: A Global

Implementation Guide, New York: John Wiley. (2000b) Managing Credit Risk, 1: Analyzing, Rating and Pricing the

Probability of Default, London: Euromoney. (2000c) Managing Credit Risk, 2: The Lessons of VAR Failures and

Imprudent Exposure, London: Euromoney. (2000d) New Regulation of the Financial Industry, London: Macmillan. (2000e) Credit Derivatives and the Management of Risk, New York:

New York Institute of Finance. (2001a) Managing Risk in the New Economy, New York: New York

Institute of Finance. (2001b) Managing Operational Risk: Risk Reduction Strategies for

Investment Banks and Commercial Banks, London: Euromoney. Chorafas, D.N. and H. Steinmann (1991) Expert Systems in Banking, London:

Macmillan. (1992) Do IT or Die, London and Dublin: Lafferty.

European Monetary Institute (EMI), Banking Supervision Subcommittee (1997) 'Internal Control Systems in Banking Institutions', Frankfurt: EMI, July.

Grant, J. (1992) Money of the Mind, New York: Farrar, Strauss, Giroux.

337

338 Bibliography

IOSCO (1998) Methodologies for Determining Minimum Capital Standards for Internationally Active Securities Firms, May.

Lee Bailey, F. (1975) For the Defence, New York: New American Library/Signet. Walton, S. (1993) Made in America: My Story, New York: Bantam Books. White, M. (1997) Isaac Newton: The Lost Sciences, London: Fourth Estate.

Appendix of Participating Organizations

The following organizations, through their senior executives and system specialists participated in the recent research projects that led to the contents of this book and its documentation.

AUSTRIA

National Bank of Austria

Dr Martin OHMS Finance Market Analysis Department

3, Otto Wagtner Platz Postfach 61 A-1011 Vienna

Association of Austrian Banks and Bankers

Dr. Fritz D1WOK Secretary General

11, Boersengasse 1013 Vienna

Bank Austria

Dr Peter FISCHER Senior General Manager, Treasury Division Peter GABRIEL Deputy General Manager. Trading

2, Am Hof 1010 Vienna

339

340 Appendix of Participating Organizations

Creditanstalt

Dr Wolfgang LICHTL Market Risk Management

Julius Tandler Platz 3 A-1090 Vienna

Wiener Betriebs- and Baugesellschaft mbH

Dr Josef FRITZ General Manager

1, Anschutzstrasse 1153 Vienna

GERMANY

Deutsche Bundesbank

Hans-Dietrich PETERS Director Hans Werner VOTH Director

Wilhelm-Epstein Strasse 14 60431 Frankfurt am Main

Federal Banking Supervisory Office

Hans-Joachim DOHR Director Dept. I Jochen KAYSER Risk Model Examination Ludger HANENBERG Internal Controls

71-101 Gardeschiitzenweg 12203 Berlin

European Central Bank

Mauro GRANDE Director

Appendix of Participating Organizations 341

29 Kaiserstrasse 29th Floor 60216 Frankfurt am Main

Deutsches Aktieninstitut

Dr Riidiger Von ROSEN President

Biebergasse 6 bis 10 60313 Frankfurt-am-Main

Commerzbank

Peter BURGER Senior Vice President, Strategy and Controlling Markus RUMPEL Senior Vice President, Credit Risk Management

Kaiserplatz 60261 Frankfurt am Main

Deutsche Bank

Professor Manfred TIMMERMANN Head of Controlling Hans VOIT Head of Process Management, Controlling Department

12. Taunusanlage 60325 Frankfurt

Dresdner Bank

Dr Marita BALKS Investment Bank, Risk Control Dr Hermann HAAF Mathematical Models for Risk Control Claas Carsten KOHL Financial Engineer

1, Jiirgen Ponto Platz 60301 Frankfurt


GMD First - Research Institute for Computer Architecture, Software Technology and Graphics

Prof. Dr lng. Wolfgang K. GILOI General Manager

5, Rudower Chaussee D-1199 Berlin

FRANCE

Banque de France

Pierre JAILLET Director. Monetary Studies and Statistics Yvan ORONNAL Manager, Monetary Analyses and Statistics G. TOURNEMIRE, Analyst, Monetary Studies

39, rue Croix des Petits Champs 75001 Paris

Secretariat General de la Commission Bancaire - Banque de France

Didier PENY Director, Control of Big Banks and International Banks

73, rue de Richelieu 75002 Paris

F. VISNOWSKY Manager of International Affairs Supervisory Policy and Research Division Benjamin SAHEL Market Risk Control

115, Rue Reaumur 75049 Paris Cedex 01

Ministry of Finance and the Economy, Conseil National de la Comptabilite

Alain LE BARS Director International Relations and Cooperation


6, rue Louise Weiss 75703 Paris Cedex 13

HUNGARY

Hungarian Banking and Capital Market Supervision

Dr Janos KUN Head, Department of Regulation and Analyses Dr Erika VOROS Senior Economist, Department of Regulation and Analyses Dr Geza NYIRY Head, Section of Information Audit

Csalogany u. 9-11 H-1027 Budapest

Hungarian Academy of Sciences

Prof. Dr Tibor VAMOS Chairman, Computer and Automation Research Institute

Nador U. 7 1051 Budapest

ICELAND

The National Bank of Iceland Ltd

Gunnar T. ANDERSEN Managing Director International Banking & Treasury

Laugavegur 77 155 Reykjavik

ITALY

Banca d'Italia

Eugene GAIOTTI Research Department, Monetary and Financial Division Ing. Dario FOCARELLI Research Department


91, via Nazionale 00184 Rome

Instituto Bancario San Paolo di Torino

Dr Paolo CHIULENTI Director of Budgeting Roberto COSTA Director of Private Banking Pino RAVELLI Director Bergamo Region

27, via G. Camozzi 24121 Bergamo

LUXEMBOURG

Banque Generate de Luxembourg

Prof. Dr Yves WAGNER Director of Asset and Risk Management Hans Jorg PARIS International Risk Manager

27. avenue Monterey L-2951 Luxembourg

POLAND

Securities and Exchange Commission

Beata STELMACH Secretary of the Commission

1, PI Powstancow Warszawy 00-950 Warsaw

SWEDEN

Skandinaviska Enskilda Banken

Ben it GYLLENSWARD Head of Group Audit

Box 16067 10322 Stockholm

Appendix of Participating Orgcmizations 345

Irdem AB

Gian MEDRI Former Director of Research at Nordbanken

19, Flintlasvagen S-19154 Sollentuna

SWITZERLAND

Swiss National Bank

Dr Werner HERMANN Head of International Monetary Relations Dr Christian WALTER Representative to the Basle Committee Robert FLURI Assistant Director, Statistics Section

15 Borsenstrasse Zurich

Federal Banking Commission

Dr Susanne BRANDENBERGER Risk Management Renate LISCHER Representative to Risk Management Subgroup, Basle Committee

Marktgasse 37 3001 Bern

Bank for International Settlements

Mr. Claude SIVY Head of Internal Audit Herbie POENISCH Senior Economist, Monetary and Economic Department

2, Centralplatz 4002 Basle


Bank Leu AG

Dr Urs MORGENTHALER Member of Management Director of Risk Control

32, Bahnhofstrasse Zurich

Bank J. Vontobel and Vontobel Holding

Heinz FRAUCHIGER Chief, Internal Audit Department

Todistrasse 23 CH-8022 Zurich

Union Bank of Switzerland

Dr Heinrich STEINMANN Member of the Executive Board (Retired)

Claridenstrasse 8021 Zurich

UNITED KINGDOM

Bank of England, and Financial Services Authority

RICHARD BRITTON Director, Complex Groups Division, CGD Policy Department

Threadneedle Street London EC2R 8AH

British Bankers Association

Paul CHISNALL

Assistant Director-

Pinners Hall 105-108 Old Broad Street London EC2N 1 EX


Accounting Standards Board

A.V.C. COOK Technical Director Sandra THOMPSON Project Director

Holbom Hall 100 Gray's Inn Road London WC1X 8AL

Barclays Bank Pic

Brandon DAVIES Treasurer, Global Corporate Banking Alan BROWN Director, Group Risk

54 Lombard Street London EC3P 3AH

Abbey National Treasury Services pic

John HASSON Director of Information Technology & Treasury Operations

Abbey House 215-229 Baker Street London NW1 6XL

ABN-AMRO Investment Bank N.V.

David WOODS Chief Operations Officer, Global Equity Directorate

199 Bishopsgate London EC2M 3TY

Banksgesellschaft Berlin

Stephen F. MYERS Head of Market Risk

1 Crown Court Cheapside, London EC2V 6LR


Standard & Poor's

David T. BEERS Managing Director, Sovereign Ratings

Garden House 18, Finsbury Circus London EC2M 7BP

Moody's Investor Services

Samuel S. THEODORE Managing Director, European Banks David FROHRIEP Communications Manager, Europe

2, Minster Court Mincing Lane London EC3R 7XB

Fitch IBCA

Charles PRESCOTT Group Managing Director, Banks David ANDREWS Managing Director, Financial Institutions Trevor PITMAN Managing Director, Corporations Richard FOX Director, International Public Finance

Eldon House 2, Eldon Street London EC2M 7UA

Merrill Lynch International

Erik BANKS Managing Director of Risk Management

Ropemaker Place London EC2Y 9LY

The Auditing Practices Board

Jonathan E.C. GRANT Technical Director


Steve LEONARD Internal Controls Project Manager

P.O. Box 433 Moorgate Place London EC2P 2BJ

International Accounting Standards Committee

Ms Liesel KNORR Technical Director

166 Fleet Street London EC4A 2DY

MeesPierson ICS

Arjan P. VERKERK Director, Market Risk

Camomile Court 23 Camomile Street London EC3A 7PP

Charles Schwab

Dan HATTRUP International Investment Specialist

Crosby Court 38 Bishopsgate London EC2N 4AJ

City University Business School

Professor Elias DINENIS Head, Department of Investment Risk Management & Insurance Prof. Dr John HAGNIOANNIDES Department of Finance

Frobisher Crescent Barbican Centre London EC2Y 8BH


UNITED STATES

Federal Reserve System, Board of Governors

David L. ROBINSON Deputy Director, Chief Federal Reserve Examiner Alan H. OSTERHOLM, CIA, CISA Manager, Financial Examinations Section Paul W. BETTGE Assistant Director, Division of Reserve Bank Operations Gregory E. ELLER Supervisory Financial Analyst, Banking Gregory L. EVANS Manager, Financial Accounting Martha STALLARD Financial Accounting, Reserve Bank Operations

20th and Constitution, NW Washington, DC 20551

Federal Reserve Bank of Boston

William McDONOUGH Executive Vice President James T. NOLAN Assistant Vice President

P.O. Box 2076 600 Atlantic Avenue Boston, MA

Federal Reserve Bank of San Francisco

Nigel R. OGILVIE, CFA Supervising Financial Analyst, Emerging Issues

101 Market Street San Francisco, CA

Seattle Branch, Federal Reserve Bank of San Francisco

Jimmy F. KAMADA Assistant Vice President Gale P. ANSELL Assistant Vice President, Business Development

1015, 2nd Avenue Seattle, WA 98122-3567


Office of the Comptroller of the Currency (OCC)

Bill MORRIS National Bank Examiner/Policy Analyst, Core Policy Development Division Gene GREEN Deputy Chief Accountant Office of the Chief Accountant

250 E Street, SW 7th Floor Washington, DC

Federal Deposit Insurance Corporation (FDIC)

Curtis WONG Capital Markets, Examination Support Tanya SMITH Examination Specialist, International Branch Doris L. MARSH Examination Specialist, Policy Branch

550 17th Street, NW Washington. DC

Office of Thrift Supervision (OTS)

Timothy J. STIER Chief Accountant

1700 G Street NW Washington, DC, 20552

Securities and Exchange Commission, Washington DC

Robert UHL Professional Accounting Fellow Pascal DESROCHES Professional Accounting Fellow John W. ALBERT Associate Chief Accountant Scott BAYLESS Associate Chief Accountant

Office of the Chief Accountant Securities and Exchange Commission 450 Fifth Street, NW Washington, DC, 20549


Securities and Exchange Commission, New York

Robert A. SOLLAZZO Associate Regional Director

7 World Trade Center 12th Floor New York, NY 10048

Securities and Exchange Commission, Boston

Edward A. RYAN, Jr. Assistant District Administrator (Regulations)

Boston District Office 73 Tremont Street, 6th Floor Boston, MA 02108-3912

International Monetary Fund

Alain COUNE Assistant Director, Office of Internal Audit and Inspection

700 19th Street NW Washington DC, 20431

Financial Accounting Standards Board

Halsey G. BULLEN Project Manager Jeannot BLANCHET Project Manager Teri L. LIST Practice Fellow

401 Merritt Norwalk, CN 06856

Henry Kaufman & Company

Dr Henry KAUFMAN

660 Madison Avenue New York, NY


Soros Fund Management

George SOROS Chairman

888 Seventh Avenue, Suite 3300 New York, NY 10106

Carnegie Corporation of New York

Armanda FAMIGLIETTI Associate Corporate Secretary, Director of Grants Management

437 Madison Avenue New York, NY 10022

Alfred P. Sloan Foundation

Stewart F. CAMPBELL Financial Vice President and Secretary

630 Fifth Avenue, Suite 2550 New York, NY 10111

Rockefeller Brothers Fund

Benjamin R. SHUTE, Jr. Secretary

437 Madison Avenue New York, NY 10022-7001

The Foundation Center

79 Fifth Avenue New York, NY 10003-4230

Citibank

Daniel SCHUTZER Vice President, Director of Advanced Technology

909 Third Avenue New York, NY 10022


Prudential-Bache Securities

Bella LOYKHTER Senior Vice President, Information Technology Kenneth MUSCO First Vice President and Director, Management Internal Control Neil S. LERNER Vice President, Management Internal Control

1 New York Plaza New York, NY

Merrill Lynch

Johnn J. FOSINA Director, Planning and Analysis Paul J. FITZSIMMONS Senior Vice President, District Trust Manager David E. RADCLIFFE Senior Vice President, National Manager Philanthropic Consulting

Corporate and Institutional Client Group World Financial Center, North Tower New York, NY 10281-1316

HSBC Republic

Susan G. PEARCE Senior Vice President Philip A. SALAZAR Executive Director

452 Fifth Avenue, Tower 6 New York, NY 10018

International Swaps and Derivatives Association (ISDA)

Susan HINKO Director of Policy

600 Fifth Avenue, 27th Floor, Rockefeller Center New York, NY 10020-2302

Standard & Poor's

Clifford GRIEP Managing Director


25 Broadway New York, NY 10004-1064

Mary PELOQUIN-DODD Director, Public Finance Ratings

55 Water Street

New York, NY 10041 0003

Moody's Investor Services

Lea CARTY

Director, Corporates 99 Church Street New York, NY 10022

State Street Bank and Trust

James J. BARR Executive Vice President, US Financial Assets Services

225 Franklin Street Boston, MA 02105-1992

MBIA Insurance Corporation

John B. CAOUETTE Vice Chairman

113 King Street Armonk, NY 10504

Global Association of Risk Professionals (GARP)

Lev BORODOVSKI Executive Director, GARP, and Director of Risk Management, Credit Suisse First Boston (CSFB), New York Yong LI Director of Education, GARP, and Vice President, Lehman Brothers, New York Dr Frank LEIBER Research Director, and Assistant Director of Computational Finance, Cornell University, Theory Center, New York Roy NAWAL Director of Risk Forums, GARP


980 Broadway, Suite 242 Thornwood, NY

Group of Thirty

John WALSH Director

1990 M Street, NW Suite 450 Washington, DC, 20036

Broadcom Corporation

Dr Henry SAMUELI Co-Chairman of the Board, Chief Technical Officer

16215 Alton Parkway P. O. Box 57013 Irvine, CA 92619-7013

Edward Jones

Ann FICKEN (Mrs) Director, Internal Audit

201 Progress Parkway Maryland Heights, MO 63043-3042

Teachers Insurance and Annuity Association/College Retirement Equities Fund (TIAA/CREF)

John W. SULLIVAN Senior Institutional Trust Consultant Charles S. DVORKIN Vice President and Chief Technology Officer Harry D. PERRIN Assistant Vice President. Information Technology

730 Third Avenue New York, NY 10017-3206

Grenzebach Glier & Associates, Inc.

John J. GLIER President and Chief Executive Officer


55 West Wacker Drive Suite 1500 Chicago, IL 60601

Massachusetts Institute of Technology

Ms Peggy CARNEY Administrator, Graduate Office Michael COEN, PhD Candidate, ARPA Intelligent Environment Project

Department of Electrical Engineering and Computer Science Building 38, Room 444 50 Vassar Street Cambridge. MA 02139

Henry Samueli School of Engineering and Applied Science, University of California, Los Angeles

Dean A. R. Frank WAZZAN School of Engineering and Applied Science Prof. Stephen E. JACOBSON Dean of Student Affairs Dr Les LACKMAN Mechanical and Aerospace Engineering Department Prof. Richard MUNTZ Chair, Computer Science Department Prof. Dr Leonard KLEINROCK Telecommunications and Networks Prof. CHIH-MING HO, PhD Ben Rich-Lockheed Martin Professor Mechanical and Aerospace Engineering Department Dr GANG CHEN Mechanical and Aerospace Engineering Department Prof. Harold G. MONBOUQUETTE, PhD Chemical Engineering Department Prof. Jack W. JUDY Electrical Engineering Department Abeer ALWAN Bioengineering Prof. Greg POTTIE Electrical Engineering Department Prof. Lieven VANDENBERGHE Electrical Engineering Department

Westwood Village Los Angeles, CA 90024


Andersen Graduate School of Management, University of California, Los Angeles

Prof. John MAMER Former Dean Prof. Bruce MILLER


Roundtable Discussion on Engineering and Management Curriculum (2 October 2000)

Dr Henry BORENSTEIN, Honeywell Dr F. ISSACCI, Honeywell Dr Ray HAYNES, TRW Dr Richard CROXALL, TRW Dr Steven BOULEY, Boeing Dr Derek CHEUNG, Rockwell


University of Maryland

Prof. Howard FRANK Dean, The Robert H. Smith School of Business Prof. Lemma W. SENBERT Chair, Finance Department Prof. Haluk UNAL Associate Professor of Finance

Van Munching Hall College Park, Maryland 20742-1815

Index

ABN-AMRO 221, 321, 329 Accountability 38, 134, 148, 319

personal 127, 149 Accounting 83 Accounting reconciliation 105 Accounting rules 63 Accounting standards 315 Accounting Standards Board (ASB) 89,

167 Accounting standards, heterogeneity of 55 Accounting system 14 Administrative controls 18, 19 Adverse report 326 Agency costs 87, 88 Agency theory 87 Agents 15. 21, 206, 230, 268, 306 Alvey 264 American Institute of Certified Public

Accounts (AICPA) 28, 51 Ameritech 321 A posteriori analysis 169-71 A priori analysis 169-71 Architectural study 296 Arthur Andersen 196,321 Asian Tigers 153 Asset management function 161 Assets and liabilities management 232, 233 Alherton v. Anderson Case 135 Audit Committee 11, 16, 18, 19, 21, 24. 26,

82, 136, 163, 171, 317, 321 Audit function 3 Audit reports 8 Audit, follow-up 8 Auditing 3-9, 18-27, 83, 84, 100, 103,

129, 134, 174, 238, 241, 244, 253, 254, 270, 282, 301, 312

computer-based 269, 311 Auditing Practices Board 32 Auditing procedures 9 Auditing programme 7, 15, 20 Auditing reports, integration of 23 Auditing responsibilities 85 Auditing services, value-based, need

for 18 Auditors 7-14, 18, 20, 84, 94, 96, 99, 208,

270, 300, 311, 313

external 4, 11, 12, 16, 25, 58, 74, 76, 86, 87, 135, 136, 179, 314-20, 323, 325-8, 330

internal 3, 4, 9-12, 16, 23, 25, 33. 58, 76, 95, 136, 179, 221, 236, 245, 319

Audits, risk-based 95, 96, 99-104 Austrian Banking Act 60 Austrian National Bank 60, 329

Back office 13 Bailey, F. Lee 107 Balance sheet 298

virtual 57 Banc One 247 Banca Commerciale Italiana 157 Banca di Roma 157 Bank Administration Institute (BAI) 11 Bank Indonesia 9 Bank J. Vontobel 44. 60 Bank Leu 44, 95, 172-4, 179 Bank of England 24, 88, 90, 208, 232 Bank of Italy 64, 325 Bank of New England 175 Bankers Trust 149, 233, 247, 296 Banque de France 163, 169 Barclays Bank 34, 183, 290, 298 Barings 31. 77, 124, 139, 190. 202, 334.

335 Barings risk 80 Basle Committee on Banking Supervision

18, 24, 25. 28, 48, 52, 80, 93, 127, 180, 182. 184, 235, 316, 318

Batch processing 305 Bayerische Landesbank 40 BCCI 334 Beers, David 319 Behaviour patterns 198 Benchmark ratios 50 Benchmarks 219, 258 BIS 2 4 , 3 1 , 2 9 3 Boeing 147 Borelll Frank J. 24 Borodovski, Lev 34 Brick and click 299 British Take-over Panel 74

359

360 Index

Britton, Richard 298, 328 Borkers profitability 145 Brown, Alan 183 Buffett, Warren 168 Burger, Peter 322

CAD/CAM system, dynamics of 268 Caouette, John 31 Capital, adequacy of 76, 162 Capital at risk (CAR) 249, 258 Capital preservation 220 Capital requirements, minimum 123, 124.

180, 209 Cariplo 157 Carnegie, Andrew 133 Cash flow 220 Cash flow estimates 93 Cash flows, future 91, 92, 95 Central banks 25, 26, 208, 317 Certified Public Accountants (CPA) 3. 85,

86, 236, 319-26, 334 Chartered accountants 315 Chase Manhattan 247, 286, 288 Chi-square distribution 242 Chief auditor 150 Chief credit officer 127 Chief risk management officer (CRMO)

127, 199, 207 Cicero's six evidentiary questions 109 Cisco Systems 24 Citibank 288 Classification system 294 Client profitability 145 Cognitive dissonance 12 Collateralized Mortgage Applications 118 Commercial risk 194, 195 Commerzbank 222, 296, 322 Commission Bancaire 163-5, 169, 170,

323 Committee of Sponsoring Organizations

(COSO) 21, 22, 28, 34, 53, 75, 76 Commodities Futures Trading Commission

(CFTC) 76 Compaq 92 Compliance 105, 172, 173 Compliance officer 299 Computer-aided design 265 Computer literacy 142 Confidence intervals 93, 237, 331 Confidentiality 229 Contingency planning 334 Control chart 287 Control environment 15, 16, 35, 36, 43

Control limits 119, 120 Coopers & Lybrand 334, 335 Costing system, internal 244 Coune, Alain 35 Counterparties, rating of 235 Counterparty limits 213, 235, 240 Counterparty risk, intraday 227 Counterparty risk premium 238, 242,

244 Creative accounting 63, 74, 77, 156, 157 Credit derivatives 163 Credit institution, core functions of 160,

161 Credit limits 221, 231, 238 Credit Lyonnais 156, 191 Credit rating agencies 319 Credit ratings 162 Credit risk 44, 50, 124, 125, 139, 163, 179,

180, 215, 217, 260 Credit risk manager 299 Credit Suisse 63, 216 Credit Suisse First Boston (CSFB) 34, 150,

151 Creditanstalt 222, 225 Credits 110 Creditworthiness 183 Cross-risk 204 Currency exchange risk 204, 219, 258 Currency volatility 258 Cyber Dialogue 299 Cypress Semiconductor 256

Dai-Ichi Kangyo Bank 227 Daiwa Bank 40 Data analysis 115 Data collation 114-16 Data collection plan 114, 116 Data entry 311 Database mining 310 Databases 101, 114, 289 Datamining 114, 129, 206, 230, 310 Davis, Brandon 34 Default probabilities 237, 242 Dell 293 Deloitte & Touche 334 Delphi method 331 Demerits 273 Demodulation 247 Derivatives, leveraging 34, 77, 119, 149,

176, 193, 237, 240, 249 Design reviews 263, 281, 282 Deutsche Bank 196 Deutsche Bundesbank 31.328

Index 361

Deutsches Aktieninstitut 318 Development time 278 Digital signal processing (DSP) 269 Discipline barriers 271 Diversification 250, 252, 253 Dobson, Jonathan 157 Double entry accounting 119 Drucker, Peter 231 Duke Group 334 Duration risk 219

Edward Jones 187-90, 192 Efficient frontier analysis 254 Eigenmodels 217, 322

certification of 321 Electronic banking 299 Emerging markets 77, 78 Equity trading, limits for 254 Equity volatility 257, 258 Ernst & Whinney 334 Ernst & Young 334 Esprit 264 E*Trade 301 European Central Bank (ECB) 26, 28, 52,

176, 229, 327 European Monetary Institute (EMI) 52,

229, 230 Expert systems 15, 20, 21 ,217 , 230 Exposure 118 Exposure, commercial 194 Exposure, management of 214 Exposure, unwarranted 153 External ratings 162

Federal Deposit Insurance Corporation (FDIC) 21, 35, 135, 136, 176, 204

Federal Deposit Insurance Coiporation Improvement Act (FDICIA) 135

Federal Housing Finance Board 323 Federal Reserve Bank of Boston 75, 76,

136, 308 Federal Reserve Banks 328 Federal Reserve Board 9, 22, 26, 31, 308,

310, 324, 328-31, 333 FedEx 294 Ficken, Ann 187 91 Fifth Generation Computer Project 263 Financial Accounting Standards Board

(FASB) 21, 88, 89, 91, 178 Financial control 98 Financial institutions, global supervision

of 55

Financial Institutions Reform, Recovery and Enforcement Act (FIRREA) 135

Financial instruments 34, 303, 306 Financial reporting 63, 75

reliable 126 Financial risk 194 Fininvest 156, 157 First-order risks 216 First Republic Bank 176 Foreign Corrupt Practices Act (FCPA) 135 Framework 7, 8, 14 Frauchiger, Heinz 60 Fraud prevention and detection measures

101 Front desk 13 FSA 190 ,298 ,328

GE Capital 118, 200, 202 General Accounting Office (GAO) 76 General Electric 227, 281, 286 General Electric-Bull 278 General Motors 142 Generally Accepted Accounting Principles

(GAAP), Italian 64, 65-73 Generally Accepted Accounting Principles

(GAAP), US 58, 60, 64, 65-83 German Banking Act 222 German Federal Banking Supervision

Bureau 54, 238 Giga instructions per second (GIPS) 290 Gilbreth, F.B. 199 Globalization 54, 78, 80, 89 Grande, Mauro 327 Grant, James 156 Grant, Jonathan E.C. 32 Green, Gene 31 Griep, Clifford 33 Gronstedt, Lars O. 44 Group of Ten (G-10) 314 Group of Thirty (G-30) 55, 304. 305 Guarantee Trust 213 Guinness scandal 74 Gyllensward, Bernt 35, 329

Hampel Report 315 Handelsbanken 44 Hedge funds 247 High technology 15, 233, 294, 298 Hinko, Susan 307 Holmes, Oliver Wendell 336

362 Index

IAPC 316 IBCA 162 IBM 322 Impaired assets 94 Impaired loss 93 Impairment of assets 88 Income Statement 89 Information 28, 49, 103, 104

mission critical 311 on-line real-time handling of 122

Information system, interactive 298 Information technology 154, 207, 208,

293-6, 299, 301, 303, 308, 309 Information technology, re-architecturing

305 Inspection, on-the-spot 198 Institute of Internal Auditors (IIA) 11, 28,

53, 63, 188 Interactive computational finance 117, 119,

289 Interactive presentation 117 Interbank settlement system 293 Interest rate risk 258 Intel 262 Internal accounting control 56 Internal audit 12 Internal audit, traditional-type 19 Internal auditing 5 Internal auditing, director of 20 Internal auditing department, goals of 20 Internal auditing outsourcing 330, 334 Internal control environment, adequate

314 Internal control framework 221 Internal control functions 40, 60, 152 Internal control information, meaningful

305 Internal control intelligence 4, 28, 37, 56,

58, 114, 116, 119, 123-6, 150, 155,237, 269, 303, 318

Internal control processes 192 Internal control solution, rigorous 43, 44 Internal controls 5, 9, 11, 16, 28-36, 40,

42, 44, 45, 47, 51, 55, 56, 59, 60, 63, 65, 76, 77, 91, 94, 105, 114, 133, 134, 140, 141, 148, 152, 157, 159, 160, 174, 177, 193, 196, 198, 200, 206, 220, 228, 229, 231, 245, 252, 265, 266, 270, 277, 278, 288, 289, 296, 299, 304, 317, 318, 321, 322

Internal controls audit 106 Internal controls, auditing of 44, 187, 315 Internal controls, classical type of 56 Internal controls, definition of 30, 31

Internal controls, dependability of 42 Internal controls, effectiveness of 34, 207 Internal controls, global 55, 62 Internal controls, globalization of 58 Internal controls, on-site review of 39 Internal controls plans 192 Internal controls structure, understanding

the 96 Internal controls system 29, 36, 43, 54,

105-7, 110, 135, 152, 153, 185-9, 196, 227, 315, 318

Internal management information requirements 299

Internal margin calls, system of 203, 204 International Accounting Standards

Committee (IASC) 64 International Derivatives Dealers Association

(ISDA) 307 International Monetary Fund (IMF) 35,

91 International Organization for Securities

Commissions (IOSCO) 32, 184 Internet 292 Internet time 301 Intrinsic value 88 IT auditing 303

Jacoby, Neil 183 J.P. Morgan 117. 213, 247 Jardine Fleming Investment Management

157 Job descriptions 43 Junk bonds 147

Keynes, Maynard 226 Kidder Peabody 118 Knowledge 28 Knowledge artefacts, intelligent 41, 101,

252, 290 Knowledge engineers 263 Knowledge exchange 62 Knowledge integration 63

Leeson, Nick 335 Lending limits 213 Leveraging 193 Limit management procedure, interactive

237 Limits 121, 213, 214, 220, 225, 227, 235,

236, 250 control of 257

Index 363

prudential 225, 260 system of 221

Liquidity 217 Liquidity limits 25 Lloyd's of London 334 Loan and trading limits 238 Loans, securitization of 232 Long-Term Capital Management 183, 195,

^202, 246 Loss recognition 91 Lucent Technologies 256

Management control 149, 193, 176 Management information 311 Management intent 9, 176, 177, 178 Management, quality of 304 Manager of internal auditing 331 Manufacturers Hanover Trust 227 Market discipline 182 Market risk 44. 50, 123, 124, 139, 215,

217, 260 Market Risk Amendment 93, 117, 119.

162, 309, 318 Market risk limits 249 Market risk management 124, 229 Market volatility 217 Marking-to-market 310 Marsh & McLennan 24 Marshall, George 99 MBIA Insurance Corp 32 MCC 264 McDonough. William 308 Measurement reports 190, 280 MeesPierson 246 Memorandum of Understanding (MOU) 54 Merits and demerits, system of 288 Menill Lynch 215 Microsoft 262 Ministry of International Trade and Industry

(MITI), Japan 264 Mispricing 194 Models 87, 104, 166, 167, 168, 306 Monetization of risk 121 Money supply, estimation of 93, 94 Monnet, Jean 273 Monte Carlo model 59 Moody's 162

Morgan Grenfell 195, 196, 202 Morgan, Pierpont 213

NASDAQ 148, 260, 292, 293 National Association of Securities Dealers

(NASD) 25

National Westminster Bank 40, 202 Nat West Markets 195 Net cash flow 94 Net portfolio value (NPVR) 137-9 Net present value accounting 121, 259 Networks, intelligent 289 New Capital Adequacy Framework 48,

123, 162. 180. 182, 235, 237 New York Fed 246 New York Stock Exchange (NYSE) 25,

260 Newton, Sir Isaac 3, 177 Nordbanken 185, 191 Normal distribution 167, 241 Novartis 256

Off-balance sheet financial instruments 118

Off-balance sheet risk control 81 Office of the Comptroller of the Currency

(OCC) 31. 95 ,96 , 101. 102, 136 Office of Thrift Supervision (OTS) 35. 58,

59, 136, 137, 169, 322, 323 Ohms, Martin 60 On-balance sheet and off-balance sheet,

integration of 89 On-line banking 300 On-line banking services 299 On-line brokerages 301 Operational risk, new capital requirements

for 321 Operational risks 47 -51 , 123, 124, 139,

189, 225, 242 Orange County 31 Organizational responsibilities 62 Out-of-control patterns 82 Outsourcing 327-9, 330, 331, 333 Over-the-counter transactions 217

Paciolo, Luca 119, 166 PaineWebber 118 Pareto's Law 227 Pattern analysis 202 Pattern of statistics 150 Pattern presentation 298 Patterns 202 Peat Marwick Thome 334 Peregrine Investments 334 Performance reviews 103 Peters, Hans-Dietrich 31, 328 Pipeline risk 256 Plan v. actual evaluations 219

364 Index

Polish Securities Commission 35 Preventive control 82 Price Waterhouse 334 Pricing 173 Procter and Gamble 149 Product certification 98 Product review 144 Project leader 281 Prototype 276, 277 Prototyping 277, 282 Public accountants, independent 23

Quality assurance (QA) 96, 103, 284, 288 Quality control charts 333 Qualified report 325, 326 Quantum Fund 247

Risk management group 60, 190 Risk management models 217 Risk of maximum exposure 163 Risk premiums 237, 241, 242, 245 Risk profile 145, 204 Risk, systemic 55, 76 Risk tolerance 96, 215, 246 Risk variables 222 Risks 134 Robinson, David L. 31, 34 Rockefeller, David 142, 143 Rockefeller, John D. 142, 143 Rocket scientists 193 Roosevelt, Franklin D. 275 Rothschild, Carl Mayer von 90 Royal Bank of Canada 273 Rules and regulations, internal 333 Ryan, Edward A. 31, 309

Scenario analysis 220 Schwab 301 SEC in Boston 309, 310 Second-order risks 216 Securities and Exchange Commission

(SEC) 21, 25, 31, 32, 76, 85, 86, 136, 308, 321, 329

Securum 185, 187, 191 Senior management accountability 149 Senior management responsibilities 157 SFAS 121 88,91, 92,94 SFAS 133 178 SFAS 138 178 Shaffer, Oren G. 321 Share manipulation 75 Simplification 121, 122 Simulation 166, 203 Simulation models 215 Sivy, Claude 31 Six Sigma 200, 202 Sixth Circuit Court of Appeals 135 SK Securities 183 Skandinaviska Enskilda Banken 35, 221,

329 Smith, Frederick W. Smith 294 Softbank 157 Software 15 Software prototypes 277 Sollazzo, Robert A. 31, 308, 309 Soros, George 247 Staffing plans 100 Stakeholders 87, 134 Standard deviations 167, 228 Standard Oil 142

Racketeer Influenced and Corrupt Act (RICO) 135

Ratings 237 Real-enough time, reporting 117 Real-time 310 Real-time analysis 98 Real-time data streams 216 Real-time feedback 57 Real-time framework 56 Real-time reporting 82 Real-time system 112 Real-time tools 18 Regulators 16, 54, 170, 171, 299, 320 Regulatory agencies 314 Regulatory authorities 55, 58 Regulatory control 86 Regulatory differences 189 Reliability 207 Reporting, interactive 299 Repositioning 233 Reputational risk 183 Reserve requirements 181 Responsibility 148 Retail banks 301 Risk analysis, quantitative and qualitative 44 Risk appetite 246 Risk assessment process 149 Risk control 240, 260 Risk correlation 122, 252 Risk council 139 Risk exposures, prudent limits on 214 Risk factors 273 Risk management 95, 105, 173, 193, 199,

207, 216, 260 global 62

Index 365

Standard & Poor's 33, 162, 319 Standard reporting methodology 322 State Street Bank 57, 207, 298 Statement of Financial Accounting Standards

(SFAS) 21, 88, 106 Statement of Total Recognized Gains and

Losses (STRGL) 89 Statistical inference 150 Statistical process control 98 Statistical quality control 98 Statistical quality control (SQC) charts 15,

19, 100, 179, 200, 201, 257 Statistics 199

intraday 200, 206 Stelmach, Beata 35 Stier, Timothy 35, 59, 60, 323 Stress scenario 222 Stress testing 220 Sumitomo Corporation 77 Sun Microsystems 262 Superleveraging 192 Supervisory authorities 125, 154, 308, 328 Supervisory standards, lack of universal 54 Swiss Federal Banking Commission 225,

323, 328 System of demerits, internal 129 System risk 137

Taylor, Frederick Winslow 199 Technology 15 Third International Symposium on Risk

Management 190 Threat curves 78-82, 250 Thresholds 331 Tiger Management 253 Time-to-market 141, 264 Tolerance limits 119, 120 Tolerances 96 Tool barriers 271 Total quality management 284 Toxic waste 121 Trading book 89 Trading book portfolio 217 Trading limits 221 Transaction trail 312 Transborder collaboration 58 Transborder operations 189

Transfer agent 85, 86 Transparency 182, 183, 187, 206 Treadway Commission 18, 21, 22, 23 Treadway, James C. 21 Treasury information 293 Tricontinental Coiporation 334 Tripartite Group of Bank, Securities and

Insurance Regulators 62 Truman, Harry 128

Union Bank of Switzerland 40 University of California 20, 63, 183, 192,

196, 213, 241 Unqualified report 325, 326 US Federal Securities Laws 85

Value-at-risk (VAR) 117, 174, 225, 228 Value-at-risk measures 220 VAR limits 221, 222 Verbeck, Guido 213 Verification 107 Virtual balance sheet 217 Volatility 217 Volatility smiles 78 Von Rosen, Riidiger 318 Vontobel Bank 174 Voth, Hans Werner 31, 238

Walton, Sam 266 Warburg, Siegmund G. 140 Wealth management 133 Welsh, John 286, 304 What-if hypotheses 59 White, Michael 177 Wiler&Wolf 195 Wong, Curtis 35 Woods, David 329 Worst case 259

Xerox 256

Zero exposure 192

Documents

Bibliography978-0-230-59786... · 2017. 8. 28. · 338 Bibliography IOSCO (1998) Methodologies for Determining Minimum Capital Standards for Internationally Active Securities Firms,