Data Science in Economics and Finance for Decision Makers

Data Science in Economics and Finance for Decision Makers

Managing Systemic Exposure


This book, edited by SIFIs expert Federico Galizia, outlines the evolution of the key wholesale markets on which SIFIs operate and the new regulations affecting those markets. It provides practical advice on managing concentration, maturity and counterparty risk in money, foreign exchange, derivative and credit markets.  The contributors outline key procedures that the largest banks should have in place in order to ensure that their business model is resilient under a new risk management paradigm.

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Gain an understanding of specific issues that will make or break a systemic bank over the next few years. This book will guide you in the setting of risk sensitive limits and pricing across your SIFI exposures and the specific economic capital implications of doing business on the wholesale markets will be quantified.

Systemically important financial institutions (SIFIs) have become the focus of legislation and regulatory reform due to issues concerning their consolidated supervision and regulation following the recent financial crisis.  Until the crisis, exposures to systemic entities had been assumed to be largely risk free and wholesale financial markets thrived on large volumes of bilateral activity among the main institutions. This system broke down back in 2007-08 and these institutions have become more reluctant to deal with each other.

More Information
ISBN 9781782720102
Navision code MSIF
Publication date 14 Aug 2013
Size 155mm x 235mm
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Federico Galizia

Federico Galizia

Federico Galizia is head of risk and portfolio management at the European Investment Fund, a multilateral development finance institution.  Previous engagements include the International Monetary Fund, where he led a team monitoring systemic banks during the crisis, and the European Investment Bank as the adviser to the president.  Federico has contributed to MBA teaching and academic publications, designed financial instruments for policy purposes and developed an array of rating and portfolio management methodologies.  He holds a PhD in economics from Yale University and started his business career with McKinsey.

1. SIFIs and the Financial Crisis
John T. Gerlach
Sacred Heart University

2. Remuneration at Large Financial Services Firms
Mark Carey
Federal Reserve Board

3. What Drives Banking Industry Ratings? An Empirical Analysis
Claudio Calì, Barbara Marchitto; Andrea Resti
European Investment Bank; Bocconi University

4. Leverage: A Research Agenda for SIFIs
Jorge A. Chan-Lau, André O. Santos, Liliana Schumacher,
Karim Youssef, Luisa Zanforlin; Federico Galizia
International Monetary Fund; European Investment Fund

5. Bank Off-balance-sheet Leverage: Some Lessons from the Financial Crisis
Nikolaos I. Papanikolaou
University of Luxembourg

6. Systemic Wrong-way Risk
Michael Pykhtin and Alexander Sokol
Federal Reserve Board and CompatibL

7. The OTC Derivatives Market: Risks and Regulations
Manmohan Singh

8. Balance Sheet Management for SIFIs
Andreas Bohn and Paolo Tonucci

9. Managing Concentration Risk
Federico Galizia
European Investment Fund

10. Capital Adequacy Ratio: A Managerial Framework
J. M. Magnette
European Investment Bank

Appendix: G-SIB Regulatory and Supervisory Regime
Andrea Cremonino