The Management of Risks in Banking

J.N. Allan, Philip Booth, R.J. Verrall and D.E.P. Walsh

British Actuarial Journal, 1998, vol. 4, issue 4, 707-802

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.

Date: 1998
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