Risk Management Measures in Banks and Financial Institutions

This report discusses the various risk management measures used by banks and financial institutions, including reserve requirements, duration gap management, value at risk, expected shortfall, and the effectiveness of Basel III framework. It also quantifies the implication of new purchases on reserve requirements and discusses the use of duration gap management as an interest risk management tool. The report concludes with a discussion of the differences between value at risk and expected shortfall and their weaknesses.