Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation PoliciesJohn Wiley & Sons, 21. 5. 2007 - Počet stran: 816 This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes: * Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more * formulae for risk-adjusted loan pricing and risk-adjusted performance measurement * extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv * a complete, up-to-date introduction to Basel II * focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics |
Obsah
Foreword | xix |
The Repricing Gap Model | 9 |
Appendix | 32 |
xix | 49 |
1 | 57 |
Internal Transfer Rates | 77 |
PART II | 125 |
Volatility Estimation Models | 163 |
Portfolio Models | 401 |
15 | 451 |
Counterparty Risk on OTC Derivatives | 473 |
OPERATIONAL RISK | 505 |
Definition Measurement and Management | 511 |
REGULATORY CAPITAL REQUIREMENTS | 545 |
Appendix 18A The Basel Committee | 563 |
19 | 565 |
Simulation Models | 185 |
The VarianceCovariance Approach | 195 |
Evaluating VaR Models | 225 |
9 | 251 |
12 | 264 |
CREDIT RISK | 275 |
CreditScoring Models | 287 |
Discriminant Analysis | 311 |
LGD and Recovery Risk | 345 |
Rating Systems | 369 |
Selected Questions and Exercises | 585 |
20 | 591 |
Capital Requirements on Operational Risk | 633 |
CAPITAL MANAGEMENT AND VALUE CREATION | 651 |
23 | 693 |
24 | 735 |
28 | 753 |
759 | |
771 | |
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Risk Management and Shareholders' Value in Banking: From Risk Measurement ... Andrea Sironi,Andrea Resti Zobrazení fragmentů - 2007 |
Risk Management and Shareholders' Value in Banking: From Risk Measurement ... Andrea Sironi,Andrea Resti Náhled není k dispozici. - 2007 |
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