Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies

Přední strana obálky
John 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
 

Vybrané stránky

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
39
759
Index
771
Autorská práva

Další vydání - Zobrazit všechny

Běžně se vyskytující výrazy a sousloví

O autorovi (2007)

ANDREA RESTI, formerly an officer at one of Italy's largest banks, has worked on Basel II issues for the Centre for European Policy Studies (Brussels). A consultant to several major banks, as well as to the Bank of Italy, he has held courses on credit risk for GARP and PRMIA.

ANDREA SIRONI, formerly with Chase Manhattan Bank in London, has been a visiting scholar at the Stern School of Business (NYU) and at the Federal Reserve Board of Governors (Washington). He is currently Dean for International Affairs at Bocconi University (Milan) and a member of the Fitch Academic Advisory Board.

The authors are both professors of Financial Markets and Institutions at Bocconi and have been teaching banking and finance for more than 15 years. Their publications comprise many articles in major international academic journals, as well as several risk management and banking textbooks, including a best-selling title on recovery risk.

Bibliografické údaje