Value at Risk and Bank Capital Management: Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making

Přední strana obálky
Elsevier, 26. 7. 2010 - Počet stran: 280

Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation.

The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation.

The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes.

This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management.

  • Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books
  • Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation
  • Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe
 

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Obsah

Value at Risk Capital Management and Capital Allocation
1
What Is Capital Management?
7
Market Risk
25
Credit Risk
67
Operational Risk and Business Risk
115
Risk Capital Aggregation
145
Value at Risk and Risk Control for Market and Credit Risk
169
RiskAdjusted Performance Measurement
195
RiskAdjusted Performance Targets Capital Allocation and the Budgeting Process
217
Final Remarks
237
Selected Free Risk ManagementRelated Websites
239
References
245
Index
255
Autorská práva

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Oblíbené pasáže

Strana 14 - Pillar 2 supervision, specifically a process for assessing their overall capital adequacy in relation to their risk profile and a strategy for maintaining their capital levels.

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