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

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Wiley, 21. 5. 2007 - Počet stran: 808
This book presents an integrated framework for risk measurement,capital management and value creation in banks. Moving from themeasurement of the risks facing a bank, it defines criteria andrules to support a corporate policy aimed at maximizingshareholders' value.

Parts I - IV discuss different risk types (including interest rate,market, credit and operational risk) and how to assess the amountof capital they absorb by means of up-to-date, robustrisk-measurement models. Part V surveys regulatory capitalrequirements: 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 ofeconomic capital at risk needed by the bank, to fine-tune itscomposition, to allocate it to risk-taking units, to estimate the"fair" return expected by shareholders, to monitor the valuecreation process. Risk Management and Shareholders' Value inBanking includes:

* Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics andmuch more
* formulae for risk-adjusted loan pricing and risk-adjustedperformance measurement
* extensive, hands-on Excel examples are provided on the companionwebsite ahref="http://www.wiley.com/go/rmsv"www.wiley.com/go/rmsv/a
* a complete, up-to-date introduction to Basel II
* focus on capital allocation, Raroc, EVA, cost of capital andother value-creation metrics

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Introduction to Part I
The Repricing Gap Model
The Duration Gap Model
Autorská práva

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O autorovi (2007)

ANDREA RESTI, formerly an officer at one of Italy’slargest banks, has worked on Basel II issues for the Centre forEuropean Policy Studies (Brussels). A consultant to several majorbanks, as well as to the Bank of Italy, he has held courses oncredit risk for GARP and PRMIA.

ANDREA SIRONI, formerly with Chase Manhattan Bank inLondon, 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 BocconiUniversity (Milan) and a member of the Fitch Academic AdvisoryBoard. .

The authors are both professors of Financial Markets andInstitutions at Bocconi and have been teaching banking and financefor more than 15 years. Their publications comprise many articlesin major international academic journals, as well as several riskmanagement and banking textbooks, including a best-selling title onrecovery risk

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