Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies
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
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approach assets and liabilities assume average bank bank's Basel Committee bonds business units calculated capital allocation capital requirement cash flows Chapter coefficient companies computed confidence level considered contract correlation counterparty coupon credit derivatives credit risk curve debt default rates derivatives diversified duration gap economic capital equal equation equity estimate Euribor example expected loss exposure fact Figure function future given historical simulations increase indicates individual interest rate risk investment issuer loan marginal market rates market risk market value maturity million euros modified duration normal distribution operational risk option parameters portfolio positions possible probability distribution probability of default profits put option Raroc rating classes ratio recovery rates regulatory capital risk factors risk management risk measurement shareholders standard deviation swap Table Tier Tier 1 capital treasury type I error value at risk variables volatility yield to maturity zero zero-coupon