Risk Management and Shareholders Value in Banking :From Risk Measurement Models to Capital Allocation Policies ( The Wiley Finance Series )

Publication subTitle :From Risk Measurement Models to Capital Allocation Policies

Publication series :The Wiley Finance Series

Author: Andrea Sironi  

Publisher: John Wiley & Sons Inc‎

Publication year: 2007

E-ISBN: 9780470510735

P-ISBN(Hardback):  9780470029787

Subject: F830 Financial, banking theory

Language: ENG

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Description

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

Chapter

Contents

pp.:  1 – 9

Foreword

pp.:  9 – 21

PART I INTEREST RATE RISK

pp.:  23 – 29

PART II MARKET RISKS

pp.:  29 – 131

PART III CREDIT RISK

pp.:  131 – 303

PART IV OPERATIONAL RISK

pp.:  303 – 533

PART V REGULATORY CAPITAL REQUIREMENTS

pp.:  533 – 571

PART VI CAPITAL MANAGEMENT AND VALUE CREATION

pp.:  571 – 679

Bibliography

pp.:  679 – 787

Index

pp.:  787 – 799

LastPages

pp.:  799 – 810

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