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RISK MANAGEMENT AND SHAREHOLDERS` VALUE IN BANKING: FROM RISK MEASUREMENT MODELS TO CAPITAL ALLOCATION POLICIES

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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

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Availability

10000664

332.10681 RES r

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

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Statement of Responsibility

Andrea Resti

Call Number

332.10681 RES r

Publisher

Chicester : John Wiley & Sons., 2007

Collation

xxv, 782 p. : ill ; 25cm.

Language

English

ISBN/ISSN

978-0-470-02978-7

Classification

332.10681

Content Type

-

Edition

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Subject(s)

Buku Umum
Risk Management
Banking

Specific Detail Info

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