|
|
 |
|
Viewing report
|
|
|
|
Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies
John Wiley and Sons Ltd, April 2007, Pages: 808
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, Credit risk+, Credit metrics and much more
-formulate for risk-adjusted loan pricing and risk-adjusted performance measurement
-a complete, up-to-date introduction to Basel II
-focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics.
Author Information
ANDREA SIRONI, formerly with Chase Manhattan Bank in London, 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 Bocconi University (Milan) and a member of the Fitch Academic Advisory Board.
ANDREA RESTI, formerly an officer at one of Italy’s largest banks, has worked on Basel II issues for the Centre for European Policy Studies (Brussels). A consultant to several major banks, as well as to the Bank of Italy, he has held courses on credit risk for GARP and PRMIA.
The two Andreas are both professors of Financial Markets and Institutions at Bocconi and have been teaching banking and finance for more than 15 years. Their publications comprise many articles in major international academic journals, as well as several risk management and banking textbooks, including a best-selling title on recovery risk.
Product samples
A sample for this product is available. Please Login/Register to download this sample.
Customers who bought this item also bought
Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis
Internal Credit Risk Models - Capital Allocation and Performance Measurement
VAR: Understanding and Applying Value-at-Risk
Valuing a Bank Under IAS/IFRS and Basel II
An Introduction to Economic Capital
Credit Risk Management and Basel II: An Implementation Guide
Advanced Analytical Models: Over 800 Models and 300 Applications from the Basel II Accord to Wall Street and Beyond
Credit Ratings: Methodologies, Rationale and Default Risk
Market Risk Analysis: Volume IV: Value at Risk Models
Computer Assisted Exercises and Training: A Reference Guide
The Basel Handbook (2nd edition)
E-Learning Course: Value at Risk (VAR)
|
|
|
|
