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 the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value.
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Main Authors: | |
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Corporate Authors: | |
Group Author: | |
Published: |
Wiley,
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Publisher Address: | Chichester, West Sussex [England] ; Hoboken, NJ : |
Publication Dates: | 2007. |
Literature type: | eBook |
Language: | English |
Subjects: | |
Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9781118371886 |
Summary: |
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. |
Carrier Form: | 1 online resource (xxv, 782 pages) : illustrations |
Bibliography: | Includes bibliographical references pages 759-770 and index. |
ISBN: |
9781118371886 1118371887 9780470510735 0470510730 |
Index Number: | HG1615 |
CLC: | F830.2 |
Contents: |
Risk Management and Shareholders' Value in Banking; Contents; Foreword; Motivation and Scope of this Book: A Quick Guided Tour; PART I INTEREST RATE RISK; Introduction to Part I; 1 The Repricing Gap Model; 2 The Duration Gap Model; 3 Models Based on Cash-Flow Mapping; 4 Internal Transfer Rates; PART II MARKET RISKS; Introduction to Part II; 5 The Variance-Covariance Approach; 6 Volatility Estimation Models; 7 Simulation Models; 8 Evaluating VaR Models; 9 VaR Models: Summary, Applications and Limitations; PART III CREDIT RISK; Introduction to Part III; 10 Credit-Scoring Models. 11 Capital Market Models12 LGD and Recovery Risk; 13 Rating Systems; 14 Portfolio Models; 15 Some Applications of Credit Risk Measurement Models; 16 Counterparty Risk on OTC Derivatives; PART IV OPERATIONAL RISK; Introduction to Part IV; 17 Operational Risk: Definition, Measurement and Management; PART V REGULATORY CAPITAL REQUIREMENTS; Introduction to Part V; 18 The 1988 Capital Accord; 19 The Capital Requirements for Market Risks; 20 The Ne. |