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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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Bibliographic Details
Main Authors: Sironi, Andrea
Corporate Authors: Wiley InterScience Online service
Group Author: Resti, Andrea
Published: Wiley,
Publisher Address: Chichester, West Sussex [England] ; Hoboken, NJ :
Publication Dates: 2007.
Literature type: eBook
Language: English
Subjects:
Asset-liability management
Bank management
Banks and banking > Valuation
Financial institutions > Valuation
Risk management
Electronic books
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.

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