Risk Management and Shareholders' Value in Banking (eBook)

From Risk Measurement Models to Capital Allocation Policies

Andrea Sironi, Andrea Resti (Autoren)

eBook Download: PDF

2007 | 1. Auflage
808 Seiten
John Wiley & Sons (Verlag)
978-0-470-51073-5 (ISBN)

Infos

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 href="http://www.wiley.com/go/rmsv">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

Autor

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. 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. The authors 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.

Produkt-Details

• Erscheint lt. Verlag: 30.4.2007
• Reihe/Serie: Wiley Finance Series
• Reihe/Serie: Wiley Finance Series
• Sprache: englisch
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
• Schlagworte: Finance & Investments • Finanz- u. Anlagewesen • Institutional & Corporate Finance • Institutionelle Finanzplanung
• ISBN-10: 0-470-51073-0 / 0470510730
• ISBN-13: 978-0-470-51073-5 / 9780470510735