(H/B) RISK MANAGEMENT AND SHAREHOLDERS' VALUE IN BANKING

Παρουσίαση

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. (From the publisher)

Περιεχόμενα

Foreword.
Motivation and Scope of this Book: A Quick Guided Tour.
PART I INTEREST RATE RISK.
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.
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.
10 Credit-Scoring Models.
11 Capital Market Models.
12 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.
17 Operational Risk: Definition, Measurement and Management.
PART V REGULATORY CAPITAL REQUIREMENTS.
18 The 1988 Capital Accord.
19 The Capital Requirements for Market Risks.
20 The New Basel Accord.
21 Capital Requirements on Operational Risk.
PART VI CAPITAL MANAGEMENT AND VALUE CREATION.
22 Capital Management.
23 Capital Allocation.
24 Cost of Capital and Value Creation.
Bibliography.
Index.