Risk Management And Shareholders' Value In Banking
Andrea Sironi
- 04 april 2007
- 9780470029787
Samenvatting:
Risk Management and Shareholders' Value in Banking covers all main aspects of risk management, capital management and value creation for financial institutions; it is structured in six parts. Part One covers the measurement and management of the interest rate risk on all assets and liabilities of a banking institution.
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.
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 with special emphasis on Basel II, its economic foundations and managerial implications. PartVI 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 coverage of:
- Value at Risk, Monte Carlo models, Creditrisk+ and Creditmetrics
- formulae for risk-adjusted loan pricing and risk-adjusted performance measurement
- extensive, hands-on Excel examples are provided on the companion website 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
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 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