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Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies - Sironi, Andrea; Resti, Andrea
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Sironi, Andrea; Resti, Andrea:

Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies - hardcover

2007, ISBN: 0470029781

ID: 14097700899

[EAN: 9780470029787], Neubuch, [PU: Wiley], Business & Economics|Banks & Banking, Business & Economics|Decision-Making & Problem Solving, Business & Economics|Finance, Business & Economics|Insurance|Risk Assessment & Management, Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: 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. 1.1 Introduction. 1.2 The gap concept. 1.3 The maturity-adjusted gap. 1.4 Marginal and cumulative gaps. 1.5 The limitations of the repricing gap model. 1.6 Some possible solutions. 1.6.1 Non-uniform rate changes: the standardized gap. 1.6.2 Changes in rates of on-demand instruments. 1.6.3 Price and quantity interaction. 1.6.4 Effects on the value of assets and liabilities. Selected Questions and Exercises. Appendix 1A The Term Structure of Interest Rates. Appendix 1B Forward Rates. 2 The Duration Gap Model. 2.1 Introduction. 2.2 Towards mark-to-market accounting. 2.3 The duration of financial instruments. 2.3.1 Duration as a weighted average of maturities. 2.3.2 Duration as an indicator of sensitivity to interest rates charges. 2.3.3 The properties of duration. 2.4 Estimating the duration gap. 2.5 Problems of the duration gap model. Selected Questions and Exercises. Appendix 2A The Limits of Duration. 3 Models Based on Cash-Flow Mapping. 3.1 Introduction. 3.2 The objectives of cash-flow mapping and term structure. 3.3 Choosing the vertices of the term structure. 3.4 Techniques based on discrete intervals. 3.4.1 The duration intervals method. 3.4.2 The modified residual life method. 3.4.3 The Basel Committee method. 3.5 Clumping. 3.5.1 Structure of the methodology. 3.5.2 An example. 3.5.3 Clumping on the basis of price volatility. 3.6 Concluding comments. Selected Questions and Exercises. Appendix 3A Estimating the Zero-coupon Curve. 4 Internal Transfer Rates. 4.1 Introduction. 4.2 Building an ITR system: a simplified example. 4.3 Single and multiple ITRs. 4.4 Setting internal interest transfer rates. 4.4.1 ITRs for fixed-rate transactions. 4.4.2 ITRs for floating-rate transactions. 4.4.3 ITRs for transactions indexed at "non-market" rates. 4.5 ITRs for transactions with embedded options. 4.5.1 Option to convert from a fixed to a floating rate. 4.5.2 Floating rate loan subject to a cap. 4.5.3 Floating rate loan subject to a floor. 4.5.4 Floating rate loan subject to both a floor and a cap. 4.5.5 Option for early repayment. 4.6 Summary: the ideal features of an ITR system. Selected Questions and Exercises. Appendix 4A Derivative Contracts on Interest Rates. PART II MARKET RISKS. Introduction to Part II. 5 The Variance-Covariance Approach. 5.1 Introduction. 5.2 VaR derivation assuming normal return distribution. 5.2.1 A simplified example. 5.2.2 Confidence level selection. 5.2.3 Selection of the time horizon. 5.3 Sensitivity of portfolio positions to market factors. 5.3.1 A more general example. 5.3.2 Portfolio VaR. 5.3.3 Delta-normal and asset-normal approaches. 5.4 Mapping of risk positions. 5.4.1 Mapping of foreign currency bonds. 5.4.2 Mapping of forward currency positions. 5.4.3 Mapping of forward rate agreements. 5.4.4 Mapping of stock positions. 5.4.5 Mapping of bonds. 5.5 Summary of the variance-covariance approach and main limitations. 5.5.1 The normal distribution hypothesis. 5.5.2 Serial independence and stability of th

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Risk Management and Shareholders' Value in Banking - Sironi, Andrea; Resti, Andrea
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Sironi, Andrea; Resti, Andrea:

Risk Management and Shareholders' Value in Banking - new book

ISBN: 9780470029787

ID: 292582

I believe that this is the most comprehensive and instructive risk management book available today." - Edward I. Altman, Max L. Heine Professor of Finance, NYU Stern School of Business "This book sets out to fill a gap in the existing literature, providing a balanced treatment of quantitative methods of measuring key financial quantitative methods of measuring key financial risks, an up-to-date presentation of the regulatory framework and capital management issues at a technical level that is suitable yet does not overburden the reader." - Klaus Duellmann, Senior Economist, Deutsche Bundesbank "Andrea Sironi and Andrea Resti have written a very thoughtful book on the fundamental pillars of risk management, ranging from all aspects of asset and liability management to market risk, credit risk, and operational risk. The book develops particular emphasis on risk measurement, capital management, and value creation in banks and financial institutions on a sound and integrated framework. the presentation in the book is logical, systematic, and coherent. This makes the book very readable and accessible to a wide range of audience. More importantly, the book is pitched at a technical level that makes it readily accessible as a textbook or a book for self-study, something that is very lacking now in the financial industry. I have very high expectation for this book. Congratulations." - Michael K. Ong, Professor of Finance, Stuart School of Business, Illinois Institute of Technology "Professors Sironi and Resti have both done a great job in making risk measurement and capital management concepts and techniques within the financial industry truly accessible. this book leads the reader patiently from the building blocks of risk measurement to the complex task of optimizing the use of capital by financial intermediaries, taking into account both the maximization of shareholders' value and the constraints imposed by prudential regulations." - Giovanni Carosio, Deputy Director General Banca D'Italia Business Business eBook, Wiley

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Risk Management and Shareholders' Value in Banking - Andrea Sironi
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Andrea Sironi:
Risk Management and Shareholders' Value in Banking - new book

ISBN: 9780470029787

ID: 821362309

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 provided in the enclosed CD * a complete, up-to-date introduction to Basel II * focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics weltbild.at > Bücher > Wirtschaft & Recht > Fachbücher Wirtschaft, [PU: Wiley]

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Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies - Sironi, Andrea; Resti, Andrea
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Sironi, Andrea; Resti, Andrea:
Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies - hardcover

2007, ISBN: 0470029781

ID: 18291277107

[EAN: 9780470029787], Neubuch, [PU: Wiley], Business & Economics|Banks & Banking, Business & Economics|Decision-Making & Problem Solving, Business & Economics|Finance, Business & Economics|Insurance|Risk Assessment & Management

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Risk Management and Shareholders' Value in Banking - Andrea Sironi; Andrea Resti
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Andrea Sironi; Andrea Resti:
Risk Management and Shareholders' Value in Banking - hardcover

2007, ISBN: 9780470029787

ID: 7467725

Hardcover, Buch, [PU: John Wiley & Sons Ltd]

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Details of the book
Risk Management and Shareholders' Value in Banking
Author:

Sironi, Andrea; Resti, Andrea

Title:

Risk Management and Shareholders' Value in Banking

ISBN:

9780470029787

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 provided in the enclosed CD * a complete, up-to-date introduction to Basel II * focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics

Details of the book - Risk Management and Shareholders' Value in Banking


EAN (ISBN-13): 9780470029787
ISBN (ISBN-10): 0470029781
Hardcover
Paperback
Publishing year: 2007
Publisher: Wiley John + Sons
808 Pages
Weight: 1,480 kg
Language: eng/Englisch

Book in our database since 01.05.2007 17:25:41
Book found last time on 01.02.2017 21:29:57
ISBN/EAN: 9780470029787

ISBN - alternate spelling:
0-470-02978-1, 978-0-470-02978-7

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