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.

Bibliographic Details
Main Author:	Resti, Andrea
Other Authors:	Sironi, Andrea
Format:	eBook
Language:	English
Language Notes:	English.
Published:	Chichester, England ; Hoboken, NJ : Wiley, ©2007.
Subjects:	Asset-liability management. Bank management. Banks and banking > Valuation. Financial institutions > Valuation. Risk management. Electronic books.
Online Access:	Connect to the full text of this electronic book

Table of 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.