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Risk Management and Shareholders′ Value in Banking – From Risk Measurement Models to Capital Allocation Policies

A Sironi (Autor)

Software / Digital Media
808 Seiten
2015
John Wiley & Sons Inc (Hersteller)
978-1-118-37188-6 (ISBN)
104,48 inkl. MwSt
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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

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. 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. The two Andreas 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.

Erscheint lt. Verlag 21.8.2015
Verlagsort New York
Sprache englisch
Maße 150 x 250 mm
Gewicht 666 g
Themenwelt Wirtschaft Betriebswirtschaft / Management Allgemeines / Lexika
Wirtschaft Betriebswirtschaft / Management Finanzierung
Betriebswirtschaft / Management Spezielle Betriebswirtschaftslehre Bankbetriebslehre
Betriebswirtschaft / Management Spezielle Betriebswirtschaftslehre Versicherungsbetriebslehre
ISBN-10 1-118-37188-7 / 1118371887
ISBN-13 978-1-118-37188-6 / 9781118371886
Zustand Neuware
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