Value at Risk and Bank Capital Management Book
Score: 5
From 1 Ratings

Value at Risk and Bank Capital Management


  • Author : Francesco Saita
  • Publisher : Elsevier
  • Release Date : 2010-07-26
  • Genre: Business & Economics
  • Pages : 280
  • ISBN 10 : 0080471064

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Value at Risk and Bank Capital Management Excerpt :

Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation. The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes. This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management. Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe

Value and Capital Management Book

Value and Capital Management


  • Author : Thomas C. Wilson
  • Publisher : John Wiley & Sons
  • Release Date : 2015-08-31
  • Genre: Business & Economics
  • Pages : 720
  • ISBN 10 : 9781118774632

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Value and Capital Management Excerpt :

A value management framework designed specifically for banking and insurance The Value Management Handbook is a comprehensive, practical reference written specifically for bank and insurance valuation and value management. Spelling out how the finance and risk functions add value in their respective spheres, this book presents a framework for measuring – and more importantly, influencing – the value of the firm from the position of the CFO and CRO. Case studies illustrating value-enhancing initiatives are designed to help Heads of Strategy offer CEOs concrete ideas toward creating more value, and discussion of "hard" and "soft" skills put CFOs and CROs in a position to better influence strategy and operations. The challenge of financial services valuation is addressed in terms of the roles of risk and capital, and business-specific "value trees" demonstrate the source of successful value enhancement initiatives. While most value management resources fail to adequately address the unique role of risk and capital in banks, insurance, and asset management, this book fills the gap by providing concrete, business-specific information that connects management actions and value creation, helping readers to: Measure value accurately for more productive value-based management initiatives and evaluation of growth opportunities Apply a quantitative, risk-adjusted value management framework reconciled with the way financial services shares are valued by the market Develop a value set specific to the industry to inspire initiatives that increase the firm's value Study the quantitative and qualitative management frameworks that move CFOs and CROs from measurement to management The roles of CFO and CRO in financial firms have changed dramatically over the past decade, requiring business savvy and the ability to challenge the CEO. The Value Management Handbook provides the expert guidance that leads CFOs and CROs toward better information, better insight, and better decisions.

Risk Management and Shareholders  Value in Banking Book
Score: 5
From 1 Ratings

Risk Management and Shareholders Value in Banking


  • Author : Andrea Sironi
  • Publisher : John Wiley & Sons
  • Release Date : 2007-04-30
  • Genre: Business & Economics
  • Pages : 808
  • ISBN 10 : 0470510730

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Risk Management and Shareholders Value in Banking Excerpt :

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

Managing Portfolio Credit Risk in Banks  An Indian Perspective Book

Managing Portfolio Credit Risk in Banks An Indian Perspective


  • Author : Arindam Bandyopadhyay
  • Publisher : Cambridge University Press
  • Release Date : 2016-03-31
  • Genre: Business & Economics
  • Pages : 390
  • ISBN 10 : 9781107146471

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Managing Portfolio Credit Risk in Banks An Indian Perspective Excerpt :

This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.

Implementing Value at Risk Book

Implementing Value at Risk


  • Author : Philip Best
  • Publisher : John Wiley & Sons
  • Release Date : 2000-11-21
  • Genre: Business & Economics
  • Pages : 222
  • ISBN 10 : 9780470865965

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Implementing Value at Risk Excerpt :

Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment

Concept of Value at Risk  VaR  Book

Concept of Value at Risk VaR


  • Author : Fabian Kremer
  • Publisher : GRIN Verlag
  • Release Date : 2013-08-23
  • Genre: Business & Economics
  • Pages : 13
  • ISBN 10 : 9783656485346

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Concept of Value at Risk VaR Excerpt :

Seminar paper from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 2,0, University of Hohenheim, language: English, abstract: How is it possible to manage or measure such a hard to defining term like „risk“? To solve this problem and giving stakeholders a tool to measure their individual risk or to compare it, an empirical risk measurer called „Value at Risk“ is used in practice. The main task of this work is to introduce the concept of Value at Risk and giving an overview about the concept itself, its problems and its use in practice.

Managing Bank Capital Book

Managing Bank Capital


  • Author : Chris Matten
  • Publisher : Wiley
  • Release Date : 2000-06-08
  • Genre: Business & Economics
  • Pages : 356
  • ISBN 10 : 0471851965

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Managing Bank Capital Excerpt :

Managing Bank Capital explains proven techniques available in the management of bank capital that will help maximize shareholder value. This second edition has been fully updated to incorporate significant developments, such as the modeling of credit risk, and includes new sections with more technical information and advanced analysis.

Bank and Insurance Capital Management Book

Bank and Insurance Capital Management


  • Author : Frans de Weert
  • Publisher : John Wiley & Sons
  • Release Date : 2011-10-14
  • Genre: Business & Economics
  • Pages : 352
  • ISBN 10 : 9780470971642

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Bank and Insurance Capital Management Excerpt :

In the aftermath of the financial crisis, capital management has become a critical factor in value creation for banks and other financial institutions. Although complex and subject to regulatory change, the strategic importance of capital management became apparent during the crisis and has moved the subject to the top of corporate agendas. Bank and Insurance Capital Management is an essential guide to help banks and insurance companies understand and manage their capital position. Bridging the gap between theory and practice, it provides proven techniques for managing bank capital, as well as explaining key capital management perspectives, including accounting, regulatory, risk and capital management and corporate finance. It also shows how to analyze a firm's stakeholders such as depositors, policy holders, debt holders and shareholders, and manage their expectations, and how to align risk and capital management so as to best optimize the return on capital and preserve capital in periods of stress. Economic capital is also discussed in depth, as are the practicalities of bank and insurance M&A, and the book also shows how financial innovations can be used to optimise the capital position and how diversification effects are reflected in the capital position. This book will arm readers with the knowledge and skills needed to understand how capital management can improve capital structure and performance, achieving an optimal cost of, and return on capital, creating value as a result.

Revisiting Risk Weighted Assets Book

Revisiting Risk Weighted Assets


  • Author : Vanessa Le Leslé
  • Publisher : International Monetary Fund
  • Release Date : 2012-03-01
  • Genre: Business & Economics
  • Pages : 48
  • ISBN 10 : 9781475502657

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Revisiting Risk Weighted Assets Excerpt :

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.

Implementing Value at Risk Book

Implementing Value at Risk


  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 2000
  • Genre: Uncategoriezed
  • Pages : null
  • ISBN 10 : OCLC:748533091

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Implementing Value at Risk Excerpt :

Implementing Value at Risk Philip Best Value at Risk (VAR) is an estimate of the potential loss on a trading or investment portfolio. Its use has swept the banking world and is now accepted as an essential tool in any risk manager's briefcase. Perhaps the greatest strength of VAR is that it can cope with virtually all financial products, from simple securities through to complex exotic derivatives. This allows the risk taken, across diverse trading activities, to be compared. This said, VAR is no panacea. It is as critical to understand when the use of VAR is inappropriate as it is to understand the value VAR can add to a bank's understanding and control of its risks. This book aims to explain how VAR can be used as an integral part of a risk and business management framework, rather than as a stand-alone tool. The objectives of this book are to explain: What VAR is - and isn't! How to calculate VAR - the three main methods Why stress testing is needed to complement VAR How to make stress testing effective How to use VAR and stress testing to manage risk How to use VAR to improve a bank's performance VAR as a regulatory measure of risk and capital Risk management practitioners, general bank managers, consultants and students of finance and risk management will find this book, and the software package included, an invaluable addition to their library. Finance/Investment.

Value at Risk  3rd Ed  Book
Score: 4.5
From 2 Ratings

Value at Risk 3rd Ed


  • Author : Philippe Jorion
  • Publisher : McGraw Hill Professional
  • Release Date : 2006-11-09
  • Genre: Business & Economics
  • Pages : 600
  • ISBN 10 : 9780071736923

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Value at Risk 3rd Ed Excerpt :

Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.

Risk Management and Capital Adequacy Book

Risk Management and Capital Adequacy


  • Author : Reto Gallati
  • Publisher : McGraw Hill Professional
  • Release Date : 2003-03-22
  • Genre: Business & Economics
  • Pages : 550
  • ISBN 10 : 9780071425582

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Risk Management and Capital Adequacy Excerpt :

Under the new Basle Guidelines, all financial institutions subject to local banking laws will soon be required to operate under dramatically different risk exposure rules. Risk Management and Capital Adequacy provides details on the key risk approaches under these new guidelines and is the first book to analyze if and how they can be integrated. From conceptual frameworks to analyses of models and approaches, it provides a solid reference source for the information that everyone in risk management will soon need to know.

Measuring Market Risk Book

Measuring Market Risk


  • Author : Kevin Dowd
  • Publisher : John Wiley & Sons
  • Release Date : 2007-01-11
  • Genre: Business & Economics
  • Pages : 410
  • ISBN 10 : 9780470016510

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Measuring Market Risk Excerpt :

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.

Effects of Bank Capital on Lending Book

Effects of Bank Capital on Lending


  • Author : Joseph M. Berrospide
  • Publisher : DIANE Publishing
  • Release Date : 2011-04
  • Genre: Uncategoriezed
  • Pages : 48
  • ISBN 10 : 9781437939866

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Effects of Bank Capital on Lending Excerpt :

The effect of bank capital on lending is a critical determinant of the linkage between financial conditions and real activity, and has received especial attention in the recent financial crisis. The authors use panel-regression techniques to study the lending of large bank holding companies (BHCs) and find small effects of capital on lending. They then consider the effect of capital ratios on lending using a variant of Lown and Morgan's VAR model, and again find modest effects of bank capital ratio changes on lending. The authors¿ estimated models are then used to understand recent developments in bank lending and, in particular, to consider the role of TARP-related capital injections in affecting these developments. Illus. A print on demand pub.