Risk Management and Shareholders' Value in Banking / Wiley Finance Series (PDF)
From Risk Measurement Models to Capital Allocation Policies
(Sprache: Englisch)
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...
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...
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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 href="http://www.wiley.com/go/rmsv">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
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 href="http://www.wiley.com/go/rmsv">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
Autoren-Porträt von Andrea Sironi, Andrea Resti
ANDREA RESTI, formerly an officer at one of Italy'slargest 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.
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. .
The authors 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
Bibliographische Angaben
- Autoren: Andrea Sironi , Andrea Resti
- 2007, 1. Auflage, 808 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470510730
- ISBN-13: 9780470510735
- Erscheinungsdatum: 30.04.2007
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eBook Informationen
- Dateiformat: PDF
- Grösse: 7.44 MB
- Mit Kopierschutz
Sprache:
Englisch
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