Value at risk and bank capital management / Francesco Saita.

ISBN:

9780123694669

9780080471068

9781280962813

Title:

Value at risk and bank capital management / Francesco Saita.

Author:

Saita, Francesco.

Personal Author:

Saita, Francesco.

Publication Information:

Physical Description:

1 online resource (xvi, 259 pages) : illustrations.

Series:

Academic Press advanced finance series

Contents:

Value at risk, capital management, and capital allocation -- What is 'capital' management? -- Market risk -- Credit risk -- Operational risk and business risk -- Risk capital aggregation -- Value at risk and risk control for market and credit risk -- Risk-adjusted performance measurement -- Risk-adjusted performance targets, capital allocation, and the budgeting process.

Local Note:

eBooks on EBSCOhost

Subject Term:

Bank capital.

Banks and banking -- Risk management.

Format:

Electronic Resources

Electronic Access:

Click here to view

Publication Date:

2007

Publication Information:

Available:*

Shelf Number	Material Type	Copy	Shelf Location	Status
332.66 22	1:E-BOOK	1	1:ONLINE	Searching... Unknown

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Summary

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.

Part 1 Value at Risk and Bank Capital Management: The General Framework

ch. 1 Value at Risk, capital management and capital allocation

ch. 2 What is "capital" management? The impact of Basel II and the new accounting standards

Part II Risk Measurement and Risk Integration

ch 3 Market Risk

ch. 4 Credit Risk

ch. 5 Operational Risk and Business risk

ch. 6 The challenge of risk aggregation

Part III Risk Control, Performance measurement, and capital allocation

ch 7 Defining Value at Risk limits

ch. 8 Risk-adjusted performance measurement

ch. 9 Risk-adjusted performance measures, capital allocation and the budgeting process

ch. 10 conclusion

Internet Resources directory

References

Index

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Summary

Table of Contents