Value at Risk and Bank Capital Management : [Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making].

By: Saita, FrancescoMaterial type: TextTextSeries: Academic Press Advanced Finance SerPublisher: London : Elsevier Science & Technology, 2007Copyright date: ©2007Description: 1 online resource (276 pages)Content type: text Media type: computer Carrier type: online resourceISBN: 9780080471068Subject(s): Bank capital | Banks and banking -- Risk managementGenre/Form: Electronic books.Additional physical formats: Print version:: Value at Risk and Bank Capital Management : [Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making]DDC classification: 332.1068 LOC classification: HG1616.C34S25 2007Online resources: Click to View
Contents:
Front cover -- Title page -- Copyright page -- Table of contents -- Preface -- About the Book -- Acknowledgments -- Contributors -- CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation -- 1.1 An Introduction to Value at Risk -- 1.2 Capital Management and Capital Allocation: The Structure of the Book -- CHAPTER 2: What Is "Capital" Management? -- 2.1 Regulatory Capital and the Evolution toward Basel II -- 2.2 Overview of the Basel II Capital Accord -- 2.3 Bank Estimates of Required Capital and the Different Notions of Bank Capital -- 2.4 Summary -- 2.5 Further Reading -- CHAPTER 3: Market Risk -- 3.1 The Variance-Covariance Approach -- 3.2 Simulation Approaches: Historical Simulation and Monte Carlo Simulation -- 3.3 Value at Risk for Option Positions -- 3.4 Extreme Value Theory and Copulas -- 3.5 Expected Shortfall and the Problem of VaR Nonsubadditivity -- 3.6 Back-Testing Market Risk Models -- 3.7 Internal VaR Models and Market Risk Capital Requirements -- 3.8 Stress Tests -- 3.9 Summary -- 3.10 Further Reading -- CHAPTER 4: Credit Risk -- 4.1 Defining Credit Risk: Expected and Unexpected Losses -- 4.2 Agency Ratings -- 4.3 Quantitative Techniques for Stand-Alone Credit Risk Evaluation: Moody's/KMV EDF and External Scoring Systems -- 4.4 Capital Requirements for Credit Risk under Basel II -- 4.5 Internal Ratings -- 4.6 Estimating Loss Given Default -- 4.7 Estimating Exposure at Default -- 4.8 Interaction between Basel II and International Accounting Standards -- 4.9 Alternative Approaches to Modeling Credit Portfolio Risk -- 4.10 Comparison of Main Credit Portfolio Models -- 4.11 Summary -- 4.12 Further Reading -- CHAPTER 5: Operational Risk and Business Risk -- 5.1 Capital Requirements for Operational Risk Measurement under Basel II -- 5.2 Objectives of Operational Risk Management.
5.3 Quantifying Operational Risk: Building the Data Sources -- 5.4 Quantifying Operational Risk: From Loss Frequency and Severity to Operational Risk Capital -- 5.5 Case Study: U.S. Bank Progress on Measuring Operational Risk -- 5.6 The Role of Measures of Business Risk and Earnings at Risk -- 5.7 Measuring Business Risk in Practice: Defining a Measure of Earnings at Risk -- 5.8 From Earnings at Risk to Capital at Risk -- 5.9 Summary -- 5.10 Further Reading -- CHAPTER 6: Risk Capital Aggregation -- 6.1 The Need for Harmonization: Time Horizon, Confidence Level, and the Notion of Capital -- 6.2 Risk Aggregation Techniques -- 6.3 Estimating Parameters for Risk Aggregation -- 6.4 Case Study: Capital Aggregation within Fortis -- 6.5 A Synthetic Comparison of Alternative Risk Aggregation Techniques -- 6.6 Summary -- 6.7 Further Reading -- CHAPTER 7: Value at Risk and Risk Control for Market and Credit Risk -- 7.1 Defining VaR-Based Limits for Market Risk: Identifying Risk-Taking Centers -- 7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR and Annual Potential Losses -- 7.3 Managing VaR-Based Trading Limits -- 7.4 Identifying Risk Contributions and Internal Hedges: VaRDelta, Component VaR, and Incremental VaR -- 7.5 Managing Risk and Pricing Limits for Credit Risk -- 7.6 Summary -- 7.7 Further Reading -- CHAPTER 8: Risk-Adjusted Performance Measurement -- 8.1 Business Areas, Business Units, and the Double Role of Risk-Adjusted Performance Measures -- 8.2 Checking the Measure of Profit -- 8.3 Capital Investment versus Capital Allocation -- 8.4 Choosing the Measure of Capital at Risk: Allocated Capital versus Utilized Capital -- 8.5 Choosing the Measure of Capital at Risk: Diversified Capital versus Undiversified Capital -- 8.6 Choosing the Risk-Adjusted Performance Measure: EVA vs. RAROC -- 8.7 Variants and Potential Extensions.
8.8 Risk-Adjusted Performances and Managers' Performance Evaluation -- 8.9 Summary -- 8.10 Further Reading -- CHAPTER 9: Risk-Adjusted Performance Targets, Capital Allocation, and the Budgeting Process -- 9.1 From the Bank's Cost of Equity Capital to Performance Targets for the Bank -- 9.2 Should Business Units' Target Returns Be Different? -- 9.3 Capital Allocation and the Planning and Budgeting Process -- 9.4 Case Study: Capital Allocation Process at UniCredit Group -- 9.5 Summary -- 9.6 Further Reading -- Final Remarks -- Selected Free Risk Management-Related Websites -- References -- Index.
Summary: An expert analysis of the cutting-edge risk measures banks can use to manage and allocate their capital.
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Front cover -- Title page -- Copyright page -- Table of contents -- Preface -- About the Book -- Acknowledgments -- Contributors -- CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation -- 1.1 An Introduction to Value at Risk -- 1.2 Capital Management and Capital Allocation: The Structure of the Book -- CHAPTER 2: What Is "Capital" Management? -- 2.1 Regulatory Capital and the Evolution toward Basel II -- 2.2 Overview of the Basel II Capital Accord -- 2.3 Bank Estimates of Required Capital and the Different Notions of Bank Capital -- 2.4 Summary -- 2.5 Further Reading -- CHAPTER 3: Market Risk -- 3.1 The Variance-Covariance Approach -- 3.2 Simulation Approaches: Historical Simulation and Monte Carlo Simulation -- 3.3 Value at Risk for Option Positions -- 3.4 Extreme Value Theory and Copulas -- 3.5 Expected Shortfall and the Problem of VaR Nonsubadditivity -- 3.6 Back-Testing Market Risk Models -- 3.7 Internal VaR Models and Market Risk Capital Requirements -- 3.8 Stress Tests -- 3.9 Summary -- 3.10 Further Reading -- CHAPTER 4: Credit Risk -- 4.1 Defining Credit Risk: Expected and Unexpected Losses -- 4.2 Agency Ratings -- 4.3 Quantitative Techniques for Stand-Alone Credit Risk Evaluation: Moody's/KMV EDF and External Scoring Systems -- 4.4 Capital Requirements for Credit Risk under Basel II -- 4.5 Internal Ratings -- 4.6 Estimating Loss Given Default -- 4.7 Estimating Exposure at Default -- 4.8 Interaction between Basel II and International Accounting Standards -- 4.9 Alternative Approaches to Modeling Credit Portfolio Risk -- 4.10 Comparison of Main Credit Portfolio Models -- 4.11 Summary -- 4.12 Further Reading -- CHAPTER 5: Operational Risk and Business Risk -- 5.1 Capital Requirements for Operational Risk Measurement under Basel II -- 5.2 Objectives of Operational Risk Management.

5.3 Quantifying Operational Risk: Building the Data Sources -- 5.4 Quantifying Operational Risk: From Loss Frequency and Severity to Operational Risk Capital -- 5.5 Case Study: U.S. Bank Progress on Measuring Operational Risk -- 5.6 The Role of Measures of Business Risk and Earnings at Risk -- 5.7 Measuring Business Risk in Practice: Defining a Measure of Earnings at Risk -- 5.8 From Earnings at Risk to Capital at Risk -- 5.9 Summary -- 5.10 Further Reading -- CHAPTER 6: Risk Capital Aggregation -- 6.1 The Need for Harmonization: Time Horizon, Confidence Level, and the Notion of Capital -- 6.2 Risk Aggregation Techniques -- 6.3 Estimating Parameters for Risk Aggregation -- 6.4 Case Study: Capital Aggregation within Fortis -- 6.5 A Synthetic Comparison of Alternative Risk Aggregation Techniques -- 6.6 Summary -- 6.7 Further Reading -- CHAPTER 7: Value at Risk and Risk Control for Market and Credit Risk -- 7.1 Defining VaR-Based Limits for Market Risk: Identifying Risk-Taking Centers -- 7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR and Annual Potential Losses -- 7.3 Managing VaR-Based Trading Limits -- 7.4 Identifying Risk Contributions and Internal Hedges: VaRDelta, Component VaR, and Incremental VaR -- 7.5 Managing Risk and Pricing Limits for Credit Risk -- 7.6 Summary -- 7.7 Further Reading -- CHAPTER 8: Risk-Adjusted Performance Measurement -- 8.1 Business Areas, Business Units, and the Double Role of Risk-Adjusted Performance Measures -- 8.2 Checking the Measure of Profit -- 8.3 Capital Investment versus Capital Allocation -- 8.4 Choosing the Measure of Capital at Risk: Allocated Capital versus Utilized Capital -- 8.5 Choosing the Measure of Capital at Risk: Diversified Capital versus Undiversified Capital -- 8.6 Choosing the Risk-Adjusted Performance Measure: EVA vs. RAROC -- 8.7 Variants and Potential Extensions.

8.8 Risk-Adjusted Performances and Managers' Performance Evaluation -- 8.9 Summary -- 8.10 Further Reading -- CHAPTER 9: Risk-Adjusted Performance Targets, Capital Allocation, and the Budgeting Process -- 9.1 From the Bank's Cost of Equity Capital to Performance Targets for the Bank -- 9.2 Should Business Units' Target Returns Be Different? -- 9.3 Capital Allocation and the Planning and Budgeting Process -- 9.4 Case Study: Capital Allocation Process at UniCredit Group -- 9.5 Summary -- 9.6 Further Reading -- Final Remarks -- Selected Free Risk Management-Related Websites -- References -- Index.

An expert analysis of the cutting-edge risk measures banks can use to manage and allocate their capital.

Description based on publisher supplied metadata and other sources.

Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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