Risk Management and Shareholders' Value in Banking

Foreword.
 
Motivation and Scope of this Book: A Quick Guided Tour.
 
PART I INTEREST RATE RISK.
 
Introduction to Part I.
 
1 The Repricing Gap Model.
 
Selected Questions and Exercises.
 
Appendix 1A The Term Structure of Interest Rates.
 
Appendix 1B Forward Rates.
 
2 The Duration Gap Model.
 
Selected Questions and Exercises.
 
Appendix 2A The Limits of Duration.
 
3 Models Based on Cash-Flow Mapping.
 
Selected Questions and Exercises.
 
Appendix 3A Estimating the Zero-coupon Curve.
 
4 Internal Transfer Rates.
 
Selected Questions and Exercises.
 
Appendix 4A Derivative Contracts on Interest Rates.
 
PART II MARKET RISKS.
 
Introduction to Part II.
 
5 The Variance-Covariance Approach.
 
Selected Questions and Exercises.
 
Appendix 5A Stockmarket Betas.
 
6 Volatility Estimation Models.
 
Selected Questions and Exercises.
 
7 Simulation Models.
 
variance-covariance approach.
 
Selected Questions and Exercises.
 
8 Evaluating VaR Models.
 
Selected Questions and Exercises.
 
Appendix 8A VaR Model Backtesting According to the Basel Committee.
 
9 VaR Models: Summary, Applications and Limitations.
 
Selected Questions and Exercises.
 
Appendix 9A Extreme Value Theory.
 
PART III CREDIT RISK.
 
Introduction to Part III.
 
10 Credit-Scoring Models.
 
Selected Questions and Exercises.
 
Appendix 10A The Estimation of the Gamma Coefficients in Linear.
 
Discriminant Analysis.
 
11 Capital Market Models.
 
bond spreads.
 
Selected Questions and Exercises.
 
Appendix 11A Calculating the Fair Spread on a Loan.
 
Appendix 11B Real and Risk-Neutral Probabilities of Default.
 
12 LGD and Recovery Risk.
 
Selected Questions and Exercises.
 
Appendix 12A

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.