Risk Management and Shareholders Value in Banking
(Sprache: Englisch)
Risk Management and Shareholders' Value in Banking provides an integrated framework for risk measurement, capital management and value creation in banks covering interest rate risk; market risk; credit risk; operational risk; capital regulation; capital...
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Produktinformationen zu „Risk Management and Shareholders Value in Banking “
Risk Management and Shareholders' Value in Banking provides an integrated framework for risk measurement, capital management and value creation in banks covering interest rate risk; market risk; credit risk; operational risk; capital regulation; capital management; and value creation.
Updated to include coverage of the most recent developments in banking regulation, including comprehensive coverage of the new Basel III regulatory framework the book is structured in six parts. Part I covers the measurement and management of the interest rate risk and liquidity risk on all assets and liabilities of a banking institution. This includes a discussion of gapping models, presented critically through numerical examples and solutions, internal transfer rates, gapping techniques, liquidity risk management. Part II presents portfolio models for market risks, including the "variance/covariance" approach, Monte Carlo / historical simulations, backtesting, alternative risk measures (e.g. expected shortfall) and volatility estimation techniques. Part III addresses credit risk measurement, first on a stand-alone basis, then at a portfolio level; it also includes chapters on scoring models, rating systems, recovery risk, counterparty risk for OTC derivatives, and practical applications of credit risk models. Part IV deals with operational risk before part V goes on to illustrate the main pieces of regulation on bank capital issued by the Basel Committee, the main focus being on Basel 2 (insofar it has not been changed by the latest regulatory wave) and Basel 3. Part VI presents the link between risk and capital in all its implications, and provides the reader with the technical models needed to allocate capital to risk-taking units, set risk-adjusted profitability targets, and optimize the amount and composition of bank capital.
By bringing together the core aspects of risk management in banking - models and algorithms, regulation, process engineering and management, and strategic planning - the book provides a unique and consistent framework showing how financial risks can be understood, measured, managed and covered with capital.
The book is accompanied by a website which includes a series of excel files with detailed explanations of all the numerical examples shown in the book, as well as solutions to the end of chapter exercises.
Klappentext zu „Risk Management and Shareholders Value in Banking “
Risk Management and Shareholders' Value in Banking provides an integrated framework for risk measurement, capital management and value creation in banks covering interest rate risk; market risk; credit risk; operational risk; capital regulation; capital management; and value creation.Updated to include coverage of the most recent developments in banking regulation, including comprehensive coverage of the new Basel III regulatory framework the book is structured in six parts. Part I covers the measurement and management of the interest rate risk and liquidity risk on all assets and liabilities of a banking institution. This includes a discussion of gapping models, presented critically through numerical examples and solutions, internal transfer rates, gapping techniques, liquidity risk management. Part II presents portfolio models for market risks, including the "variance/covariance" approach, Monte Carlo / historical simulations, backtesting, alternative risk measures (e.g. expected shortfall) and volatility estimation techniques. Part III addresses credit risk measurement, first on a stand-alone basis, then at a portfolio level; it also includes chapters on scoring models, rating systems, recovery risk, counterparty risk for OTC derivatives, and practical applications of credit risk models. Part IV deals with operational risk before part V goes on to illustrate the main pieces of regulation on bank capital issued by the Basel Committee, the main focus being on Basel 2 (insofar it has not been changed by the latest regulatory wave) and Basel 3. Part VI presents the link between risk and capital in all its implications, and provides the reader with the technical models needed to allocate capital to risk-taking units, set risk-adjusted profitability targets, and optimize the amount and composition of bank capital.By bringing together the core aspects of risk management in banking - models and algorithms, regulation, process engineering and management, andstrategic
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planning - the book provides a unique and consistent framework showing how financial risks can be understood, measured, managed and covered with capital.The book is accompanied by a website which includes a series of excel files with detailed explanations of all the numerical examples shown in the book, as well as solutions to the end of chapter exercises.
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Autoren-Porträt von Andrea Sironi, Andrea Resti
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.
Bibliographische Angaben
- Autoren: Andrea Sironi , Andrea Resti
- 2017, 2. Aufl., 160 Seiten, Maße: 17,8 x 24,4 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 1119942144
- ISBN-13: 9781119942146
Sprache:
Englisch
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