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 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
General
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