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Books > Business & Economics > Finance & accounting > Finance > Banking
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Value at Risk and Bank Capital Management - Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making (Hardcover)
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Value at Risk and Bank Capital Management - Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making (Hardcover)
Series: Academic Press Advanced Finance
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While the highly technical measurement techniques and methodologies
of Value at Risk have attracted huge interest, much less attention
has been focused on how Value at Risk and the risk-adjusted
performance measures such as RAROC or economic profit/EVA . can be
effectively used to improve a bank s decision making processes.
Academic books are typically concerned primarily with measurement
techniques, and devote only a small section to describing the
applications, usually without discussing the problems that changing
organizational processes in banks may have on business units
behaviour. Practitioners books are often based on a single
experience, presenting the approach that has been pursued by a
single bank, but often do not adequately evaluate that approach. In
actual practice, the choice of how to use Value at Risk and
risk-adjusted performance measures has no single optimal solution,
but requires effective decision making that can identify the
solution that is consistent with the bank s style of management and
coordination mechanisms, and often with characteristics of
individual business units as well. In this book, Francesco Saita of
Bocconi University argues that even though risk measurement
techniques have greatly improved in recent years for market, credit
and now also operational risk, capital management and capital
allocation decisions are far from becoming purely technical and
mechanical. On one hand, decisions about capital management must
consider handling different capital constraints (e.g. regulatory
vs. economic capital ) and face remarkable difficulties in
providing a measure of aggregated ] Value at Risk (i.e. a measure
that considers the overall value at risk of the bank after
diversification across risk types). On the other hand, the aim of
using capital more efficiently through capital allocation cannot be
achieved only through a sort of centralized asset allocation
process, but rather by designing a Value at Risk limit system and a
risk-adjusted performance measurement system that are designed to
provide the right incentives to individual business units. This
connection between sophisticated and cutting edge risk measurement
techniques and practical bank decision making about capital
management and capital allocation make this book unique and provide
readers with a depth of academic and theoretical expertise combined
with practical and real-world understanding of bank structure,
organizational constraints, and decisionmaking processes.
*Contains concise, expert analysis of the latest technical VaR
measures but without the highly mathematical component of other
books
*Discusses practical applications of these measures in the real
world of banking, focusing on effective decision making for capital
management and allocation
*Author is based at Bocconi University in Milan, Italy, one of the
foremost institutions for banking in Europe"
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