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Bank Valuation and Value-Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk Management-McGraw Hill Education-Jean Dermine-2009-EDN-1
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Book Description Tata McGraw-Hill Education Pvt. Ltd., 2009. Hardcover. Condition: New. First edition. Bank Valuation & Value-Based Management provides bankers, bank regulators, auditors, and risk managers with foundational concepts and practical tools for effectively managing a bank. An expert in asset and liability management, European financial markets, and banking theory, Jean Dermine provides rigorous foundations to discuss asset and liability management at a global level, with an integrated focus on an institution?s banking book. He covers bank valuation, fund transfer pricing, deposit and loan pricing, risk management, and performance measurement, and addresses two high-profile issues for banks worldwide: portfolio credit risk and liquidity risk. This thorough and innovative guide presents insightful coverage on the hazards of measuring portfolio credit risk, the impact of liquidity risk on fund transfer pricing, and the practice of performance measurement in the banking industry. Numerous real-world examples from the U.S. subprime crisis help illustrate the nature and dynamics of these issues. Inside, you will find a framework for discussing such managerial issues as: * Bank valuation * Fund transfer pricing * Deposit pricing * Capital management * Loan pricing and provisioning * Securitization * Measurement of interest rate risk * Performance measurement At the same time that it helps readers develop an intuitive sense for asset-liability management, this practical book follows through with rigorous mathematical formulas and examples from the international banking community. In addition,exercises are incorporated throughout the text to facilitate discussions of how theoretical concepts can be applied to real-world problems. Creating value in banking depends on a rocksolid understanding of what drives value and the right valuation model to help make the tough decisions that will enhance shareholder value. Bank Valuation & Value-Based Management is your one-stop reference for each of these critical issues. TABLE OF CONTENTS: Introduction Chapter 1. Discounting, Present Value, and the Yield Curve Chapter 2. Coupon Bond Rate, Zero Coupon Bond Rate, Forward Rates, and the Shape of the Yield Curve Chapter 3. Statistics: A Review Chapter 4. The Economics of Banking, and a Bank?s Balance Sheet and Income Statement PART I. BANK VALUATION Chapter 5. The Valuation of Banks, Part 1 Chapter 6. The Valuation of Banks, Part 2 Chapter 7. Economic and Strategic Drivers of Bank Valuation Chapter 8. Valuation of Fee-Based Activities PART II. VALUE-BASED MANAGEMENT Chapter 9. Value-Based Management in Banking: An Introduction Chapter 10. Fund Transfer Pricing: Foundation and Advanced Approaches Chapter 11. Deposit Pricing and Repurchase Agreements Chapter 12. Capital Regulation (Basel I), Economic Capital Allocation, and Loan Pricing I (the Equity Spread) Chapter 13. Capital Regulation (Basel II) Chapter 14. Loss Given Default and Provisions on Nonperforming Loans Chapter 15. Loan Pricing II, Loan-Loss Provisions on Performing Loans, and Estimates of Probabilities of Default Chapter 16. Securitization PART III. RISK MANAGEMENT Chapter 17. Risk Management in Banking: An Overview Chapter 18. The Control of Interest-Rate Risk on the Banking Book, Part 1: The Earnings at Risk Chapter 19. The Control of Interest-Rate Risk on the Banking Book, Part 2: The Economic Value at Risk Chapter 20. Value at Risk in the Trading Book: The Aggregation of Risks Chapter 21. Liquidity Risk and Value Creation Chapter 22. Credit Risk Portfolio Diversification: Credit Value at Risk Chapter 23. Marginal Risk Contribution, Diversification, and Economic Capital Allocation Chapter 24. Forwards, Futures, Swaps, and Options: Counterparty Risk Chapter 25. Credit Derivatives Chapter Printed Pages: 448. Seller Inventory # 18692