Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies

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9780470029787: Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies

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

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From the Inside Flap:

"I believe that this is the most comprehensive and instructive risk management book available today." - Edward I. Altman, Max L. Heine Professor of Finance, NYU Stern School of Business

"This book sets out to fill a gap in the existing literature, providing a balanced treatment of quantitative methods of measuring key financial quantitative methods of measuring key financial risks, an up-to-date presentation of the regulatory framework and capital management issues at a technical level that is suitable yet does not overburden the reader." - Klaus Duellmann, Senior Economist, Deutsche Bundesbank

"Andrea Sironi and Andrea Resti have written a very thoughtful book on the fundamental pillars of risk management, ranging from all aspects of asset and liability management to market risk, credit risk, and operational risk. The book develops particular emphasis on risk measurement, capital management, and value creation in banks and financial institutions on a sound and integrated framework. the presentation in the book is logical, systematic, and coherent. This makes the book very readable and accessible to a wide range of audience. More importantly, the book is pitched at a technical level that makes it readily accessible as a textbook or a book for self-study, something that is very lacking now in the financial industry. I have very high expectation for this book. Congratulations." - Michael K. Ong, Professor of Finance, Stuart School of Business, Illinois Institute of Technology

"Professors Sironi and Resti have both done a great job in making risk measurement and capital management concepts and techniques within the financial industry truly accessible. this book leads the reader patiently from the building blocks of risk measurement to the complex task of optimizing the use of capital by financial intermediaries, taking into account both the maximization of shareholders' value and the constraints imposed by prudential regulations." - Giovanni Carosio, Deputy Director General Banca D'Italia

About the Author:

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.

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. .

The authors 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

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Book Description John Wiley and Sons Ltd, United Kingdom, 2007. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. 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 a complete, up-to-date introduction to Basel II focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics. Bookseller Inventory # AAH9780470029787

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Book Description John Wiley and Sons Ltd, United Kingdom, 2007. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. 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 a complete, up-to-date introduction to Basel II focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics. Bookseller Inventory # AAH9780470029787

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