Value at risk and bank capital management :
Saita, Francesco.
Value at risk and bank capital management : risk adjusted performances, capital management and capital allocation decision making / Francesco Saita. - Amsterdam ; Boston : Elsevier Academic Press, c2007. - xvi, 259 p. : ill. ; 27 cm. - Academic Press advanced finance series .
Includes bibliographical references and index.
Value at risk, capital management, and capital allocation -- What is 'capital' management? -- Market risk -- Credit risk -- Operational risk and business risk -- Risk capital aggregation -- Value at risk and risk control for market and credit risk -- Risk-adjusted performance measurement -- Risk-adjusted performance targets, capital allocation, and the budgeting process.
This book presents the measurement of market risk and credit risk in one well-structured book.Aggregation methodology is also presented in detail. The inclusion of real-life examples is also a great benefit to the reader.
9780123694669 (hbk.) 0123694663 (hbk.)
2007275073
Bank capital.
Banks and banking--Risk management.
HG1616.C34 / S25 2007
332.1'0681
Value at risk and bank capital management : risk adjusted performances, capital management and capital allocation decision making / Francesco Saita. - Amsterdam ; Boston : Elsevier Academic Press, c2007. - xvi, 259 p. : ill. ; 27 cm. - Academic Press advanced finance series .
Includes bibliographical references and index.
Value at risk, capital management, and capital allocation -- What is 'capital' management? -- Market risk -- Credit risk -- Operational risk and business risk -- Risk capital aggregation -- Value at risk and risk control for market and credit risk -- Risk-adjusted performance measurement -- Risk-adjusted performance targets, capital allocation, and the budgeting process.
This book presents the measurement of market risk and credit risk in one well-structured book.Aggregation methodology is also presented in detail. The inclusion of real-life examples is also a great benefit to the reader.
9780123694669 (hbk.) 0123694663 (hbk.)
2007275073
Bank capital.
Banks and banking--Risk management.
HG1616.C34 / S25 2007
332.1'0681