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Value at risk and bank capital management : risk adjusted performances, capital management and capital allocation decision making / Francesco Saita.

By: Material type: TextTextSeries: Academic Press advanced finance seriesPublication details: Amsterdam ; Boston : Elsevier Academic Press, c2007.Description: xvi, 259 p. : ill. ; 27 cmISBN:
  • 9780123694669 (hbk.)
  • 0123694663 (hbk.)
Subject(s): DDC classification:
  • 332.1'0681 22
LOC classification:
  • HG1616.C34 S25 2007
Online resources:
Contents:
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.
Summary: 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.
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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.

aug 07/06/13

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