Value at risk and bank capital management : Risk adjusted performances, capital management and capital allocation decision making / Francesco Saita.
Material type:
TextSeries: Academic Press advanced finance seriesPublication details: Amsterdam ; Boston : Elsevier Academic Press, c2007.Description: xvi, 259 p. : ill. ; 27 cmISBN: - 9780123694669 (hbk.)
- 0123694663 (hbk.)
- 332.1'0681 22
- HG1616.C34 S25 2007
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| 332.1'068'1 MAT Managing bank capital : | 332.1'0681 ONY Analysing and managing risks of bank lending / | 332.1068'1 REP Reputational risk management in financial institutions / | 332.1'0681 SAI Value at risk and bank capital management : | 332.1068'1 SAU Financial institutions management : | 332.1'068'1 SAU Financial institutions management : | 332.1'068'1 SAU Financial institutions management : |
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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