Risk Management and Shareholders' Value in Banking

This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from themeasurement of the risks facing a bank, it defines criteria andrules to support a corporate policy aimed at maximizingshareholders' value.
Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amountof capital they absorb by means of up-to-date, robustrisk-measurement models. Part V surveys regulatory capitalrequirements: 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 ofeconomic capital at risk needed by the bank, to fine-tune itscomposition, to allocate it to risk-taking units, to estimate the„fair“ return expected by shareholders, to monitor the valuecreation process. Risk Management and Shareholders' Value inBanking includes:
* Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics andmuch more
* formulae for risk-adjusted loan pricing and risk-adjustedperformance measurement
* extensive, hands-on Excel examples are provided on the companionwebsite www. wiley. com/go/rmsv
* a complete, up-to-date introduction to Basel II
* focus on capital allocation, Raroc, EVA, cost of capital andother value-creation metrics