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Risk Management and Shareholders' Value in Banking by Andrea Sironi,Andrea Resti Pdf
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
Shareholder Value in Banking by F. Fiordelisi,P. Molyneux Pdf
Sustainable shareholder value is a main strategic objective for financial institutions. This text provides an analytical assessment of shareholder value creation, providing a framework for analyzing theory, and presenting empirical investigations. It analyzes the importance of drivers in creating value and develops a new measure of bank efficiency.
Shareholder Value Management in Banks by Leo Schuster Pdf
This book demonstrates how shareholder value analysis has become a valuable instrument of strategy assessment. It illustrates the ways in which management is able to align company policy with the financial goals of its shareholders and describes various methods of value-orientated company planning. Including up-to-date examples and case studies Shareholder Value Management in Banks represents the application of an important conceptual area to an international industry.
Risk Management in Financial Institutions by Anonim Pdf
Risk managers are under pressure to compete in a competitive environment while solidly honouring their obligations and navigating their business safely toward the future. This book provides many insightful ideas, concepts and methods to help shape or reshape value propositions.
Risk Management and Value Creation in Financial Institutions by Gerhard Schroeck Pdf
An analysis of the links between risk management and value creation Risk Management and Value Creation in Financial Institutions explores a variety of methods that can be utilized to create economic value at financial institutions. This invaluable resource shows how banks can use risk management to create value for shareholders, addresses the advantages of risk-adjusted return on capital (RAROC) measures, and develops the foundations for a model to identify comparative advantages that emerge as a result of risk-management decisions. It is the only book needed for banking executives interested in the relationship between risk management and value creation.
Risk Management and Value Creation in Financial Institutions by Gerhard Schroeck Pdf
An analysis of the links between risk management and value creation Risk Management and Value Creation in Financial Institutions explores a variety of methods that can be utilized to create economic value at financial institutions. This invaluable resource shows how banks can use risk management to create value for shareholders, addresses the advantages of risk-adjusted return on capital (RAROC) measures, and develops the foundations for a model to identify comparative advantages that emerge as a result of risk-management decisions. It is the only book needed for banking executives interested in the relationship between risk management and value creation.
Scholars and practitioners have known for a long time that risk plays an important, indeed central, role in determining the appropriate discount rate to be used in a sophisticated valuation model. In today's world, however, the very risk of survival, especially for financial institutions, is essential to the health of the world's capital markets and their impact on the global economy. Risk, Value and Default is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default. The book seeks to explore the interaction between the risk of default and enterprise risk, and their joint impact on firm valuation. It aims to address the problem of how corporations should deal with risk and how they can maximize shareholder value. It also examines various conceptual ways to measure risk, thereby bridging the gap between theoretical concepts and pragmatic application. The book combines sound conceptual analytics and empirical tools to provide useful information and tangible guidelines for firms, risk managers and financial analysts and advisors. Scholars and professionals with an interest in risk management, and managers, owners, creditors and potential investors in enterprises will find Risk, Value and Default a particularly useful guide to understanding the relationship between risk generation, risk management and corporate value and default from an interdisciplinary perspective. Contents:The Concept of Risk and the Enterprise Risk Management:The Corporate RiskRisk Management: Analysis of Risk, Endowment Capital, and Suppliers of FinanceEstimating Default Risk in Practice: Methodologies and Discriminant Variables:Credit Risk, Default, and Borrowing CostsCompany Default and Discriminant Variables for SMEDefault Risk and Discriminant Methodologies for SME Readership: Scholars and practitioners with an interest in risk governance, valuation and risk management within the context of the risk management and governance, corporate finance, banking, econometrics, mathematical economics and quantitative finance. Key Features:Explores the interaction between the risk of default and enterprise risk, and their joint impact on firm valuationAddresses the problem of how corporations should deal with risk and how they can maximize shareholder valueCombines sound conceptual analytics and regional firm data to provide useful information and tangible guidelines for firms as well as for analystsKeywords:Risk Management;Enterprise Risk Management;Credit Risk;Valuation;Equity Risk Premium;Basel III;Default Risk;Capital Requirements
Risk Management and Value by Mondher Bellalah,Jean-Luc Prigent,Jean-Michel Sahut Pdf
This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a high level one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail. The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book. Sample Chapter(s). Introduction (40 KB). Chapter 1: Managing Derivatives in the Presence of a Smile Effect and Incomplete Information (97 KB). Contents: Managing Derivatives in the Presence of a Smile Effect and Incomplete Information (M Bellalah); A Value-at-Risk Approach to Assess Exchange Risk Associated to a Public Debt Portfolio: The Case of a Small Developing Economy (W Ajili); A Method to Find Historical VaR for Portfolio that Follows S&P CNX Nifty Index by Estimating the Index Value (K V N M Ramesh); Some Considerations on the Relationship between Corruption and Economic Growth (V Dragota et al.); Financial Risk Management by Derivatives Caused from Weather Conditions: Its Applicability for Trkiye (T uzkan); The Basel II Framework Implementation and Securitization (M-F Lamy); Stochastic Time Change, Volatility, and Normality of Returns: A High-Frequency Data Analysis with a Sample of LSE Stocks (O Borsali & A Zenaidi); The Behavior of the Implied Volatility Surface: Evidence from Crude Oil Futures Options (A Bouden); Procyclical Behavior of Loan Loss Provisions and Banking Strategies: An Application to the European Banks (D D Dinamona); Market Power and Banking Competition on the Credit Market (I Lapteacru); Early Warning Detection of Banking Distress OCo Is Failure Possible for European Banks? (A Naouar); Portfolio Diversification and Market Share Analysis for Romanian Insurance Companies (M Dragota et al.); On the Closed-End Funds Discounts/Premiums in the Context of the Investor Sentiment Theory (A P C do Monte & M J da Rocha Armada); Why has Idiosyncratic Volatility Increased in Europe? (J-E Palard); Debt Valuation, Enterprise Assessment and Applications (D Vanoverberghe); Does The Tunisian Stock Market Overreact? (F Hammami & E Abaoub); Investor-Venture Capitalist Relationship: Asymmetric Information, Uncertainty, and Monitoring (M Cherif & S Sraieb); Threshold Mean Reversion in Stock Prices (F Jawadi); Households'' Expectations of Unemployment: New Evidence from French Microdata (S Ghabri); Corporate Governance and Managerial Risk Taking: Empirical Study in the Tunisian Context (A B Aroui & F W B M Douagi); Nonlinearity and Genetic Algorithms in the Decision-Making Process (N Hachicha & A Bouri); ICT and Performance of the Companies: The Case of the Tunisian Companies (J Ziadi); Option Market Microstructure (J-M Sahut); Does the Standardization of Business Processes Improve Management? The Case of Enterprise Resource Planning Systems (T Chtioui); Does Macroeconomic Transparency Help Governments be Solvent? Evidence from Recent Data (R Mallat & D K Nguyen). Readership: Academics and risk managers."
Risk Management and Capital Adequacy by Reto Gallati Pdf
Under the new Basle Guidelines, all financial institutions subject to local banking laws will soon be required to operate under dramatically different risk exposure rules. Risk Management and Capital Adequacy provides details on the key risk approaches under these new guidelines and is the first book to analyze if and how they can be integrated. From conceptual frameworks to analyses of models and approaches, it provides a solid reference source for the information that everyone in risk management will soon need to know.
Value at Risk and Bank Capital Management by Francesco Saita Pdf
Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation. The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes. This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management. Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe
Risk Management by Michael Frenkel,Ulrich Hommel,Markus Rudolf Pdf
Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.
Enhancing Shareholder Wealth by Better Managing Business Risk by International Federation of Accountants. Financial and Management Accounting Committee Pdf
Provides information on risk management issues and explains the connection between well managed risk and improved performance. It is intended to extend awareness of some of the leading edge issues, provide practical guidance on best practice and convey current thought leadership in regard to risk management.
Financial Risk Management in Banking by Dennis Uyemura,Uyemura Dennis,Gelder Joni Van Pdf
Presents an in-depth review of the tremendous risk and volatility in bank financial management. This book provides a comprehensive overview of aggressive asset and liability management (ALM) and demonstrates how ALM can strengthen the capital position of a financial institution.
The Fundamentals of Risk Measurement by Christopher Marrison Pdf
A step-by-step guidebook for understanding—and implementing—integrated financial risk measurement and management The Fundamentals of Risk Measurement introduces the state-of-the-art tools and practices necessary for planning, executing, and maintaining risk management in today’s volatile financial environment. This comprehensive book provides description and analysis of topics including: Economic capital Risk adjusted return on capital (RAROC) Shareholder Value Added (SVA) Value at Risk (VaR) Asset/liability management (ALM) Credit risk for a single facility Credit risk for portfolios Operating risk Inter-risk diversification The Basel Committee Capital Accords The banking world is driven by risk. The Fundamentals of Risk Measurement shows you how to quantify that risk, outlining an integrated framework for risk measurement and management that is straightforward, practical for implementation, and based on the realities of today’s tumultuous global marketplace. “Banks make money in one of two ways: providing services to customers and taking risks. In this book, we address the business of making money by taking risk....”—From the Introduction In The Fundamentals of Risk Measurement, financial industry veteran Chris Marrison examines what banks must do to succeed in the business of making money by taking risk. Encompassing the three primary areas of banking risk—market, credit, and operational—and doing so in a uniquely intuitive, step-by-step format, Marrison provides hands-on details on the primary tools for financial risk measurement and management, including: Plain-English evaluation of specific risk measurement tools and techniques Use of Value at Risk (VaR) for assessment of market risk for trading operations Asset/liability management (ALM) techniques, transfer pricing, and managing market and liquidity risk The many available methods for analyzing portfolios of credit risks Using RAROC to compare the risk-adjusted profitability of businesses and price transactions In addition, woven throughout The Fundamentals of Risk Measurement are principles underlying the regulatory capital requirements of the Basel Committee on Banking Supervision, and what banks must do to understand and implement them. The requirements are defined, implications of the New Capital Accord are presented, and the major steps that a bank must take to implement the New Accord are discussed. The resulting thumbnail sketch of the Basel Committee, and specifically the New Capital Accord, is valuable as both a ready reference and a foundation for further study of this important initiative. Risk is unavoidable in the financial industry. It can, however, be measured and managed to provide the greatest risk-adjusted return, and limit the negative impacts of risk to a bank’s shareholders as well as potential borrowers and lenders. The Fundamentals of Risk Management provides risk managers with an approach to risk-taking that is both informed and prudent, one that shows operations managers how to control risk exposures as it allows decision-making executives to direct resources to opportunities that are expected to create maximum return with minimum risk. The result is today’s most complete introduction to the business of risk, and a valuable reference for anyone from the floor trader to the officer in charge of overseeing the entire risk management operation.
