語系:
繁體中文
English
說明(常見問題)
登入
回首頁
(回前一個查詢頁籤)
[ subject:"HG1616.C34" ]
切換:
標籤
|
MARC模式
|
ISBD
Value at risk and bank capital manag...
~
Saita, Francesco.
Value at risk and bank capital management
紀錄類型:
書目-語言資料,印刷品 : 單行本
作者:
SaitaFrancesco.,
其他團體作者:
ScienceDirect (Online service)
出版地:
Amsterdam
出版者:
Elsevier Academic Press;
出版年:
c2007.
面頁冊數:
xvi, 259 p.ill. : 27 cm.;
集叢名:
Academic Press advanced finance series
標題:
Bank capital. -
標題:
Banks and banking - Risk management. -
標題:
Electronic books. -
標題:
Banken (financi鋀le instellingen) -
標題:
Risk management. -
電子資源:
http://www.loc.gov/catdir/enhancements/fy0726/2007275073-d.html
電子資源:
http://www.loc.gov/catdir/enhancements/fy0726/2007275073-d.html
附註:
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008.
摘要註:
While the highly technical measurement techniques and methodologies of Value at Risk have attracted huge interest, much less attention has been focused on how Value at Risk and the risk-adjusted performance measures such as RAROC or economic profit/EVA can be effectively used to improve a bank's decision making processes. Academic books are typically concerned primarily with measurement techniques, and devote only a small section to describing the applications, usually without discussing the problems that changing organizational processes in banks may have on business units' behaviour. Practitioners’ books are often based on a single experience, presenting the approach that has been pursued by a single bank, but often do not adequately evaluate that approach. In actual practice, the choice of how to use Value at Risk and risk-adjusted performance measures has no single optimal solution, but requires effective decision making that can identify the solution that is consistent with the bank's style of management and coordination mechanisms, and often with characteristics of individual business units as well. In this book, Francesco Saita of Bocconi University argues that even though risk measurement techniques have greatly improved in recent years for market, credit and now also operational risk, capital management and capital allocation decisions are far from becoming purely technical and mechanical. On one hand, decisions about capital management must consider handling different capital constraints (e.g. regulatory vs. economic capital ) and face remarkable difficulties in providing a measure of aggregated?Value at Risk (i.e. a measure that considers the overall value at risk of the bank after diversification across risk types). On the other hand, the aim of using capital more efficiently through capital allocation cannot be achieved only through a sort of centralized asset allocation process, but rather by designing a Value at Risk limit system and a risk-adjusted performance measurement system that are designed to provide the right incentives to individual business units. This connection between sophisticated and cutting edge risk measurement techniques and practical bank decision making about capital management and capital allocation make this book unique and provide readers with a depth of academic and theoretical expertise combined with practical and real-world understanding of bank structure, organizational constraints, and decisionmaking processes. *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.
ISBN:
0123694663
內容註:
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.
Value at risk and bank capital management
Saita, Francesco.
Value at risk and bank capital management
/ Francesco Saita. - Amsterdam : Elsevier Academic Press, c2007.. - xvi, 259 p. ; ill. ; 27 cm.. - (Academic Press advanced finance series).
Value at risk, capital management, and capital allocation.
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008..
Includes bibliographical references and index..
ISBN 0123694663ISBN 9780123694669
Bank capital.Banks and banking Electronic books.Banken (financi鋀le instellingen)Risk management. -- Risk management.
Value at risk and bank capital management
LDR
:04509cam 2200337Ii 4500
001
363577
005
20130114165326
009
158113
010
1
$a
0123694663
010
1
$a
9780123694669
100
$a
20080310d2007 u0engy0103 b
101
0
$a
eng
102
$a
mau
135
$a
v
200
1
$a
Value at risk and bank capital management
$f
Francesco Saita.
204
1
$a
[electronic resource]
210
$a
Amsterdam
$a
Boston
$c
Elsevier Academic Press
$d
c2007.
215
1
$a
xvi, 259 p.
$c
ill.
$d
27 cm.
225
2
$a
Academic Press advanced finance series
300
$a
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008.
320
$a
Includes bibliographical references and index.
327
0
$a
Value at risk, capital management, and capital allocation
$a
What is 'capital' management?
$a
Market risk
$a
Credit risk
$a
Operational risk and business risk
$a
Risk capital aggregation
$a
Value at risk and risk control for market and credit risk
$a
Risk-adjusted performance measurement
$a
Risk-adjusted performance targets, capital allocation, and the budgeting process.
330
0
$a
While the highly technical measurement techniques and methodologies of Value at Risk have attracted huge interest, much less attention has been focused on how Value at Risk and the risk-adjusted performance measures such as RAROC or economic profit/EVA can be effectively used to improve a bank's decision making processes. Academic books are typically concerned primarily with measurement techniques, and devote only a small section to describing the applications, usually without discussing the problems that changing organizational processes in banks may have on business units' behaviour. Practitioners’ books are often based on a single experience, presenting the approach that has been pursued by a single bank, but often do not adequately evaluate that approach. In actual practice, the choice of how to use Value at Risk and risk-adjusted performance measures has no single optimal solution, but requires effective decision making that can identify the solution that is consistent with the bank's style of management and coordination mechanisms, and often with characteristics of individual business units as well. In this book, Francesco Saita of Bocconi University argues that even though risk measurement techniques have greatly improved in recent years for market, credit and now also operational risk, capital management and capital allocation decisions are far from becoming purely technical and mechanical. On one hand, decisions about capital management must consider handling different capital constraints (e.g. regulatory vs. economic capital ) and face remarkable difficulties in providing a measure of aggregated?Value at Risk (i.e. a measure that considers the overall value at risk of the bank after diversification across risk types). On the other hand, the aim of using capital more efficiently through capital allocation cannot be achieved only through a sort of centralized asset allocation process, but rather by designing a Value at Risk limit system and a risk-adjusted performance measurement system that are designed to provide the right incentives to individual business units. This connection between sophisticated and cutting edge risk measurement techniques and practical bank decision making about capital management and capital allocation make this book unique and provide readers with a depth of academic and theoretical expertise combined with practical and real-world understanding of bank structure, organizational constraints, and decisionmaking processes. *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.
410
0
$1
2001 1
$a
Academic Press advanced finance series
452
1
$1
0101
$a
9780123694669
517
1
$a
Risk adjusted performances, capital management and capital allocation decision making
606
$a
Bank capital.
$3
455903
606
$a
Banks and banking
$x
Risk management.
$3
455904
606
$a
Electronic books.
$3
452603
606
$a
Banken (financi鋀le instellingen)
$3
455905
606
$a
Risk management.
$3
453709
676
$a
332.66
$v
22
680
$a
HG1616.C34
$b
S25 2007eb
700
1
$a
Saita
$b
Francesco.
$3
455902
712
0 2
$a
ScienceDirect (Online service)
$3
454379
801
0
$a
tw
$b
TUL
$c
20090617
801
1
$a
tw
$b
TUL
$c
20090617
856
7
$u
http://www.loc.gov/catdir/enhancements/fy0726/2007275073-d.html
856
7
$u
http://www.sciencedirect.com/science/book/9780123694669
$z
An electronic book accessible through the World Wide Web; click for information
筆 0 讀者評論
多媒體
評論
新增評論
分享你的心得
Export
取書館別
處理中
...
修改密碼
登入