Managing and Measuring Capital: For Banks and Financial Institutions - Softcover
There are two main parts to this book. The first part is concerned with the general issues of capital management, allocation, risk attribution and performance determination. The second part focuses on the measurement of capital. The book is essential for all who witnessed the devastating effects of the crisis, due fundamentally to undercapitalisation. The current capital regime has turned out to be seriously flawed whether it was intentional or not, and whether or not regulators played an important role in creating this crisis. The call for regulatory reform is an open-ended endeavor. The book is made up of the following two parts, namely, Part I: Managing Capital and Part II: Measuring Capital, with several sections under each part. Important goals of the book: 1. Assess the role of capital in the banking and financial industry. 2. Assess the impact of capital to risk-taking behavior in the financial industry. 3. Determine the amount of risk capital necessary for financial institutions to remain solvent in both normal markets and stressed conditions. 4. Discuss the role of regulatory capital requirements and current supervisory proposals to increase capital requirements from all fronts. 5. Assess the role of economic capital in a capital management framework. 6. Discuss the importance of liquidity management in capital management. 7. Discuss the development and measurement of risk-based capital standards. 8. Develop methodologies for measuring bank capital under stressed markets. 9. Discuss the importance, as well as the shortcomings, of stress testing and scenario analysis in capital measurement and management. 10. Provide guidance on capital and performance management: capital allocation, risk attribution and performance measurement. 11. Provide both qualitative (i.e., management) and quantitative (i.e., measurement) guidance on topics related to capital. This book simultaneously incorporates both management and measurement, while aiming to provide internal and regulatory guidance for methodologies, allocation and performance assessment of capital. Furthermore, it also attempts to address deficiencies in the current capital regime that are alleged to be the root causes of the current credit crisis. Essentially, this book is well timed, covering a topic of necessity.
"synopsis" may belong to another edition of this title.
Review:
"While being centred on capital, Ong's book goes well beyond and covers all key features of the post-crisis regulatory and risk-management scenario. With his authoritativeness in capital management issues, Michael has managed to assemble a unique team of top researchers and practitioners, providing an updated insight on most Basel-3 topics." --Andrea Resti, Bocconi University
"This is a very useful book on management of capital as well as how capital can be measured in banks and in broader financial institutions. After the financial crisis of 2007-2008, the emphasis on stress tests for capital adequacy has shifted some focus from economic capital frameworks, not only for the Fed stress tests but also for ICAAP purposes. The book comes out at an opportune moment to refocus our attention to the basic concepts of economic and regulatory capital." --Ashish Dev, Managing Director, JP Morgan Chase
"Capital management and capital efficiency is more important than ever. Capital is a scarce resource and financial institutions have to work harder than ever to get their capital basis in good shape. Michael Ong is a well-known expert and well respected author who published numerous expositions, papers and books in the field of risk management. His contribution on capital management is a milestone in risk management and should be read by all professionals who deal with capital management in their daily business." --Christian Bluhm, Dr. rer. nat., Chief Risk Officer, FMS Wertmanagement
About the Author:
"This is a very useful book on management of capital as well as how capital can be measured in banks and in broader financial institutions. After the financial crisis of 2007-2008, the emphasis on stress tests for capital adequacy has shifted some focus from economic capital frameworks, not only for the Fed stress tests but also for ICAAP purposes. The book comes out at an opportune moment to refocus our attention to the basic concepts of economic and regulatory capital." --Ashish Dev, Managing Director, JP Morgan Chase
"Capital management and capital efficiency is more important than ever. Capital is a scarce resource and financial institutions have to work harder than ever to get their capital basis in good shape. Michael Ong is a well-known expert and well respected author who published numerous expositions, papers and books in the field of risk management. His contribution on capital management is a milestone in risk management and should be read by all professionals who deal with capital management in their daily business." --Christian Bluhm, Dr. rer. nat., Chief Risk Officer, FMS Wertmanagement
Dr. Michael K. Ong is currently Professor of Finance at the Stuart School of Business, Illinois Institute of Technology. He was formerly the Director of the Finance Program and the Executive Director of the Center for Financial Markets. Prior to his retirement from the financial industry, Professor Ong was Executive Vice President and Chief Risk Officer for Credit Agricole Indosuez in New York. He has enterprise-wide responsibility for all risk management functions for corporate banking, merchant banking, asset management, capital markets activities, and the brokerage division. He was a member of the Executive Committee. Before that, he was Head of Enterprise Risk Management for ABN-AMRO Bank, responsible for management information and decision support function for the Executive Committee regarding enterprise-wide market, credit, operational, and liquidity risk, as well as RAROC, ROE, and related optimization models. Prior to that, Dr. Ong was Head of Corporate Research Unit for First Chicago NBD Corporation. The unit supports the Bank in its global enterprise-wide risk management function market and credit risk analyses and the allocation of economic capital and oversees the quantitative research units of the trading areas. Earlier on, he served as an assistant professor of mathematics at Bowdoin College for seven years with his research specialty in mathematical physics. He is a member of the Editorial Board of the Journal of Financial Regulation and Compliance, the Journal of Credit Risk, and the Journal of Risk Management for Financial Institutions. He was the founding editor and Editor-in-Chief of the Journal of Credit Risk, and was on the editorial board of the Journal of RISK and The RMA Journal. He is author or editor of the following best-selling books: Internal Credit Risk Models Capital Allocation and Performance Measurement (Risk Books,1999); Credit Ratings Methodologies, Rationale and Default Risk (Risk Books, 2002); The Basel Handbook A Guide for Practitioners (Risk Books, 2004); Risk Management A Modern Perspective (Elsevier, 2006);The Basel Handbook, 2nd Ed. (Risk Books, 2007). Dr. Ong is widely recognized in the financial industry for his work on portfolio credit risk modelling, RAROC, economic capital allocation, operational risk, enterprise risk management, his very active involvement in regulatory issues, and his thoughtful candor on issues affecting the financial industry in general.
"About this title" may belong to another edition of this title.
- PublisherRisk Books
- Publication date2012
- ISBN 10 1906348456
- ISBN 13 9781906348458
- BindingPaperback
- Number of pages554
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