Risk Management and Shareholders' Value in Banking : From Risk Measurement Models to Capital Allocation Policies
Language: English
Published by Wiley & Sons, Incorporated, John, 2007
- Hardcover
- Used
Seller: Better World Books Ltd, Dunfermline, United KingdomBetter World Books Ltd
AbeBooks seller since October 13, 2008
Condition: Used - Good
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Pages intact with minimal writing/highlighting. The binding may be loose and creased. Dust jackets/supplements are not included. Stock photo provided. Product includes identifying sticker. Better World Books: Buy Books. Do Good.
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- Title
- Risk Management and Shareholders' Value in Banking : From Risk Measurement Models to Capital Allocation Policies
- Author
- Resti, Andrea, Sironi, Andrea
- Publisher
- Wiley & Sons, Incorporated, John
- Publication year
- 2007
- Condition
- Good
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0470029781
- ISBN 13
- 9780470029787
- Item weight
- 3.287 pounds
- Dimensions
- N/A
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
"Synopsis" may belong to another edition of this title.
About the Author
ANDREA RESTI, formerly an officer at one of Italy's largest banks, has worked on Basel II issues for the Centre for European Policy Studies (Brussels). A consultant to several major banks, as well as to the Bank of Italy, he has held courses on credit risk for GARP and PRMIA.
ANDREA SIRONI, formerly with Chase Manhattan Bank in London, has been a visiting scholar at the Stern School of Business (NYU) and at the Federal Reserve Board of Governors (Washington). He is currently Dean for International Affairs at Bocconi University (Milan) and a member of the Fitch Academic Advisory Board.
The authors are both professors of Financial Markets and Institutions at Bocconi and have been teaching banking and finance for more than 15 years. Their publications comprise many articles in major international academic journals, as well as several risk management and banking textbooks, including a best-selling title on recovery risk.
"About the title" may belong to another edition of this title.
Better World Books Ltd
Dunfermline, United Kingdom
AbeBooks seller since October 13, 2008
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