Value at risk and bank capital management /

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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'...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Saita, Francesco
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; Boston : Elsevier Academic Press, ©2007.
Colección:Academic Press advanced finance series.
Temas:
Bank capital.
Banks and banking > Risk management.
Banques > Capital.
BUSINESS & ECONOMICS > Banks & Banking.
Bank capital
Risk management.
Banken (financiële instellingen)
Acceso en línea:Texto completo
Texto completo
Tabla de Contenidos:
  • 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.

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