Optimal economic capital allocation in banking on the basis of decision rights

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: JAN MULLER
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [S.l.] : DUNCKER & HUMBLOT, 2015.
Colección:Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim.
Temas:
Bank investments.
Capital investments.
Resource allocation.
Capital Financing
Banques > Investissements.
Investissements de capitaux.
Affectation des ressources.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Intro
  • FOREWORD
  • CONTENTS
  • FIGURES
  • TABLES
  • ALGORITHMS
  • 1 INTRODUCTION
  • 1.1 Problem and research question
  • 1.2 Organization of the research
  • 2 CORPORATE MANAGEMENT BYECONOMIC CAPITALALLOCATION
  • 2.1 Properties of economic capital
  • 2.2 Required economic capital by downside riskmeasurement
  • 2.3 Corporate management by bank-wide VARlimit systems
  • 2.4 Economic capital allocation on the basis of riskadjusted performance measurement
  • 2.4.1 Introduction to risk adjusted Performance measures
  • 2.4.2 Controversial benchmarking on the basis of hurdle rates
  • 2.4.3 Implications of limit addressees in the form of decision makers
  • 2.5 Economic capital allocation as a situation ofdelegation by decision rights
  • 2.5.1 Implications for the risk management process
  • 2.5.2 Costs of delegation by decision rights
  • 3 IMPLICATIONS OF RELATEDFIELDS OF RESEARCH
  • 3.1 Different situations of economic capitalallocation
  • 3.2 Risk contribution
  • a form of economic capitalallocation
  • 3.2.1 Risk contribution schemes
  • 3.2.2 Particular approaches from the field of risk contribution
  • 3.3 Axiomatization of economic capital allocation
  • 3.3.1 Axiomatization of risk measures
  • 3.3.2 Transfer of the axiomatization framework to economic capitalallocation
  • 3.4 Risk assessment over time by dynamic riskmeasures
  • 3.5 Economic capital allocation as a means ofcorporate management
  • 3.6 Portfolio optimization under a downside riskconstraint
  • 3.6.1 Approaches on the basis of traditional methods of optimization
  • 3.6.2 Heuristic methods of optimization
  • 3.6.2.1 Categorization of the field of heuristic optimization
  • 3.6.2.2 Approaches on the basis of heuristic optimization methods
  • 4 BASIC MODEL OF OPTIMALECONOMIC CAPITALALLOCATION
  • 4.1 Qualitative description of the model
  • 4.2 Determination of the underlying stochasticprogram
  • 4.3 Valuation of the objective function on the basisof a trading simulation
  • 4.3.1 Simulation of the stocks' returns
  • 4.3.2 Simulation of the business units' profits and losses
  • 4.3.3 Simulation of the heterogeneous prospects of success of the businessunits
  • 4.4 Out-of-sample backtesting and the role ofimportance sampling
  • 5 HEURISTIC OPTIMIZATION OFRISK LIMIT SYSTEMS BYTHRESHOLD ACCEPTING
  • 5.1 Visual proof of non-convexity by an exemplarymodel case
  • 5.2 Basic algorithm of threshold accepting
  • 5.3 Determination of start solutions
  • 5.4 Neighborhood function
  • 5.4.1 Basic design of the neighborhood function
  • 5.4.2 Generation of the transfer value
  • 5.4.3 Monitoring of the constraints' satisfaction
  • 5.5 Generation of the threshold sequence
  • 5.6 Parallelization of threshold accepting
  • 6 PARAMETERIZATION OFTHRESHOLD ACCEPTING
  • 6.1 Concept of successive parameterization incontext with the present model
  • 6.2 Effective combinations of thresholds andtransfer values

Ejemplares similares