Value at risk and bank capital management /

Show other versions (2)

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'...

Full description

Bibliographic Details
Call Number:Libro Electrónico
Main Author: Saita, Francesco
Format: Electronic eBook
Language:Inglés
Published: Amsterdam ; Boston : Elsevier Academic Press, ©2007.
Series:Academic Press advanced finance series.
Subjects:
Bank capital.
Banks and banking > Risk management.
Banques > Capital.
BUSINESS & ECONOMICS > Banks & Banking.
Bank capital
Risk management.
Banken (financiële instellingen)
Online Access:Texto completo
Texto completo
Table of Contents:
  • 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.

Similar Items