Risk management and value creation in financial institutions:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2002
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Zugl.: Augsburg, Univ., Diss., 2001 u.d.T.: Schroeck, Gerhard: Risk management and value creation in banks |
| Physical Description: | XX, 332 S. graph. Darst. |
| ISBN: | 0471254762 |
Staff View
MARC
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| 500 | |a Zugl.: Augsburg, Univ., Diss., 2001 u.d.T.: Schroeck, Gerhard: Risk management and value creation in banks | ||
| 650 | 4 | |a Bank | |
| 650 | 4 | |a Asset-liability management | |
| 650 | 4 | |a Banks and banking |x Valuation | |
| 650 | 4 | |a Financial institutions |x Valuation | |
| 650 | 4 | |a Risk management | |
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Record in the Search Index
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| adam_text | IfUIIlHIIlQ
Figures xv
Tables xv«
Symbols xix
Abbreviations xxN
CIUPTBM
Introduction 1
CHAPTH2
Foundaflons Iop Determining the Unk between Risk Management
and Value Craatton hi Banks 9
Value Maximization in Banks 10
Value Maximization as the Firm s Objective 10
Valuation Framework for Banks 14
Problems with the Valuation Framework for Banks 16
Empirical Conundrum 16
Other Stakeholders Interests in Banks 21
Risk Management in Banks 23
Definition of Risk 24
Definition of Risk Management 25
Role and Importance of Risk and Its Management in Banks 28
Link between Risk Management and Value Creation in Banks 30
ix
XH CONTENTS
Definition ofRAROC 242
Advantages ofRAROC 245
Assumptions ofRAROC 247
Deficiencies ofRAROC 253
Deficiencies of the Generic RAROC Model 253
Modifying RAROC to Address Its Pitfalls 259
Fundamental Problems of RAROC 261
Evaluation of RAROC as a Single Factor Model
for Capital Budgeting in Banks 267
New Approaches to Capital Budgeting in Banks 268
Overview of the New Approaches 269
Evaluation ofRAROC in the Light of the New Approaches 272
Implications of the New Approaches to Risk Management
and Value Creation in Banks 273
Implications for Risk Management Decisions 274
Implications for Capital Budgeting Decisions 279
Implications for Capital Structure Decisions 279
New Approaches as Foundations for a Normative
Theory of Risk Management in Banks 280
Areas for Further Research 282
Summary 285
CHAPTB7
CwicliishHi 287
References 293
Index 311
¦iguruQ
Figure 1.1 Integrated view of value creation in banks.
Figure 2.1 Average bank performance versus broad market index
figure 2.2 Deviations in bank performance.
Figure 2.3 Best bank performers.
Figure 2.4 Worst bank performers.
Figure 2.5 Systematic versus specific risk in the banking industry
figure 2.6 Overview of ways to conduct risk management
Figure 2.7 Deutsche Bank.
Figure 2.8 Energy industry.
Figure 2.9 Consumer cyclical industry.
Figure 2.10 Utility industry.
Figure 3.1 The Wheel of Misfortune.
Figure 3.2 Overview of risk management rationales in the neoinstitutional
world.
Figure 3.3 Variations in firm value and default point.
Figure 3.4 Ownership concentration in European banks.
Figure 3.5 The underinvestment problem and risk management
Figure 3.6 Over and Underhedging.
Figure 3.7 Influence of bankruptcy costs on firm value
Figure 3.8 Tax schedules.
Figure 3.9 Effects of convex tax schedules on tax liabilities
Figure 3.10 Effects of convex tax schedules on after tax income.
Figure 4.1 The interdependency of capital budgeting, capital structure
and risk management when risk management can create value!
Figure 5.1 Capital ratios in U.S. banks over time.
Figure 5.2 Stakeholder tranches and risk capital.
Figure 5.3 Economic capital.
Figure 5.4 Types of risk in banks.
xM
XIV FIGURES
Figure 5.5 Value at risk.
Figure 5.6 Deriving expected losses.
Figure 5.7 Economic capital for credit risk.
Figure 5.8 Typical distribution for market risk.
Figure 5.9 Distribution for deriving economic capital for event risk.
Figure 5.10 Distribution for deriving economic capital for business risk.
Figure 5.11 Distribution of asset values and default probability.
Figure 5.12 Input and output variables for suggested top down approach.
Figure 6.1 Return on equity and changing capital structure.
Figure 6.2 Changes in RAROC for changes in riskiness and correlation.
Figure 6.3 RAROC and nonzero NPV projects.
Figure 6.4 Problem areas applying the RAROC decision rule—Zero NPV
projects.
Figure 6.5 Problem areas applying the RAROC decision rule—Negative
NPV projects.
Figure 6.6 Problem areas applying the RAROC decision rule—Positive
NPV projects.
Figure 6.7 Fundamental problems with RAROC.
Figure 6.8 Economic balance sheet including economic capital.
Figure 6.9 Overview of the components of a normative theory for risk
management.
tables
Table 2.1 Industry Control Sample
Table 2.2 Bank Performance
Table 3.1 Overview of Corporate Risk Management Scenarios
Table 3.2 Financial Risk Management by the Firm
Table 3.3 Sample of European Banks Selected for Testing Ownership
Concentration
Table 4.1 Summary Table for Comparison
Table 5.1 Bank Book Capital Ratios
Table 5.2 Overview of Capital Concepts in Banks
Table 5.3 Split of Economic Capital
Table 5.4 Input Data from Publicly Available Sources
Table 5.5 Iterative Procedure
Table 5.6 Approximate S P Default Probabilities
Table 5.7 Distance to Default
Table 5.8 Weighted Average Asset Return
Table 5.9 Final Results
Table 6.1 Effects of Keeping the Default Probability Constant
Table 6.2 Split of Economic Capital among Types of Risk
Table 6.3 CAPM Hurdle Rate and Economic Capital
XV
|
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| indexdate | 2024-07-09T19:03:15Z |
| institution | BVB |
| isbn | 0471254762 |
| language | English |
| lccn | 2002008564 |
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| physical | XX, 332 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
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| publisher | Wiley |
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| spelling | Schroeck, Gerhard Verfasser aut Risk management and value creation in financial institutions Gerhard Schroeck Hoboken, NJ Wiley 2002 XX, 332 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Augsburg, Univ., Diss., 2001 u.d.T.: Schroeck, Gerhard: Risk management and value creation in banks Bank Asset-liability management Banks and banking Valuation Financial institutions Valuation Risk management Bilanzstrukturmanagement (DE-588)4413520-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bilanzstrukturmanagement (DE-588)4413520-8 s Risikomanagement (DE-588)4121590-4 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009887584&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schroeck, Gerhard Risk management and value creation in financial institutions Bank Asset-liability management Banks and banking Valuation Financial institutions Valuation Risk management Bilanzstrukturmanagement (DE-588)4413520-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4413520-8 (DE-588)4121590-4 (DE-588)4113937-9 |
| title | Risk management and value creation in financial institutions |
| title_auth | Risk management and value creation in financial institutions |
| title_exact_search | Risk management and value creation in financial institutions |
| title_full | Risk management and value creation in financial institutions Gerhard Schroeck |
| title_fullStr | Risk management and value creation in financial institutions Gerhard Schroeck |
| title_full_unstemmed | Risk management and value creation in financial institutions Gerhard Schroeck |
| title_short | Risk management and value creation in financial institutions |
| title_sort | risk management and value creation in financial institutions |
| topic | Bank Asset-liability management Banks and banking Valuation Financial institutions Valuation Risk management Bilanzstrukturmanagement (DE-588)4413520-8 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Bank Asset-liability management Banks and banking Valuation Financial institutions Valuation Risk management Bilanzstrukturmanagement Risikomanagement Hochschulschrift |
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