Value at risk and bank capital management: [risk adjusted performances, capital management and capital allocation decision making]
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam [u.a.]
Elsevier Acad. Press
2007
|
| Series: | Academic Press advanced finance series
|
| Subjects: | |
| Online Access: | Publisher description Inhaltsverzeichnis |
| Physical Description: | XVI, 259 S. graph. Darst. 27 cm |
| ISBN: | 9780123694669 0123694663 |
Staff View
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV022936617 | ||
| 003 | DE-604 | ||
| 005 | 20080128 | ||
| 007 | t | ||
| 008 | 071024s2007 xxud||| |||| 00||| eng d | ||
| 010 | |a 2007275073 | ||
| 020 | |a 9780123694669 |c hbk. |9 978-0-12-369466-9 | ||
| 020 | |a 0123694663 |c hbk. |9 0-12-369466-3 | ||
| 035 | |a (OCoLC)254423781 | ||
| 035 | |a (DE-599)DNB 2007275073 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c US | ||
| 049 | |a DE-706 |a DE-355 |a DE-384 |a DE-703 | ||
| 050 | 0 | |a HG1616.C34 | |
| 082 | 0 | |a 332.1068 | |
| 082 | 0 | |a 332.1 | |
| 084 | |a QK 320 |0 (DE-625)141644: |2 rvk | ||
| 100 | 1 | |a Saita, Francesco |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Value at risk and bank capital management |b [risk adjusted performances, capital management and capital allocation decision making] |c Francesco Saita |
| 264 | 1 | |a Amsterdam [u.a.] |b Elsevier Acad. Press |c 2007 | |
| 300 | |a XVI, 259 S. |b graph. Darst. |c 27 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Academic Press advanced finance series | |
| 650 | 4 | |a Bank | |
| 650 | 4 | |a Bank capital | |
| 650 | 4 | |a Banks and banking |x Risk management | |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Bank |0 (DE-588)4004436-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Value at Risk |0 (DE-588)4519495-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Bank |0 (DE-588)4004436-1 |D s |
| 689 | 0 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | 2 | |a Value at Risk |0 (DE-588)4519495-6 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Kapitalmarkt |0 (DE-588)4029578-3 |D s |
| 689 | 1 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 1 | 2 | |a Value at Risk |0 (DE-588)4519495-6 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy0726/2007275073-d.html |3 Publisher description | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016141352&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016141352 | ||
Record in the Search Index
| _version_ | 1804137171125272576 |
|---|---|
| adam_text | Contents
Preface xi
Chapter 1: Value at Risk, Capital Management, and Capital
Allocation 1
1.1 An Introduction to Value at Risk 2
1.2 Capital Management and Capital Allocation: The Structure of
the Book 4
Chapter 2: What Is Capital Management? 7
2.1 Regulatory Capital and the Evolution of Basel II 8
2.1.1 The 1988 Basel I Accord and the 1996 Amendment 8
2.1.2 The Concept of Regulatory Capital 9
2.2 Overview of the Basel II Capital Accord 10
2.2.1 Pillar 1: Minimum Capital Requirements — The Main Changes
Introduced by Basel II 11
Box 2 1: Impact of the Basel II Accord on the Level of
Minimum Regulatory Capital Requirements 12
2.2.2 Pillar 2: Supervisory Review Process 14
2.2.3 Pillar 3: Market Discipline 15
2.2.4 The Debate about Basel II Adoption and Implementation 16
2.3 Bank Estimates of Required Capital and the Different Notions of
Bank Capital 17
2.3.1 Book Value of Capital and the Impact of IAS/IFRS 17
2.3.2 Market Capitalization and the Double Perspective of Bank
Managers 19
2.3.3 The Impact of Alternative Notions of Capital on Capital
Management and Allocation 20
vi CONTENTS
2.4 Summary 22
2.5 Further Reading 23
Chapter 3: Market Risk 25
3.1 The Variance Covariance Approach 26
3.1.1 A Simplified Example 27
3.1.2 The Choice of the Relevant Random Variables 29
3.1.3 Mapping Exposures 30
Box 3 1: Mapping Equity Positions through Beta: An Example ... 32
3.1.4 VaR for a Portfolio 36
Box 3 2: Calculating VaR for a Three Stock Portfolio 38
Box 3 3: Why Mapping Is Important 38
3.1.5 Estimating Volatility and Correlation: Simple Moving Averages ... 39
3.1.6 Estimating Volatility and Correlation: Exponentially Weighted
Moving Averages and GARCH Models 40
3.1.7 VaR Estimates and the Relevance of the Time Horizon 43
3.1.8 Implied Volatilities and Correlations 44
Box 3 4: Deriving Implied Volatility from Option Prices 45
3.2 Simulation Approaches: Historical Simulation and Monte Carlo
Simulation 45
3.2.1 Historical Simulation 46
3.2.2 Hybrid Approach 48
3.2.3 Monte Carlo Simulations 48
3.2.4 Filtered Historical Simulations 50
3.3 Value at Risk for Option Positions 51
3.3.1 Problems in Option VaR Measurement 51
3.3.2 Potential Solutions for Option VaR Measurement 52
3.4 Extreme Value Theory and Copulas 55
3.4.1 Extreme Value Theory 55
3.4.2 Copulas 56
3.5 Expected Shortfall and the Problem of VaR Nonsubadditivity 57
3.6 Back Testing Market Risk Models 59
3.6.1 Which Series Should Be Considered? Actual versus Theoretical
Portfolio Returns 59
3.6.2 Back Testing VaR Forecasts: Unconditional Accuracy and
Independence 61
3.7 Internal VaR Models and Market Risk Capital Requirements 62
3.8 Stress Testing 63
3.9 Summary 64
3.10 Further Reading 65
Chapter 4: Credit Risk 67
4.1 Denning Credit Risk: Expected and Unexpected Losses 67
4.2 Agency Ratings 70
4.2.1 External Rating Assignment 71
4.2.2 Transition Matrixes and Cumulative and Marginal Default
Probabilities 71
CONTENTS vii
4.3 Quantitative Techniques for Stand Alone Credit Risk Evaluation:
Moody s/KMV EDF and External Scoring Systems 74
4.3.1 Merton s (1974) Model and Moody s/KMV Expected
Default Frequency 74
Box 4 1: Deriving the Theoretical Credit Spread for Risky
Bonds in the Merton (1974) Model 75
4.3.2 Credit Scoring Systems 78
4.4 Capital Requirements for Credit Risk under Basel II 80
4.4.1 Standardized Approach 81
4.4.2 Foundation and Advanced Internal Rating Based Approaches .... 82
4.5 Internal Ratings 82
4.5.1 Internal Rating Assignment Process 83
4.5.2 Rating Quantification and the Definition of Default 87
4.5.3 Point in Time versus Through the Cycle Internal Ratings 89
4.6 Estimating Loss Given Default 89
4.7 Estimating Exposure at Default 92
4.8 Interaction between Basel II and International Accounting
Standards 93
4.9 Alternative Approaches to Modeling Credit Portfolio Risk 96
4.9.1 CreditMetrics™ 97
4.9.2 Moody s/KMV PortfolioManager™ 101
4.9.3 CreditPortfolio View 102
4.9.4 CreditRisk+ 105
4.10 Comparison of Main Credit Portfolio Models 108
Box 4 2: Industry Practices Concerning Credit
Portfolio Models 110
Box 4 3: How Close Are Results Obtained from Credit Risk
Portfolio Models? Ill
4.11 Summary 112
4.12 Further Reading 113
Chapter 5: Operational Risk and Business Risk 115
5.1 Capital Requirements for Operational Risk Measurement under
Basel II 116
5.1.1 Basic Indicator Approach (BIA) 116
5.1.2 Standardized Approach (SA) 116
5.1.3 Advanced Measurement Approach (AMA) 117
5.2 Objectives of Operational Risk Management 118
5.3 Quantifying Operational Risk: Building the Data Sources 119
5.3.1 Operational Risk Mapping and the Identification of Key Risk
Indicators 120
5.3.2 Building an Internal Loss Database 121
5.3.3 External Loss Databases 124
5.3.4 Scenario Analysis 125
5.4 Quantifying Operational Risk: From Loss Frequency and Severity to
Operational Risk Capital 125
5.4.1 Modeling Severity Based on Internal Loss Data 126
viii CONTENTS
5.4.2 Integrating Internal Severity Data with External Data and
Scenario Analysis 127
5.4.3 Estimating Operational Loss Frequency 128
5.4.4 Estimating Correlation or Dependence among Operational
Events 129
5.4.5 Deriving Operational Risk Capital Estimates through
Simulation 130
5.4.6 Is Risk Measurement the Final Step? 130
5.5 Case Study: U.S. Bank Progress on Measuring Operational Risk, by
Patrick de Fontnouvelle and Victoria Garrity (Supervision,
Regulation, and Credit Department, Federal Reserve Bank of Boston) ... 131
5.6 The Role of Measures of Business Risk and Earnings at Risk 134
5.7 Measuring Business Risk in Practice: Denning a Measure of Earnings
at Risk 137
5.8 From Earnings at Risk to Capital at Risk 139
5.9 Summary 142
5.10 Further Reading 143
Chapter 6: Risk Capital Aggregation 145
6.1 The Need for Harmonization: Time Horizon, Confidence Level, and the
Notion of Capital 146
6.2 Risk Aggregation Techniques 148
6.2.1 Choosing the Components to Be Aggregated: Business Units
versus Risk Types 149
6.2.2 Alternative Risk Aggregation Methodologies 149
6.3 Estimating Parameters for Risk Aggregation 153
Box 6 1: Some Examples of Linear Correlation Coefficient
Estimates from Existing Studies and Their Implication
on Aggregated Risk Capital 158
6.4 Case Study: Capital Aggregation within Fortis (by Luc Henrard, Chief
Risk Officer, Fortis, and Ruben Olieslagers, Director, Central Risk
Management, Fortis) 159
6.5 A Synthetic Comparison of Alternative Risk Aggregation Techniques .... 164
6.6 Summary 166
6.7 Further Reading 167
Chapter 7: Value at Risk and Risk Control for Market and
Credit Risk 169
7.1 Denning VaR Based Limits for Market Risk: Identifying Risk Taking
Centers 171
Box 7 1: Clarifying VaR Measurement Limitations: Deutsche
Bank s Example 172
7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR
and Annual Potential Losses 173
CONTENTS ix
7.2.1 Translating Actual Daily VaR Values into an Equivalent Ex Post
Yearly VaR 174
Box 7 2: Daily VaR Fluctuations and Their Implications for
Ex Post Yearly VaR: An Example Based on
Real Data 176
7.2.2 Translating Yearly Ex Ante Acceptable Loss into an Equivalent
Daily VaR 177
7.2.3 The Case of Variable VaR Limits and the Role of Cumulated
Losses 178
7.3 Managing VaR Based Trading Limits 179
7.4 Identifying Risk Contributions and Internal Hedges: VaRDelta,
Component VaR, and Incremental VaR 182
Box 7 3: Variant for the Calculation of Component VaR 188
7.5 Managing Risk and Pricing Limits for Credit Risk 189
7.5.1 Setting Loan Autonomy Limits: From Notional Size to
Expected Loss 189
7.5.2 Setting Loan Pricing Limits 190
7.5.3 Case 1: Large Borrower Applying for a Loan from an Investment
Bank 191
7.5.4 Case 2: SME Applying for a Loan from a Smaller,
Retail Oriented Bank 192
7.6 Summary 193
7.7 Further Reading 194
Chapter 8: Risk Adjusted Performance Measurement 195
8.1 Business Areas, Business Units, and the Double Role of Risk Adjusted
Performance Measures 196
8.2 Checking the Measure of Profit 196
8.2.1 Transfer Prices 197
8.2.2 Cost Attribution and Its Impact on RAP Measures 198
8.3 Capital Investment versus Capital Allocation 199
8.4 Choosing the Measure of Capital at Risk: Allocated Capital versus
Utilized Capital 199
8.5 Choosing the Measure of Capital at Risk: Diversified Capital versus
Undiversified Capital 202
8.5.1 Comparison of Alternative Diversified CaR Measures 202
8.5.2 Criteria for Choosing between Diversified and Undiversified
CaR 205
8.6 Choosing the Risk Adjusted Performance Measure: EVA vs. RAROC .... 207
8.7 Variants and Potential Extensions 209
8.7.1 Differentiated Target Returns 209
8.7.2 Alternative RAP Measures 209
8.7.3 Expected Shortfall and Performance Measurement 210
8.7.4 Operational Risk, Business Risk, and Performance
Measurement 210
8.8 Risk Adjusted Performances and Managers Performance Evaluation 212
8.9 Summary 215
8.10 Further Reading 216
x CONTENTS
Chapter 9: Risk Adjusted Performance Targets, Capital
Allocation, and the Budgeting Process 217
9.1 From the Bank s Cost of Equity Capital to Performance Targets
for the Bank 218
9.1.1 Estimating the Cost of Equity Capital 218
9.1.2 Defining the Target Rate of Return 219
9.2 Should Business Units Target Returns Be Different? 222
9.2.1 Potential Effects of a Single Hurdle Rate 223
9.2.2 Estimating Betas for Different Businesses 224
9.2.3 Applying Different Costs of Capital: Identifying the Driver 226
9.3 Capital Allocation and the Planning and Budgeting Process 227
9.3.1 Why Should Capital Allocation Be Linked to the Planning
Process? 228
9.3.2 Why Should Capital Allocation Not Be Linked to the Planning
Process? 228
9.4 Case Study: Capital Allocation Process at UniCredit Group (by Elio
Berti, head of Capital Allocation, CFO Department, UniCredit) 230
9.4.1 UniCredit Group Capital Allocation Process and Criteria 230
9.4.2 Setting of Value Creation and Capital Allocation Targets within
Planning and Control Processes 231
9.5 Summary 233
9.6 Further Reading 234
Final Remarks 237
Selected Free Risk Management Related Websites 239
References 245
Index 255
|
| adam_txt |
Contents
Preface xi
Chapter 1: Value at Risk, Capital Management, and Capital
Allocation 1
1.1 An Introduction to Value at Risk 2
1.2 Capital Management and Capital Allocation: The Structure of
the Book 4
Chapter 2: What Is "Capital" Management? 7
2.1 Regulatory Capital and the Evolution of Basel II 8
2.1.1 The 1988 Basel I Accord and the 1996 Amendment 8
2.1.2 The Concept of Regulatory Capital 9
2.2 Overview of the Basel II Capital Accord 10
2.2.1 Pillar 1: Minimum Capital Requirements — The Main Changes
Introduced by Basel II 11
Box 2 1: Impact of the Basel II Accord on the Level of
Minimum Regulatory Capital Requirements 12
2.2.2 Pillar 2: Supervisory Review Process 14
2.2.3 Pillar 3: Market Discipline 15
2.2.4 The Debate about Basel II Adoption and Implementation 16
2.3 Bank Estimates of Required Capital and the Different Notions of
Bank Capital 17
2.3.1 Book Value of Capital and the Impact of IAS/IFRS 17
2.3.2 Market Capitalization and the Double Perspective of Bank
Managers 19
2.3.3 The Impact of Alternative Notions of Capital on Capital
Management and Allocation 20
vi CONTENTS
2.4 Summary 22
2.5 Further Reading 23
Chapter 3: Market Risk 25
3.1 The Variance Covariance Approach 26
3.1.1 A Simplified Example 27
3.1.2 The Choice of the Relevant Random Variables 29
3.1.3 Mapping Exposures 30
Box 3 1: Mapping Equity Positions through Beta: An Example . 32
3.1.4 VaR for a Portfolio 36
Box 3 2: Calculating VaR for a Three Stock Portfolio 38
Box 3 3: Why Mapping Is Important 38
3.1.5 Estimating Volatility and Correlation: Simple Moving Averages . 39
3.1.6 Estimating Volatility and Correlation: Exponentially Weighted
Moving Averages and GARCH Models 40
3.1.7 VaR Estimates and the Relevance of the Time Horizon 43
3.1.8 Implied Volatilities and Correlations 44
Box 3 4: Deriving Implied Volatility from Option Prices 45
3.2 Simulation Approaches: Historical Simulation and Monte Carlo
Simulation 45
3.2.1 Historical Simulation 46
3.2.2 Hybrid Approach 48
3.2.3 Monte Carlo Simulations 48
3.2.4 Filtered Historical Simulations 50
3.3 Value at Risk for Option Positions 51
3.3.1 Problems in Option VaR Measurement 51
3.3.2 Potential Solutions for Option VaR Measurement 52
3.4 Extreme Value Theory and Copulas 55
3.4.1 Extreme Value Theory 55
3.4.2 Copulas 56
3.5 Expected Shortfall and the Problem of VaR Nonsubadditivity 57
3.6 Back Testing Market Risk Models 59
3.6.1 Which Series Should Be Considered? Actual versus Theoretical
Portfolio Returns 59
3.6.2 Back Testing VaR Forecasts: Unconditional Accuracy and
Independence 61
3.7 Internal VaR Models and Market Risk Capital Requirements 62
3.8 Stress Testing 63
3.9 Summary 64
3.10 Further Reading 65
Chapter 4: Credit Risk 67
4.1 Denning Credit Risk: Expected and Unexpected Losses 67
4.2 Agency Ratings 70
4.2.1 External Rating Assignment 71
4.2.2 Transition Matrixes and Cumulative and Marginal Default
Probabilities 71
CONTENTS vii
4.3 Quantitative Techniques for Stand Alone Credit Risk Evaluation:
Moody's/KMV EDF and External Scoring Systems 74
4.3.1 Merton's (1974) Model and Moody's/KMV Expected
Default Frequency 74
Box 4 1: Deriving the Theoretical Credit Spread for Risky
Bonds in the Merton (1974) Model 75
4.3.2 Credit Scoring Systems 78
4.4 Capital Requirements for Credit Risk under Basel II 80
4.4.1 Standardized Approach 81
4.4.2 Foundation and Advanced Internal Rating Based Approaches . 82
4.5 Internal Ratings 82
4.5.1 Internal Rating Assignment Process 83
4.5.2 Rating Quantification and the Definition of Default 87
4.5.3 Point in Time versus Through the Cycle Internal Ratings 89
4.6 Estimating Loss Given Default 89
4.7 Estimating Exposure at Default 92
4.8 Interaction between Basel II and International Accounting
Standards 93
4.9 Alternative Approaches to Modeling Credit Portfolio Risk 96
4.9.1 CreditMetrics™ 97
4.9.2 Moody's/KMV PortfolioManager™ 101
4.9.3 CreditPortfolio View 102
4.9.4 CreditRisk+ 105
4.10 Comparison of Main Credit Portfolio Models 108
Box 4 2: Industry Practices Concerning Credit
Portfolio Models 110
Box 4 3: How Close Are Results Obtained from Credit Risk
Portfolio Models? Ill
4.11 Summary 112
4.12 Further Reading 113
Chapter 5: Operational Risk and Business Risk 115
5.1 Capital Requirements for Operational Risk Measurement under
Basel II 116
5.1.1 Basic Indicator Approach (BIA) 116
5.1.2 Standardized Approach (SA) 116
5.1.3 Advanced Measurement Approach (AMA) 117
5.2 Objectives of Operational Risk Management 118
5.3 Quantifying Operational Risk: Building the Data Sources 119
5.3.1 Operational Risk Mapping and the Identification of Key Risk
Indicators 120
5.3.2 Building an Internal Loss Database 121
5.3.3 External Loss Databases 124
5.3.4 Scenario Analysis 125
5.4 Quantifying Operational Risk: From Loss Frequency and Severity to
Operational Risk Capital 125
5.4.1 Modeling Severity Based on Internal Loss Data 126
viii CONTENTS
5.4.2 Integrating Internal Severity Data with External Data and
Scenario Analysis 127
5.4.3 Estimating Operational Loss Frequency 128
5.4.4 Estimating Correlation or Dependence among Operational
Events 129
5.4.5 Deriving Operational Risk Capital Estimates through
Simulation 130
5.4.6 Is Risk Measurement the Final Step? 130
5.5 Case Study: U.S. Bank Progress on Measuring Operational Risk, by
Patrick de Fontnouvelle and Victoria Garrity (Supervision,
Regulation, and Credit Department, Federal Reserve Bank of Boston) . 131
5.6 The Role of Measures of Business Risk and Earnings at Risk 134
5.7 Measuring Business Risk in Practice: Denning a Measure of Earnings
at Risk 137
5.8 From Earnings at Risk to Capital at Risk 139
5.9 Summary 142
5.10 Further Reading 143
Chapter 6: Risk Capital Aggregation 145
6.1 The Need for Harmonization: Time Horizon, Confidence Level, and the
Notion of Capital 146
6.2 Risk Aggregation Techniques 148
6.2.1 Choosing the Components to Be Aggregated: Business Units
versus Risk Types 149
6.2.2 Alternative Risk Aggregation Methodologies 149
6.3 Estimating Parameters for Risk Aggregation 153
Box 6 1: Some Examples of Linear Correlation Coefficient
Estimates from Existing Studies and Their Implication
on Aggregated Risk Capital 158
6.4 Case Study: Capital Aggregation within Fortis (by Luc Henrard, Chief
Risk Officer, Fortis, and Ruben Olieslagers, Director, Central Risk
Management, Fortis) 159
6.5 A Synthetic Comparison of Alternative Risk Aggregation Techniques . 164
6.6 Summary 166
6.7 Further Reading 167
Chapter 7: Value at Risk and Risk Control for Market and
Credit Risk 169
7.1 Denning VaR Based Limits for Market Risk: Identifying Risk Taking
Centers 171
Box 7 1: Clarifying VaR Measurement Limitations: Deutsche
Bank's Example 172
7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR
and Annual Potential Losses 173
CONTENTS ix
7.2.1 Translating Actual Daily VaR Values into an Equivalent Ex Post
Yearly VaR 174
Box 7 2: Daily VaR Fluctuations and Their Implications for
Ex Post Yearly VaR: An Example Based on
Real Data 176
7.2.2 Translating Yearly Ex Ante Acceptable Loss into an Equivalent
Daily VaR 177
7.2.3 The Case of Variable VaR Limits and the Role of Cumulated
Losses 178
7.3 Managing VaR Based Trading Limits 179
7.4 Identifying Risk Contributions and Internal Hedges: VaRDelta,
Component VaR, and Incremental VaR 182
Box 7 3: Variant for the Calculation of Component VaR 188
7.5 Managing Risk and Pricing Limits for Credit Risk 189
7.5.1 Setting Loan Autonomy Limits: From Notional Size to
Expected Loss 189
7.5.2 Setting Loan Pricing Limits 190
7.5.3 Case 1: Large Borrower Applying for a Loan from an Investment
Bank 191
7.5.4 Case 2: SME Applying for a Loan from a Smaller,
Retail Oriented Bank 192
7.6 Summary 193
7.7 Further Reading 194
Chapter 8: Risk Adjusted Performance Measurement 195
8.1 Business Areas, Business Units, and the Double Role of Risk Adjusted
Performance Measures 196
8.2 Checking the Measure of Profit 196
8.2.1 Transfer Prices 197
8.2.2 Cost Attribution and Its Impact on RAP Measures 198
8.3 Capital Investment versus Capital Allocation 199
8.4 Choosing the Measure of Capital at Risk: Allocated Capital versus
Utilized Capital 199
8.5 Choosing the Measure of Capital at Risk: Diversified Capital versus
Undiversified Capital 202
8.5.1 Comparison of Alternative Diversified CaR Measures 202
8.5.2 Criteria for Choosing between Diversified and Undiversified
CaR 205
8.6 Choosing the Risk Adjusted Performance Measure: EVA vs. RAROC . 207
8.7 Variants and Potential Extensions 209
8.7.1 Differentiated Target Returns 209
8.7.2 Alternative RAP Measures 209
8.7.3 Expected Shortfall and Performance Measurement 210
8.7.4 Operational Risk, Business Risk, and Performance
Measurement 210
8.8 Risk Adjusted Performances and Managers' Performance Evaluation 212
8.9 Summary 215
8.10 Further Reading 216
x CONTENTS
Chapter 9: Risk Adjusted Performance Targets, Capital
Allocation, and the Budgeting Process 217
9.1 From the Bank's Cost of Equity Capital to Performance Targets
for the Bank 218
9.1.1 Estimating the Cost of Equity Capital 218
9.1.2 Defining the Target Rate of Return 219
9.2 Should Business Units' Target Returns Be Different? 222
9.2.1 Potential Effects of a Single Hurdle Rate 223
9.2.2 Estimating Betas for Different Businesses 224
9.2.3 Applying Different Costs of Capital: Identifying the Driver 226
9.3 Capital Allocation and the Planning and Budgeting Process 227
9.3.1 Why Should Capital Allocation Be Linked to the Planning
Process? 228
9.3.2 Why Should Capital Allocation Not Be Linked to the Planning
Process? 228
9.4 Case Study: Capital Allocation Process at UniCredit Group (by Elio
Berti, head of Capital Allocation, CFO Department, UniCredit) 230
9.4.1 UniCredit Group Capital Allocation Process and Criteria 230
9.4.2 Setting of Value Creation and Capital Allocation Targets within
Planning and Control Processes 231
9.5 Summary 233
9.6 Further Reading 234
Final Remarks 237
Selected Free Risk Management Related Websites 239
References 245
Index 255 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Saita, Francesco |
| author_facet | Saita, Francesco |
| author_role | aut |
| author_sort | Saita, Francesco |
| author_variant | f s fs |
| building | Verbundindex |
| bvnumber | BV022936617 |
| callnumber-first | H - Social Science |
| callnumber-label | HG1616 |
| callnumber-raw | HG1616.C34 |
| callnumber-search | HG1616.C34 |
| callnumber-sort | HG 41616 C34 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)254423781 (DE-599)DNB 2007275073 |
| dewey-full | 332.1068 332.1 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1068 332.1 |
| dewey-search | 332.1068 332.1 |
| dewey-sort | 3332.1068 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02186nam a2200553zc 4500</leader><controlfield tag="001">BV022936617</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080128 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">071024s2007 xxud||| |||| 00||| eng d</controlfield><datafield tag="010" ind1=" " ind2=" "><subfield code="a">2007275073</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780123694669</subfield><subfield code="c">hbk.</subfield><subfield code="9">978-0-12-369466-9</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0123694663</subfield><subfield code="c">hbk.</subfield><subfield code="9">0-12-369466-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)254423781</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB 2007275073</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-706</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-703</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG1616.C34</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.1068</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.1</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 320</subfield><subfield code="0">(DE-625)141644:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Saita, Francesco</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Value at risk and bank capital management</subfield><subfield code="b">[risk adjusted performances, capital management and capital allocation decision making]</subfield><subfield code="c">Francesco Saita</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Amsterdam [u.a.]</subfield><subfield code="b">Elsevier Acad. Press</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVI, 259 S.</subfield><subfield code="b">graph. Darst.</subfield><subfield code="c">27 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Academic Press advanced finance series</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bank</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bank capital</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Banks and banking</subfield><subfield code="x">Risk management</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Bank</subfield><subfield code="0">(DE-588)4004436-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Bank</subfield><subfield code="0">(DE-588)4004436-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="2"><subfield code="a">Value at Risk</subfield><subfield code="0">(DE-588)4519495-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="u">http://www.loc.gov/catdir/enhancements/fy0726/2007275073-d.html</subfield><subfield code="3">Publisher description</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016141352&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016141352</subfield></datafield></record></collection> |
| id | DE-604.BV022936617 |
| illustrated | Illustrated |
| index_date | 2024-07-02T18:56:48Z |
| indexdate | 2024-07-09T21:08:03Z |
| institution | BVB |
| isbn | 9780123694669 0123694663 |
| language | English |
| lccn | 2007275073 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016141352 |
| oclc_num | 254423781 |
| open_access_boolean | |
| owner | DE-706 DE-355 DE-BY-UBR DE-384 DE-703 |
| owner_facet | DE-706 DE-355 DE-BY-UBR DE-384 DE-703 |
| physical | XVI, 259 S. graph. Darst. 27 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Elsevier Acad. Press |
| record_format | marc |
| series2 | Academic Press advanced finance series |
| spelling | Saita, Francesco Verfasser aut Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] Francesco Saita Amsterdam [u.a.] Elsevier Acad. Press 2007 XVI, 259 S. graph. Darst. 27 cm txt rdacontent n rdamedia nc rdacarrier Academic Press advanced finance series Bank Bank capital Banks and banking Risk management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Bank (DE-588)4004436-1 s Risikomanagement (DE-588)4121590-4 s Value at Risk (DE-588)4519495-6 s DE-604 Kapitalmarkt (DE-588)4029578-3 s http://www.loc.gov/catdir/enhancements/fy0726/2007275073-d.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016141352&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Saita, Francesco Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] Bank Bank capital Banks and banking Risk management Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd Value at Risk (DE-588)4519495-6 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4004436-1 (DE-588)4519495-6 (DE-588)4029578-3 |
| title | Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] |
| title_auth | Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] |
| title_exact_search | Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] |
| title_exact_search_txtP | Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] |
| title_full | Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] Francesco Saita |
| title_fullStr | Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] Francesco Saita |
| title_full_unstemmed | Value at risk and bank capital management [risk adjusted performances, capital management and capital allocation decision making] Francesco Saita |
| title_short | Value at risk and bank capital management |
| title_sort | value at risk and bank capital management risk adjusted performances capital management and capital allocation decision making |
| title_sub | [risk adjusted performances, capital management and capital allocation decision making] |
| topic | Bank Bank capital Banks and banking Risk management Risikomanagement (DE-588)4121590-4 gnd Bank (DE-588)4004436-1 gnd Value at Risk (DE-588)4519495-6 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Bank Bank capital Banks and banking Risk management Risikomanagement Value at Risk Kapitalmarkt |
| url | http://www.loc.gov/catdir/enhancements/fy0726/2007275073-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016141352&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT saitafrancesco valueatriskandbankcapitalmanagementriskadjustedperformancescapitalmanagementandcapitalallocationdecisionmaking |