Value at risk and bank capital management:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam
Elsevier Academic Press
2007
|
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | FUBA1 Volltext |
| Beschreibung: | 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's decision making processes. Academic books are typically concerned primarily with measurement techniques, and devote only a small section to describing the applications, usually without discussing the problems that changing organizational processes in banks may have on business units' behaviour. PractitionersŁŒ books are often based on a single experience, presenting the approach that has been pursued by a single bank, but often do not adequately evaluate that approach. In actual practice, the choice of how to use Value at Risk and risk-adjusted performance measures has no single optimal solution, but requires effective decision making that can identify the solution that is consistent with the bank's style of management and coordination mechanisms, and often with characteristics of individual business units as well. In this book, Francesco Saita of Bocconi University argues that even though risk measurement techniques have greatly improved in recent years for market, credit and now also operational risk, capital management and capital allocation decisions are far from becoming purely technical and mechanical. On one hand, decisions about capital management must consider handling different capital constraints (e.g. regulatory vs. economic capital) and face remarkable difficulties in providing a measure of aggregated· Value at Risk (i.e. a measure that considers the overall value at risk of the bank after diversification across risk types). On the other hand, the aim of using capital more efficiently through capital allocation cannot be achieved only through a sort of centralized asset allocation process, but rather by designing a Value at Risk limit system and a risk-adjusted performance measurement system that are designed to provide the right incentives to individual business units. This connection between sophisticated and cutting edge risk measurement techniques and practical bank decision making about capital management and capital allocation make this book unique and provide readers with a depth of academic and theoretical expertise combined with practical and real-world understanding of bank structure, organizational constraints, and decisionmaking processes. Includes bibliographical references and index |
| Beschreibung: | 1 Online-Ressource (XVI, 259 S.) graph. Darst. |
| ISBN: | 9780123694669 0123694663 9780080471068 0080471064 |
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| 500 | |a In actual practice, the choice of how to use Value at Risk and risk-adjusted performance measures has no single optimal solution, but requires effective decision making that can identify the solution that is consistent with the bank's style of management and coordination mechanisms, and often with characteristics of individual business units as well. In this book, Francesco Saita of Bocconi University argues that even though risk measurement techniques have greatly improved in recent years for market, credit and now also operational risk, capital management and capital allocation decisions are far from becoming purely technical and mechanical. On one hand, decisions about capital management must consider handling different capital constraints (e.g. regulatory vs. economic capital) and face remarkable difficulties in providing a measure of aggregated· Value at Risk (i.e. a measure that considers the overall value at risk of the bank after diversification across risk types). | ||
| 500 | |a On the other hand, the aim of using capital more efficiently through capital allocation cannot be achieved only through a sort of centralized asset allocation process, but rather by designing a Value at Risk limit system and a risk-adjusted performance measurement system that are designed to provide the right incentives to individual business units. This connection between sophisticated and cutting edge risk measurement techniques and practical bank decision making about capital management and capital allocation make this book unique and provide readers with a depth of academic and theoretical expertise combined with practical and real-world understanding of bank structure, organizational constraints, and decisionmaking processes. | ||
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Datensatz im Suchindex
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| any_adam_object | |
| author | Saita, Francesco |
| author_GND | (DE-588)171731115 |
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| dewey-full | 332.66 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.66 |
| dewey-search | 332.66 |
| dewey-sort | 3332.66 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:18:01Z |
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| isbn | 9780123694669 0123694663 9780080471068 0080471064 |
| language | English |
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| spelling | Saita, Francesco Verfasser (DE-588)171731115 aut Value at risk and bank capital management Francesco Saita Risk adjusted performances, capital management and capital allocation decision making Amsterdam Elsevier Academic Press 2007 1 Online-Ressource (XVI, 259 S.) graph. Darst. txt rdacontent c rdamedia cr rdacarrier Academic Press advanced finance series 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's decision making processes. Academic books are typically concerned primarily with measurement techniques, and devote only a small section to describing the applications, usually without discussing the problems that changing organizational processes in banks may have on business units' behaviour. PractitionersŁŒ books are often based on a single experience, presenting the approach that has been pursued by a single bank, but often do not adequately evaluate that approach. In actual practice, the choice of how to use Value at Risk and risk-adjusted performance measures has no single optimal solution, but requires effective decision making that can identify the solution that is consistent with the bank's style of management and coordination mechanisms, and often with characteristics of individual business units as well. In this book, Francesco Saita of Bocconi University argues that even though risk measurement techniques have greatly improved in recent years for market, credit and now also operational risk, capital management and capital allocation decisions are far from becoming purely technical and mechanical. On one hand, decisions about capital management must consider handling different capital constraints (e.g. regulatory vs. economic capital) and face remarkable difficulties in providing a measure of aggregated· Value at Risk (i.e. a measure that considers the overall value at risk of the bank after diversification across risk types). On the other hand, the aim of using capital more efficiently through capital allocation cannot be achieved only through a sort of centralized asset allocation process, but rather by designing a Value at Risk limit system and a risk-adjusted performance measurement system that are designed to provide the right incentives to individual business units. This connection between sophisticated and cutting edge risk measurement techniques and practical bank decision making about capital management and capital allocation make this book unique and provide readers with a depth of academic and theoretical expertise combined with practical and real-world understanding of bank structure, organizational constraints, and decisionmaking processes. Includes bibliographical references and index BUSINESS & ECONOMICS / Banks & Banking bisacsh Risk management gtt Banken (financiële instellingen) gtt Bank Wirtschaft Bank capital Banks and banking Risk management Bank (DE-588)4004436-1 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Electronic books Kapitalmarkt (DE-588)4029578-3 s Risikomanagement (DE-588)4121590-4 s Value at Risk (DE-588)4519495-6 s 1\p DE-604 Bank (DE-588)4004436-1 s 2\p DE-604 http://www.sciencedirect.com/science/book/9780123694669 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Saita, Francesco Value at risk and bank capital management BUSINESS & ECONOMICS / Banks & Banking bisacsh Risk management gtt Banken (financiële instellingen) gtt Bank Wirtschaft Bank capital Banks and banking Risk management Bank (DE-588)4004436-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Value at Risk (DE-588)4519495-6 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4004436-1 (DE-588)4029578-3 (DE-588)4519495-6 (DE-588)4121590-4 |
| title | Value at risk and bank capital management |
| title_alt | Risk adjusted performances, capital management and capital allocation decision making |
| title_auth | Value at risk and bank capital management |
| title_exact_search | Value at risk and bank capital management |
| title_full | Value at risk and bank capital management Francesco Saita |
| title_fullStr | Value at risk and bank capital management Francesco Saita |
| title_full_unstemmed | Value at risk and bank capital management Francesco Saita |
| title_short | Value at risk and bank capital management |
| title_sort | value at risk and bank capital management |
| topic | BUSINESS & ECONOMICS / Banks & Banking bisacsh Risk management gtt Banken (financiële instellingen) gtt Bank Wirtschaft Bank capital Banks and banking Risk management Bank (DE-588)4004436-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Value at Risk (DE-588)4519495-6 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | BUSINESS & ECONOMICS / Banks & Banking Risk management Banken (financiële instellingen) Bank Wirtschaft Bank capital Banks and banking Risk management Kapitalmarkt Value at Risk Risikomanagement |
| url | http://www.sciencedirect.com/science/book/9780123694669 |
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