Value at risk and bank capital management:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Amsterdam
Elsevier Academic Press
c2007
|
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 Volltext |
| Beschreibung: | Additional title information on cover: Risk adjusted performances, capital management and capital allocation decision making 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. *Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books *Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation *Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe Includes bibliographical references and index 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 |
| Beschreibung: | 1 Online-Ressource (xvi, 259 p.) |
| ISBN: | 0080471064 0123694663 128096281X 9780080471068 9780123694669 9781280962813 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV043044100 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 151123s2007 |||| o||u| ||||||eng d | ||
| 020 | |a 0080471064 |c electronic bk. |9 0-08-047106-4 | ||
| 020 | |a 0123694663 |9 0-12-369466-3 | ||
| 020 | |a 128096281X |9 1-280-96281-X | ||
| 020 | |a 9780080471068 |c electronic bk. |9 978-0-08-047106-8 | ||
| 020 | |a 9780123694669 |9 978-0-12-369466-9 | ||
| 020 | |a 9781280962813 |9 978-1-280-96281-3 | ||
| 035 | |a (OCoLC)213298550 | ||
| 035 | |a (DE-599)BVBBV043044100 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-1046 |a DE-1047 | ||
| 082 | 0 | |a 332.66 |2 22 | |
| 100 | 1 | |a Saita, Francesco |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Value at risk and bank capital management |c Francesco Saita |
| 246 | 1 | 3 | |a Risk adjusted performances, capital management and capital allocation decision making |
| 264 | 1 | |a Amsterdam |b Elsevier Academic Press |c c2007 | |
| 300 | |a 1 Online-Ressource (xvi, 259 p.) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Academic Press advanced finance series | |
| 500 | |a Additional title information on cover: Risk adjusted performances, capital management and capital allocation decision making | ||
| 500 | |a 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. | ||
| 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. | ||
| 500 | |a *Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books *Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation *Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe | ||
| 500 | |a Includes bibliographical references and index | ||
| 500 | |a 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 | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Banks & Banking |2 bisacsh | |
| 650 | 7 | |a Risk management |2 gtt | |
| 650 | 7 | |a Banken (financiële instellingen) |2 gtt | |
| 650 | 4 | |a Bank | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Bank capital | |
| 650 | 4 | |a Banks and banking |x Risk management | |
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |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 Bank |0 (DE-588)4004436-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Kapitalmarkt |0 (DE-588)4029578-3 |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 | |8 1\p |5 DE-604 | |
| 689 | 1 | 0 | |a Bank |0 (DE-588)4004436-1 |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 | |8 2\p |5 DE-604 | |
| 856 | 4 | 0 | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187391 |x Aggregator |3 Volltext |
| 912 | |a ZDB-4-EBA | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028468637 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 883 | 1 | |8 2\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187391 |l FAW01 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
| 966 | e | |u http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187391 |l FAW02 |p ZDB-4-EBA |q FAW_PDA_EBA |x Aggregator |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804175409547313152 |
|---|---|
| any_adam_object | |
| author | Saita, Francesco |
| author_facet | Saita, Francesco |
| author_role | aut |
| author_sort | Saita, Francesco |
| author_variant | f s fs |
| building | Verbundindex |
| bvnumber | BV043044100 |
| collection | ZDB-4-EBA |
| ctrlnum | (OCoLC)213298550 (DE-599)BVBBV043044100 |
| 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 |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>06306nmm a2200733zc 4500</leader><controlfield tag="001">BV043044100</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">151123s2007 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0080471064</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">0-08-047106-4</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0123694663</subfield><subfield code="9">0-12-369466-3</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">128096281X</subfield><subfield code="9">1-280-96281-X</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780080471068</subfield><subfield code="c">electronic bk.</subfield><subfield code="9">978-0-08-047106-8</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780123694669</subfield><subfield code="9">978-0-12-369466-9</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781280962813</subfield><subfield code="9">978-1-280-96281-3</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)213298550</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV043044100</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="049" ind1=" " ind2=" "><subfield code="a">DE-1046</subfield><subfield code="a">DE-1047</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.66</subfield><subfield code="2">22</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="c">Francesco Saita</subfield></datafield><datafield tag="246" ind1="1" ind2="3"><subfield code="a">Risk adjusted performances, capital management and capital allocation decision making</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Amsterdam</subfield><subfield code="b">Elsevier Academic Press</subfield><subfield code="c">c2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (xvi, 259 p.)</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">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</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="500" ind1=" " ind2=" "><subfield code="a">Additional title information on cover: Risk adjusted performances, capital management and capital allocation decision making</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">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. </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="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). </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="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. </subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">*Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books *Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation *Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Banks & Banking</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risk management</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Banken (financiële instellingen)</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Bank</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Wirtschaft</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">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</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">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">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" 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="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="8">1\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" 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="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="8">2\p</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187391</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-4-EBA</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028468637</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">1\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="883" ind1="1" ind2=" "><subfield code="8">2\p</subfield><subfield code="a">cgwrk</subfield><subfield code="d">20201028</subfield><subfield code="q">DE-101</subfield><subfield code="u">https://d-nb.info/provenance/plan#cgwrk</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187391</subfield><subfield code="l">FAW01</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187391</subfield><subfield code="l">FAW02</subfield><subfield code="p">ZDB-4-EBA</subfield><subfield code="q">FAW_PDA_EBA</subfield><subfield code="x">Aggregator</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV043044100 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:15:50Z |
| institution | BVB |
| isbn | 0080471064 0123694663 128096281X 9780080471068 9780123694669 9781280962813 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028468637 |
| oclc_num | 213298550 |
| open_access_boolean | |
| owner | DE-1046 DE-1047 |
| owner_facet | DE-1046 DE-1047 |
| physical | 1 Online-Ressource (xvi, 259 p.) |
| psigel | ZDB-4-EBA ZDB-4-EBA FAW_PDA_EBA |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Elsevier Academic Press |
| record_format | marc |
| series2 | Academic Press advanced finance series |
| spelling | Saita, Francesco Verfasser aut Value at risk and bank capital management Francesco Saita Risk adjusted performances, capital management and capital allocation decision making Amsterdam Elsevier Academic Press c2007 1 Online-Ressource (xvi, 259 p.) txt rdacontent c rdamedia cr rdacarrier Academic Press advanced finance series Additional title information on cover: Risk adjusted performances, capital management and capital allocation decision making 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. *Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books *Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation *Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe Includes bibliographical references and index 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 BUSINESS & ECONOMICS / Banks & Banking bisacsh Risk management gtt Banken (financiële instellingen) gtt Bank Wirtschaft Bank capital Banks and banking Risk management Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Value at Risk (DE-588)4519495-6 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf 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://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187391 Aggregator 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 Kapitalmarkt (DE-588)4029578-3 gnd Value at Risk (DE-588)4519495-6 gnd Bank (DE-588)4004436-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4519495-6 (DE-588)4004436-1 (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 Kapitalmarkt (DE-588)4029578-3 gnd Value at Risk (DE-588)4519495-6 gnd Bank (DE-588)4004436-1 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://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=187391 |
| work_keys_str_mv | AT saitafrancesco valueatriskandbankcapitalmanagement AT saitafrancesco riskadjustedperformancescapitalmanagementandcapitalallocationdecisionmaking |