Resti A., Sironi F. Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies

Wiley – 2007, 810 pages
ISBN: 0470029781, 9780470029787This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value.
Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes:
Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more
formulae for risk-adjusted loan pricing and risk-adjusted performance measurement
extensive, hands-on Excel examples are provided on the companion website www.wiley.com
a complete, up-to-date introduction to Basel II
focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metricsForeword.
Motivation and Scope of this Book: A Quick Guided Tour.
Interest Rate Risk.The Repricing Gap Model.
The Duration Gap Model.
Models Based on Cash-Flow Mapping.
Internal Transfer Rates.
Market Risks.The Variance-Covariance Approach.
Volatility Estimation Models.
Simulation Models.
Evaluating VaR Models.
VaR Models: Summary, Applications and Limitations.
Credit Risk.Credit-Scoring Models.
Capital Market Models.
LGD and Recovery Risk.
Rating Systems.
Portfolio Models.
Some Applications of Credit Risk Measurement Models.
Counterparty Risk on OTC Derivatives.
Operational Risk.Operational Risk: Definition, Measurement and Management.
Regulatory Capital requirements.The 1988 Capital Accord.
The Capital Requirements for Market Risks.
The New Basel Accord.
Capital Requirements on Operational Risk.
Capital Management and Value Creation.Capital Management.
Capital Allocation.
Cost of Capital and Value Creation.