Value at Risk and Bank Capital Management
Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making
Published on 3. April 2007
Book
Hardback
280 pages
978-0-12-369466-9 (ISBN)
Description
Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation.
The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation.
The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes.
This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management.
The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation.
The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes.
This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management.
Reviews / Votes
"This book does a great service by presenting the measurement of market risk and credit risk in one well-structured book. Aggregation methodology is also presented in detail. The inclusion of real-life examples is also a great benefit to the reader." --Chris Matten, Partner, Financial Services Industry Practice, PricewaterhouseCoopersMore details
Series
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
Professional and scholarly
Primary audience: Graduate students in master's or Ph.D. programs in finance/banking; bankers and risk managers involved in capital allocation and portfolio management.
Course titles: advanced topics in financial/banking risk management, portfolio management, mathematics of investment, commercial bank management.
Product notice
sewn/stitched
Paper over boards
Illustrations
Illustrated
Dimensions
Height: 267 mm
Width: 192 mm
Thickness: 22 mm
Weight
780 gr
ISBN-13
978-0-12-369466-9 (9780123694669)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Francesco Saita
Value at Risk and Bank Capital Management
Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making
E-Book
07/2010
Academic Press
€73.95
Available for download
Person
Content
Part 1: Value at Risk and Bank Capital Management: The General Framework; ch. 1 Value at Risk, capital management and capital allocation; ch 2 What is "capital? management? The impact of Basel II and the new accounting standards; Part II: Risk Measurement and Risk Integration ch 3 Market Risk; ch 4 Credit Risk; ch 5 Operational Risk and Business risk; ch 6 The challenge of risk aggregation; Part III: Risk Control, Performance measurement, and capital allocation ch 7 Defining Value at Risk limits; ch 8 Risk-adjusted performance measurement; ch 9 Risk-adjusted performance measures, capital allocation and the budgeting process; ch 10 conclusion; Internet Resources directory; References; Index