Value at risk and bank capital management
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...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Amsterdam ; Boston :
Elsevier Academic Press
c2007.
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| Edición: | 1st edition |
| Colección: | Academic Press advanced finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627322406719 |
Tabla de Contenidos:
- Front cover; Title page; Copyright page; Table of contents; Preface; About the Book; Acknowledgments; Contributors; CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation; 1.1 An Introduction to Value at Risk; 1.2 Capital Management and Capital Allocation: The Structure of the Book; CHAPTER 2: What Is "Capital" Management?; 2.1 Regulatory Capital and the Evolution toward Basel II; 2.2 Overview of the Basel II Capital Accord; 2.3 Bank Estimates of Required Capital and the Different Notions of Bank Capital; 2.4 Summary; 2.5 Further Reading; CHAPTER 3: Market Risk
- 3.1 The Variance-Covariance Approach 3.2 Simulation Approaches: Historical Simulation and Monte Carlo Simulation; 3.3 Value at Risk for Option Positions; 3.4 Extreme Value Theory and Copulas; 3.5 Expected Shortfall and the Problem of VaR Nonsubadditivity; 3.6 Back-Testing Market Risk Models; 3.7 Internal VaR Models and Market Risk Capital Requirements; 3.8 Stress Tests; 3.9 Summary; 3.10 Further Reading; CHAPTER 4: Credit Risk; 4.1 Defining Credit Risk: Expected and Unexpected Losses; 4.2 Agency Ratings
- 4.3 Quantitative Techniques for Stand-Alone Credit Risk Evaluation: Moody's/KMV EDF and External Scoring Systems 4.4 Capital Requirements for Credit Risk under Basel II; 4.5 Internal Ratings; 4.6 Estimating Loss Given Default; 4.7 Estimating Exposure at Default; 4.8 Interaction between Basel II and International Accounting Standards; 4.9 Alternative Approaches to Modeling Credit Portfolio Risk; 4.10 Comparison of Main Credit Portfolio Models; 4.11 Summary; 4.12 Further Reading; CHAPTER 5: Operational Risk and Business Risk
- 5.1 Capital Requirements for Operational Risk Measurement under Basel II 5.2 Objectives of Operational Risk Management; 5.3 Quantifying Operational Risk: Building the Data Sources; 5.4 Quantifying Operational Risk: From Loss Frequency and Severity to Operational Risk Capital; 5.5 Case Study: U.S. Bank Progress on Measuring Operational Risk; 5.6 The Role of Measures of Business Risk and Earnings at Risk; 5.7 Measuring Business Risk in Practice: Defining a Measure of Earnings at Risk; 5.8 From Earnings at Risk to Capital at Risk; 5.9 Summary; 5.10 Further Reading
- CHAPTER 6: Risk Capital Aggregation 6.1 The Need for Harmonization: Time Horizon, Confidence Level, and the Notion of Capital; 6.2 Risk Aggregation Techniques; 6.3 Estimating Parameters for Risk Aggregation; 6.4 Case Study: Capital Aggregation within Fortis; 6.5 A Synthetic Comparison of Alternative Risk Aggregation Techniques; 6.6 Summary; 6.7 Further Reading; CHAPTER 7: Value at Risk and Risk Control for Market and Credit Risk; 7.1 Defining VaR-Based Limits for Market Risk: Identifying Risk-Taking Centers
- 7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR and Annual Potential Losses
