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'...
| Κύριος συγγραφέας: | Saita, Francesco. |
|---|---|
| Μορφή: | Ηλεκτρονική πηγή |
| Γλώσσα: | English |
| Στοιχεία έκδοσης: |
Amsterdam ; Boston :
Elsevier Academic Press,
c2007.
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| Θέματα: | |
| Διαθέσιμο Online: |
http://www.sciencedirect.com/science/book/9780123694669 |
| Ετικέτες: |
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Πίνακας περιεχομένων:
- 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.