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Value at risk and bank capital management

Author: Francesco Saita
Publisher: Amsterdam ; London : Academic Press, ©2007.
Edition/Format:   Print book : English
Summary:

Argues that even though risk measurement techniques have greatly improved for market, credit and operational risk, capital management and capital allocation decisions are far from becoming purely  Read more...

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Document Type: Book
All Authors / Contributors: Francesco Saita
ISBN: 9780123694669 0123694663
OCLC Number: 124474401
Description: xvi, 295 pages : illustrations ; 27 cm
Contents: Ch. 1. Value at risk, capital management, and capital allocation --
Ch. 2. What is "capital" management? --
Ch. 3. Market risk --
Ch. 4. Credit risk --
Ch. 5. Operational risk and business risk --
Ch. 6. Risk capital aggregation --
Ch. 7. Value at risk and risk control for market and credit risk --
Ch. 8. Risk-adjusted performance measurement --
Ch. 9. Risk-adjusted performance targets, capital allocation, and the budgeting process.
Responsibility: Francesco Saita.

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"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 Read more...

 
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<http:\/\/dbpedia.org\/resource\/London<\/a>> # London<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Place<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"London<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/dewey.info\/class\/332.1\/e22\/<\/a>>\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
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<http:\/\/experiment.worldcat.org\/entity\/work\/data\/9658265113#Place\/amsterdam<\/a>> # Amsterdam<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Place<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Amsterdam<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
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<http:\/\/id.worldcat.org\/fast\/826723<\/a>> # Bank management<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Bank management<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.worldcat.org\/fast\/826867<\/a>> # Banks and banking<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Banks and banking<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/id.worldcat.org\/fast\/846320<\/a>> # Capital investments<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Intangible<\/a> ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Capital investments<\/span>\"@en<\/a> ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
<http:\/\/viaf.org\/viaf\/195089461<\/a>> # Francesco Saita<\/span>\n\u00A0\u00A0\u00A0\u00A0a \nschema:Person<\/a> ;\u00A0\u00A0\u00A0\nschema:familyName<\/a> \"Saita<\/span>\" ;\u00A0\u00A0\u00A0\nschema:givenName<\/a> \"Francesco<\/span>\" ;\u00A0\u00A0\u00A0\nschema:name<\/a> \"Francesco Saita<\/span>\" ;\u00A0\u00A0\u00A0\u00A0.\n\n\n<\/div>\n
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