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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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