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Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies (The Wiley Finance Series)
written by Andrea Sironi, Andrea Resti
Studio : Wiley
by Wiley
Publisher : Wiley
Released : 2007-06-04
Availability : Usually ships in 1-2 business days
Number of Items : 1
EAN : 9780470029787
Avg. Customer Rating: (based on 1 review)
List Price : $100.00
Our Price : $59.81
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Product Description |
This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value.
Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes:
* Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more
* formulae for risk-adjusted loan pricing and risk-adjusted performance measurement
* extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv
* a complete, up-to-date introduction to Basel II
* focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics |
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Great textbook for bank or portfolio risk manager |
I found the book clear, concise, and comprehensive. It covers the 3 main risks in a very logical order: interest rate, market, then credit, and then finishes up with an examination of capital management. Each section starts with basic concepts then moves into greater detail (and higher mathematics). That said, you don't need to be a mathematician to buy this but I strongly recommend you are familiar with basic finance and statistics. (If you know how to calculate a Beta and a present value and you understand what a standard deviation and linear regression is, you'll comprehend 75% of the book, which is the meat of it.)
The authors are obviously experts in the field of bank and trading risk management theory. There are few errors or typos, and the charts, tables, and examples are gratifyingly simple and clear. There's even little questions and problems at the end of each chapter, with answers available on-line. That's a nice touch.
This is an MBA-class-in-a-book. I recommend it for anyone who needs to understand the basics (and the specifics) of bank/portfolio risk management. |
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