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"ยท can be effectively used to improve a bank?ยฆs
Value at risk and bank capital management
โ Scribed by Francesco Saita
- Publisher
- Elsevier Academic Press
- Year
- 2007
- Tongue
- English
- Leaves
- 276
- Series
- Academic Press advanced finance series
- Category
- Library
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
Academic Press, 2007. โ 280 p. โ (Academic Press Advanced Finance). โ ISBN 9780123694669 (print); ISBN 9780080471068 (eBook).<div class="bb-sep"></div>A unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications and the practical realities of
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.
Some of the leading figures in risk management examine the complex issues governing the stability of the global financial system. Chapters present a mix of theory and practice, from axiomatics, measurement and extreme value theory to operational, credit and market risk. Essential reading for all inv