Risk management and shareholders' value in banking [[electronic resource] ] : from risk measurement models to capital allocation policies / / Andrea Sironi and Andrea Resti

• Record Nr.: UNINA9910877785503321
• Autore: Sironi Andrea
• Pubbl/distr/stampa: Chichester, West Sussex, [England] ; ; Hoboken, NJ, : Wiley, c2007
• ISBN: 1-118-37188-7; 1-280-85591-6; 9786610855919; 0-470-51073-0
• Descrizione fisica: 1 online resource (810 p.)
• Collana: The Wiley Finance Series ; ; v.417
• Altri autori (Persone): RestiAndrea
• Disciplina: 332.10681
• Soggetti: Asset-liability management; Bank management; Banks and banking - Valuation; Financial institutions - Valuation; Risk management
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references p. [759]-770 and index.
• Nota di contenuto: Risk Management and Shareholders' Value in Banking; Contents; Foreword; Motivation and Scope of this Book: A Quick Guided Tour; PART I INTEREST RATE RISK; Introduction to Part I; 1 The Repricing Gap Model; 1.1 Introduction; 1.2 The gap concept; 1.3 The maturity-adjusted gap; 1.4 Marginal and cumulative gaps; 1.5 The limitations of the repricing gap model; 1.6 Some possible solutions; 1.6.1 Non-uniform rate changes: the standardized gap; 1.6.2 Changes in rates of on-demand instruments; 1.6.3 Price and quantity interaction; 1.6.4 Effects on the value of assets and liabilities; Selected Questions and ExercisesAppendix 1A The Term Structure of Interest Rates; Appendix 1B Forward Rates; 2 The Duration Gap Model; 2.1 Introduction; 2.2 Towards mark-to-market accounting; 2.3 The duration of financial instruments; 2.3.1 Duration as a weighted average of maturities; 2.3.2 Duration as an indicator of sensitivity to interest rates changes; 2.3.3 The properties of duration; 2.4 Estimating the ; duration gap; 2.5 Problems of the duration gap model; Selected Questions and Exercises; Appendix 2A The Limits of Duration; 3 Models Based on Cash-Flow Mapping; 3.1 Introduction; 3.2 The objectives of cash-flow mapping and term structure3.3 Choosing the vertices of the term structure; 3.4 Techniques based on discrete intervals; 3.4.1 The duration intervals method; 3.4.2 The modified residual life method; 3.4.3 The Basel Committee Method; 3.5 Clumping; 3.5.1 Structure of the methodology; 3.5.2 An example; 3.5.3 Clumping on the basis of price volatility; 3.6 Concluding comments; Selected Questions and Exercises; Appendix 3A Estimating the Zero-Coupon Curve; 4 Internal Transfer Rates; 4.1 Introduction; 4.2 Building an ITR system: a simplified example; 4.3 Single and multiple ITRs4.4 Setting internal interest transfer rates; 4.4.1 ITRs for fixed-rate transactions; 4.4.2 ITRs for floating-rate transactions; 4.4.3 ITRs for transactions indexed at "non-market" rates; 4.5 ITRs for transactions with embedded options; 4.5.1 Option to convert from fixed to floating rate; 4.5.2 Floating rate loan subject to a cap; 4.5.3 Floating rate loan subject to a floor; 4.5.4 Floating rate loan subject to both a floor and a cap; 4.5.5 Option for early repayment; 4.6 Summary: the ideal features of an ITR system; Selected Questions and Exercises; Appendix 4A Derivative Contracts on Interest RatesPART II MARKET RISKS; Introduction to Part II; 5 The Variance-Covariance Approach; 5.1 Introduction; 5.2 VaR derivation assuming normal return distribution; 5.2.1 A simplified example; 5.2.2 Confidence level selection; 5.2.3 Selection of the time horizon; 5.3 Sensitivity of portfolio positions to market factors; 5.3.1 A more general example; 5.3.2 Portfolio VaR; 5.3.3 Delta-normal and asset-normal approaches; 5.4 Mapping of risk positions; 5.4.1 Mapping of foreign currency bonds; 5.4.2 Mapping of forward currency positions; 5.4.3 Mapping of forward rate agreements
• Sommario/riassunto: 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, discus