01072nam a2200241 i 450099100197952970753620020503155551.0941125s1986 it ||| | ita b10299610-39ule_instEXGIL95110ExLBiblioteca InterfacoltàitaBiblioteca etrusca :fonti letterarie e figurative tra 18. e 19. secolo nella Biblioteca dell'Istituto Nazionale di Archeologia e Storia dell'Arte /Biblioteca dell'Istituto nazionale di archeologia e storia dell'arteRoma :Istituto poligrafico e Zecca dello Stato,[1986?]215 p. :ill. ;28 cm.Progetto EtruschiMostra tenuta a Roma dal 5 dicembre 1985 al 5 gennaio 1986.Arte etrusca.b1029961017-02-1727-06-02991001979529707536LE002 Mostra 12512002000991485le002-E0.00-l- 00000.i1035366527-06-02Biblioteca etrusca209361UNISALENTOle00201-01-94ma -itait 0105868nam 2200793 a 450 991087778550332120170809164744.09786610855919978111837188611183718879781280855917128085591697804705107350470510730(CKB)1000000000357090(EBL)292582(OCoLC)304072251(SSID)ssj0000238633(PQKBManifestationID)12048128(PQKBTitleCode)TC0000238633(PQKBWorkID)10234754(PQKB)11042704(MiAaPQ)EBC292582(Perlego)2767582(EXLCZ)99100000000035709020061218d2007 uy 0engur|n|---|||||txtccrRisk management and shareholders' value in banking from risk measurement models to capital allocation policies /Andrea Sironi and Andrea RestiChichester, West Sussex, [England] ;Hoboken, NJ Wileyc20071 online resource (810 p.)The Wiley Finance Series ;v.417Description based upon print version of record.9780470029794 047002979X 9780470029787 0470029781 Includes bibliographical references p. [759]-770 and index.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 liabilitiesSelected 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 Introduction3.2 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 example4.3 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 ExercisesAppendix 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 positions5.4.3 Mapping of forward rate agreementsThis 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, discusThe Wiley Finance SeriesAsset-liability managementBank managementBanks and bankingValuationFinancial institutionsValuationRisk managementAsset-liability management.Bank management.Banks and bankingValuation.Financial institutionsValuation.Risk management.332.10681Sironi Andrea551818Resti Andrea526902MiAaPQMiAaPQMiAaPQBOOK9910877785503321Risk management and shareholders' value in banking4192581UNINA