LEADER 07344nam 2200697Ia 450 001 9910784641603321 005 20191030193358.0 010 $a1-280-96281-X 010 $a9786610962815 010 $a0-08-047106-4 035 $a(CKB)1000000000364147 035 $a(EBL)287921 035 $a(OCoLC)476040684 035 $a(SSID)ssj0000266534 035 $a(PQKBManifestationID)11937616 035 $a(PQKBTitleCode)TC0000266534 035 $a(PQKBWorkID)10304466 035 $a(PQKB)10734067 035 $a(Au-PeEL)EBL287921 035 $a(CaPaEBR)ebr10166983 035 $a(CaONFJC)MIL96281 035 $a(CaSebORM)9780123694669 035 $a(MiAaPQ)EBC287921 035 $a(PPN)170244288 035 $a(EXLCZ)991000000000364147 100 $a20070410d2007 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aValue at risk and bank capital management$b[electronic resource] /$fFrancesco Saita 205 $a1st edition 210 $aAmsterdam ;$aBoston $cElsevier Academic Press$dc2007 215 $a1 online resource (276 p.) 225 1 $aAcademic Press advanced finance series 300 $aDescription based upon print version of record. 311 $a0-12-369466-3 320 $aIncludes bibliographical references and index. 327 $aFront cover; Title page; Copyright page; Table of contents; Preface; About the Book; Acknowledgments; Contributors; CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation; 1.1 An Introduction to Value at Risk; 1.2 Capital Management and Capital Allocation: The Structure of the Book; CHAPTER 2: What Is "Capital" Management?; 2.1 Regulatory Capital and the Evolution toward Basel II; 2.2 Overview of the Basel II Capital Accord; 2.3 Bank Estimates of Required Capital and the Different Notions of Bank Capital; 2.4 Summary; 2.5 Further Reading; CHAPTER 3: Market Risk 327 $a3.1 The Variance-Covariance Approach 3.2 Simulation Approaches: Historical Simulation and Monte Carlo Simulation; 3.3 Value at Risk for Option Positions; 3.4 Extreme Value Theory and Copulas; 3.5 Expected Shortfall and the Problem of VaR Nonsubadditivity; 3.6 Back-Testing Market Risk Models; 3.7 Internal VaR Models and Market Risk Capital Requirements; 3.8 Stress Tests; 3.9 Summary; 3.10 Further Reading; CHAPTER 4: Credit Risk; 4.1 Defining Credit Risk: Expected and Unexpected Losses; 4.2 Agency Ratings 327 $a4.3 Quantitative Techniques for Stand-Alone Credit Risk Evaluation: Moody's/KMV EDF and External Scoring Systems 4.4 Capital Requirements for Credit Risk under Basel II; 4.5 Internal Ratings; 4.6 Estimating Loss Given Default; 4.7 Estimating Exposure at Default; 4.8 Interaction between Basel II and International Accounting Standards; 4.9 Alternative Approaches to Modeling Credit Portfolio Risk; 4.10 Comparison of Main Credit Portfolio Models; 4.11 Summary; 4.12 Further Reading; CHAPTER 5: Operational Risk and Business Risk 327 $a5.1 Capital Requirements for Operational Risk Measurement under Basel II 5.2 Objectives of Operational Risk Management; 5.3 Quantifying Operational Risk: Building the Data Sources; 5.4 Quantifying Operational Risk: From Loss Frequency and Severity to Operational Risk Capital; 5.5 Case Study: U.S. Bank Progress on Measuring Operational Risk; 5.6 The Role of Measures of Business Risk and Earnings at Risk; 5.7 Measuring Business Risk in Practice: Defining a Measure of Earnings at Risk; 5.8 From Earnings at Risk to Capital at Risk; 5.9 Summary; 5.10 Further Reading 327 $aCHAPTER 6: Risk Capital Aggregation 6.1 The Need for Harmonization: Time Horizon, Confidence Level, and the Notion of Capital; 6.2 Risk Aggregation Techniques; 6.3 Estimating Parameters for Risk Aggregation; 6.4 Case Study: Capital Aggregation within Fortis; 6.5 A Synthetic Comparison of Alternative Risk Aggregation Techniques; 6.6 Summary; 6.7 Further Reading; CHAPTER 7: Value at Risk and Risk Control for Market and Credit Risk; 7.1 Defining VaR-Based Limits for Market Risk: Identifying Risk-Taking Centers 327 $a7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR and Annual Potential Losses 330 $aWhile 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?· can be effectively used to improve a bank¡¦s decision making processes. Academic books are typically concerned primarily with measurement techniques, and devote only a small section to describing the applications, usually without discussing the problems that changing organizational processes in banks may have on business units¡¦ behaviour. Practitioners¡¦ books are often based on a single experience, presenting the approach that has been pursued by a single bank, but often do not adequately evaluate that approach. In actual practice, the choice of how to use Value at Risk and risk-adjusted performance measures has no single optimal solution, but requires effective decision making that can identify the solution that is consistent with the bank¡¦s style of management and coordination mechanisms, and often with characteristics of individual business units as well. In this book, Francesco Saita of Bocconi University argues that even though risk measurement techniques have greatly improved in recent years for market, credit and now also operational risk, capital management and capital allocation decisions are far from becoming purely technical and mechanical. On one hand, decisions about capital management must consider handling different capital constraints (e.g. regulatory vs. economic capital ) and face remarkable difficulties in providing a measure of ¡§aggregated¡¨ Value at Risk (i.e. a measure that considers the overall value at risk of the bank after diversification across risk types). On the other hand, the aim of using capital more efficiently through capital allocation cannot be achieved only through a sort of centralized asset allocation process, but rather by designing a Value at Risk limit system and a risk-adjusted performance measurement system that are designed to provide the right incentives to individual business units. This connection between sophisticated and cutting edge risk measurement techniques and practical bank decision making about capital management and capital allocation make this book unique and provide readers with a depth of academic and theoretical expertise combined with practical and real-world understanding of bank structure, organizational constraints, and dec... 410 0$aAcademic Press advanced finance series. 517 3 $aRisk adjusted performances, capital management and capital allocation decision making 606 $aBank capital 606 $aBanks and banking$xRisk management 615 0$aBank capital. 615 0$aBanks and banking$xRisk management. 676 $a332.1 700 $aSaita$b Francesco$0140065 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910784641603321 996 $aValue at risk and bank capital management$91131276 997 $aUNINA LEADER 05365nam 22006374a 450 001 9910830508103321 005 20231206053458.0 010 $a1-280-27606-1 010 $a9786610276066 010 $a0-470-09293-9 010 $a0-470-09292-0 035 $a(CKB)1000000000356540 035 $a(EBL)232704 035 $a(SSID)ssj0000232630 035 $a(PQKBManifestationID)11187742 035 $a(PQKBTitleCode)TC0000232630 035 $a(PQKBWorkID)10214776 035 $a(PQKB)11629175 035 $a(MiAaPQ)EBC232704 035 $a(CaSebORM)9780470092910 035 $a(OCoLC)85820367 035 $a(EXLCZ)991000000000356540 100 $a20040630d2005 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aRapidIO $ethe embedded system interconnect /$fSam Fuller with contributions from Alan Gatherer [and eight others] 210 1$aChichester, West Sussex :$cWiley,$d[2005] 215 $a1 online resource (384 pages) 300 $aIncludes index. 311 $a0-470-09291-2 320 $aIncludes bibliographical references and index. 327 $aRapidIO® The Embedded System Interconnect; Contents; Preface; 1 The Interconnect Problem; 1.1 Processor Performance and Bandwidth Growth; 1.2 Multiprocessing; 1.3 System of Systems; 1.4 Problems with Traditional Buses; 1.4.1 Bus Loading; 1.4.2 Signal Skew; 1.4.3 Expense of Wider Buses; 1.4.4 Problems with PCI; 1.5 The Market Problem; 1.6 RapidIO: A New Approach; 1.6.1 Why RapidIO?; 1.7 Where Will it be Used?; 1.8 An Analogy; References; 2 RapidIO Technology; 2.1 Philosophy; 2.2 The Specification Hierarchy; 2.3 RapidIO Protocol Overview; 2.3.1 Packets and Control Symbols; 2.4 Packet Format 327 $a2.5 Transaction Formats and Types2.6 Message Passing; 2.7 Globally Shared Memory; 2.8 Future Extensions; 2.9 Flow Control; 2.9.1 Link Level Flow Control; 2.9.2 End-to-end Flow Control; 2.10 The Parallel Physical Layer; 2.10.1 Parallel Electrical Interface; 2.11 The Serial Physical Layer; 2.11.1 PCS and PMA Layers; 2.11.2 Electrical Interface; 2.12 Link Protocol; 2.13 Maintenance and Error Management; 2.13.1 Maintenance; 2.13.2 System Discovery; 2.13.3 Error Coverage; 2.13.4 Error Recovery; 2.14 Performance; 2.14.1 Packet Structures; 2.14.2 Source Routing and Concurrency 327 $a2.14.3 Packet Overhead2.15 Operation Latency; References; 3 Devices, Switches, Transactions and Operations; 3.1 Processing Element Models; 3.1.1 Integrated Processor-memory Processing Element Model; 3.1.2 Memory-only Processing Element Model; 3.2 I/O Processing Element; 3.3 Switch Processing Element; 3.4 Operations and Transactions; 3.4.1 Operation Ordering; 3.4.2 Transaction Delivery; 3.4.3 Ordered Delivery System Issues; 3.4.4 Deadlock Considerations; 4 I/O Logical Operations; 4.1 Introduction; 4.2 Request Class Transactions; 4.2.1 Field Definitions for Request Class Transactions 327 $a4.3 Response Class Transactions4.3.1 Field Definitions for Response Packet Formats; 4.4 A Sample Read Operation; 4.5 Write Operations; 4.6 Streaming Writes; 4.7 Atomic Operations; 4.8 Maintenance Operations; 4.9 Data Alignment; 5 Messaging Operations; 5.1 Introduction; 5.2 Message Transactions; 5.2.1 Type 10 Packet Format (Doorbell Class); 5.2.2 Type 11 Packet Format (Message Class); 5.2.3 Response Transactions; 5.3 Mailbox Structures; 5.3.1 A Simple Inbox; 5.3.2 An Extended Inbox; 5.3.3 Receiving Messages; 5.4 Outbound Mailbox Structures; 5.4.1 A Simple Outbox; 5.4.2 An Extended Outbox 327 $a5.4.3 Transmitting Messages6 System Level Addressing in RapidIO Systems; 6.1 System Topology; 6.2 Switch-based Systems; 6.3 System Packet Routing; 6.4 Field Alignment and Definition; 6.5 Routing Maintenance Packets; 7 The Serial Physical Layer; 7.1 Packets; 7.1.1 Packet Format; 7.1.2 Packet Protection; 7.1.2.1 Packet CRC Operation; 7.1.2.2 16-Bit Packet CRC Code; 7.2 Control Symbols; 7.2.1 Stype0 Control Symbol Definitions; 7.2.1.1 Packet-accepted Control Symbol; 7.2.1.2 Packet-retry Control Symbol; 7.2.1.3 Packet-not-accepted Control Symbol; 7.2.1.4 Status Control Symbol 327 $a7.2.1.5 Link-response Control Symbol 330 $aRapidIO - The Embedded System Interconnect brings together one essential volume on RapidIO interconnect technology, providing a major reference work for the evaluation and understanding of RapidIO. Covering essential aspects of the specification, it also answers most usage questions from both hardware and software engineers. It will also serve as a companion text to the specifications when developing or working with the RapidIO interconnect technology. Including the history of RapidIO and case of studies of RapidIO deployment, this really is the definitive reference guide for this new area of 606 $aInterconnects (Integrated circuit technology) 606 $aEmbedded computer systems 615 0$aInterconnects (Integrated circuit technology) 615 0$aEmbedded computer systems. 676 $a004.6 676 $a621.3815 700 $aFuller$b Samuel H.$f1946-$025956 702 $aGatherer$b Alan 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910830508103321 996 $aRapidIO$94119464 997 $aUNINA