LEADER 05721nam 2200721 a 450 001 9910877785503321 005 20170809164744.0 010 $a1-118-37188-7 010 $a1-280-85591-6 010 $a9786610855919 010 $a0-470-51073-0 035 $a(CKB)1000000000357090 035 $a(EBL)292582 035 $a(OCoLC)304072251 035 $a(SSID)ssj0000238633 035 $a(PQKBManifestationID)12048128 035 $a(PQKBTitleCode)TC0000238633 035 $a(PQKBWorkID)10234754 035 $a(PQKB)11042704 035 $a(MiAaPQ)EBC292582 035 $a(EXLCZ)991000000000357090 100 $a20061218d2007 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aRisk management and shareholders' value in banking$b[electronic resource] $efrom risk measurement models to capital allocation policies /$fAndrea Sironi and Andrea Resti 210 $aChichester, West Sussex, [England] ;$aHoboken, NJ $cWiley$dc2007 215 $a1 online resource (810 p.) 225 1 $aThe Wiley Finance Series ;$vv.417 300 $aDescription based upon print version of record. 311 $a0-470-02979-X 311 $a0-470-02978-1 320 $aIncludes bibliographical references p. [759]-770 and index. 327 $aRisk 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 327 $aSelected 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 327 $a3.2 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 327 $a4.3 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 327 $aAppendix 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 327 $a5.4.3 Mapping of forward rate agreements 330 $aThis book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value.Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discus 410 4$aThe Wiley Finance Series 606 $aAsset-liability management 606 $aBank management 606 $aBanks and banking$xValuation 606 $aFinancial institutions$xValuation 606 $aRisk management 615 0$aAsset-liability management. 615 0$aBank management. 615 0$aBanks and banking$xValuation. 615 0$aFinancial institutions$xValuation. 615 0$aRisk management. 676 $a332.10681 700 $aSironi$b Andrea$0551818 701 $aResti$b Andrea$0526902 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910877785503321 996 $aRisk management and shareholders' value in banking$94192581 997 $aUNINA