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Value at risk and bank capital management [[electronic resource] /] / Francesco Saita
| Value at risk and bank capital management [[electronic resource] /] / Francesco Saita |
| Autore | Saita Francesco |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Elsevier Academic Press, c2007 |
| Descrizione fisica | 1 online resource (276 p.) |
| Disciplina | 332.1 |
| Collana | Academic Press advanced finance series |
| Soggetto topico |
Bank capital
Banks and banking - Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-96281-X
9786610962815 0-08-047106-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front 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
3.1 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 4.3 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 5.1 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 CHAPTER 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 7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR and Annual Potential Losses |
| Altri titoli varianti | Risk adjusted performances, capital management and capital allocation decision making |
| Record Nr. | UNINA-9910458631803321 |
Saita Francesco
|
||
| Amsterdam ; ; Boston, : Elsevier Academic Press, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Value at risk and bank capital management [[electronic resource] /] / Francesco Saita
| Value at risk and bank capital management [[electronic resource] /] / Francesco Saita |
| Autore | Saita Francesco |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Elsevier Academic Press, c2007 |
| Descrizione fisica | 1 online resource (276 p.) |
| Disciplina | 332.1 |
| Collana | Academic Press advanced finance series |
| Soggetto topico |
Bank capital
Banks and banking - Risk management |
| ISBN |
1-280-96281-X
9786610962815 0-08-047106-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front 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
3.1 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 4.3 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 5.1 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 CHAPTER 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 7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR and Annual Potential Losses |
| Altri titoli varianti | Risk adjusted performances, capital management and capital allocation decision making |
| Record Nr. | UNINA-9910784641603321 |
|
Saita Francesco
|
||
| Amsterdam ; ; Boston, : Elsevier Academic Press, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Value at risk and bank capital management / / Francesco Saita
| Value at risk and bank capital management / / Francesco Saita |
| Autore | Saita Francesco |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam ; ; Boston, : Elsevier Academic Press, c2007 |
| Descrizione fisica | 1 online resource (276 p.) |
| Disciplina | 332.1 |
| Collana | Academic Press advanced finance series |
| Soggetto topico |
Bank capital
Banks and banking - Risk management |
| ISBN |
9786610962815
9781280962813 128096281X 9780080471068 0080471064 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front 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
3.1 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 4.3 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 5.1 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 CHAPTER 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 7.2 Managing VaR Limits for Market Risk: The Links between Daily VaR and Annual Potential Losses |
| Altri titoli varianti | Risk adjusted performances, capital management and capital allocation decision making |
| Record Nr. | UNINA-9910973694003321 |
|
Saita Francesco
|
||
| Amsterdam ; ; Boston, : Elsevier Academic Press, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||