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Accounting discretion of banks during a financial crisis / / Luc Laeven, Harry Huizinga
| Accounting discretion of banks during a financial crisis / / Luc Laeven, Harry Huizinga |
| Autore | Laeven Luc |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 41 p. : ill |
| Altri autori (Persone) | HuizingaHarry |
| Collana | IMF Working Papers |
| Soggetto topico |
Banks and banking
Accounting - Corrupt practices Banks and Banking Financial Risk Management Investments: General Industries: Financial Services Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: Government Policy and Regulation International Financial Markets General Financial Markets: General (includes Measurement and Data) Banking Finance Financial services law & regulation Investment & securities Loans Loan loss provisions Asset valuation Securities State supervision Asset-liability management Financial instruments |
| ISBN |
1-4623-3255-2
1-4518-7354-9 1-282-84413-X 9786612844133 1-4527-3492-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788226703321 |
Laeven Luc
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Accounting discretion of banks during a financial crisis / / Luc Laeven, Harry Huizinga
| Accounting discretion of banks during a financial crisis / / Luc Laeven, Harry Huizinga |
| Autore | Laeven Luc |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 41 p. : ill |
| Disciplina | 332.01 |
| Altri autori (Persone) | HuizingaHarry |
| Collana | IMF Working Papers |
| Soggetto topico |
Banks and banking
Accounting - Corrupt practices Banks and Banking Financial Risk Management Investments: General Industries: Financial Services Banks Depository Institutions Micro Finance Institutions Mortgages Financial Institutions and Services: Government Policy and Regulation International Financial Markets General Financial Markets: General (includes Measurement and Data) Banking Finance Financial services law & regulation Investment & securities Loans Loan loss provisions Asset valuation Securities State supervision Asset-liability management Financial instruments |
| ISBN |
1-4623-3255-2
1-4518-7354-9 1-282-84413-X 9786612844133 1-4527-3492-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Contents -- I. Introduction -- II. Tobin's q Value and Market Discounts -- III. The Data -- IV. Market Discounts and Valuation Effects of Real Estate Related Assets -- A. Empirical Evidence on Market Discounts -- B. Banks' Stock Price Reaction to Amendments of Fair Value Accounting Rules -- V. Accounting Discretion on Impaired Assets and Asset Classification -- A. Accounting Discretion on Accounting for Bad Loans -- B. Classification of Mortgage-Backed Securities -- VI. Conclusions -- References -- Appendix -- Variable Definitions and Data Sources -- Tables -- 1. Summary Statistics for 2008, Quarterly Data -- 2. Tobin's q and Real Estate Related Assets in 2008 -- 3. Tobin's q and Real Estate Related Assets in 2001-2007 -- 4. Tobin's q Real Estate Related Assets and Asset Size -- 5. Tobin's q and Additional Balance Sheet and Off-balance Sheet Items -- 6. Event Study of New FASB Rules on Fair Value Accounting for Illiquid Assets (FAS 157), Announced on October 10, 2008 -- 7. Event Study of FASB Amendments to Fair Value Accounting of Hard-to-Value Assets, Announced on April 9, 2009 -- 8. Loan Loss Provisions and Net Loan Charge-offs in 2008 -- 9. Share of Mortgage-backed Securities that is Held-to-Maturity in 2008 -- 10. Share of Non-Guaranteed Mortgage-backed Securities that is Held-to-Maturity in 2001-2007 -- Figures -- 1. Tobin's q and Share of Zombie Banks -- 2. Real Estate Loans and Mortgage-backed Securities -- 3. Share of Mortgage-backed Securities that is Held-to-Maturity -- 4. Fair Value of Mortgage-backed Securities Relative to Amortized Cost -- 5. Tier 1 Capital Ratio and Share of Tier 1 Capital in Total Capital. |
| Record Nr. | UNINA-9910827473703321 |
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Laeven Luc
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler
| Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler |
| Autore | Deventer Donald R. van |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (876 p.) |
| Disciplina | 332.7 |
| Altri autori (Persone) |
ImaiKenji
MeslerMark |
| Collana | Wiley finance series |
| Soggetto topico |
Gestió del risc
Risc de crèdit Gestió d'actius i passius Asset-liability management Credit - Management Interest rate risk - Management Financial risk management |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-59721-4
1-118-27857-7 1-299-18976-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Risk management : definitions and objectives -- pt. 2. Risk management techniques for interest rate analytics -- pt. 3. Risk management techniques for credit risk analytics -- pt. 4. Risk management applications : instrument by instrument -- pt. 5. Portfolio strategy and risk management. |
| Record Nr. | UNINA-9910138853503321 |
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Deventer Donald R. van
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| Singapore, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler
| Advanced financial risk management [[electronic resource] ] : tools and techniques for integrated credit risk and interest rate risk management / / Donald R. van Deventer, Kenji Imai, Mark Mesler |
| Autore | Deventer Donald R. van |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Singapore, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (876 p.) |
| Disciplina | 332.7 |
| Altri autori (Persone) |
ImaiKenji
MeslerMark |
| Collana | Wiley finance series |
| Soggetto topico |
Gestió del risc
Risc de crèdit Gestió d'actius i passius Asset-liability management Credit - Management Interest rate risk - Management Financial risk management |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-59721-4
1-118-27857-7 1-299-18976-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | pt. 1. Risk management : definitions and objectives -- pt. 2. Risk management techniques for interest rate analytics -- pt. 3. Risk management techniques for credit risk analytics -- pt. 4. Risk management applications : instrument by instrument -- pt. 5. Portfolio strategy and risk management. |
| Record Nr. | UNINA-9910822622203321 |
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Deventer Donald R. van
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| Singapore, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Art funds e gestione collettiva del risparmio / / Silvia Segnalini
| Art funds e gestione collettiva del risparmio / / Silvia Segnalini |
| Autore | Segnalini Silvia |
| Pubbl/distr/stampa | Torino, [Italy] : , : G. Giappichelli Editore, , 2016 |
| Descrizione fisica | 1 online resource (120 pages) |
| Disciplina | 332.10681 |
| Collana | Diritto Dell'Economia |
| Soggetto topico |
Asset-liability management
Asset-liability management - Italy Asset management accounts Asset management accounts - Italy |
| Soggetto genere / forma | Electronic books. |
| ISBN | 88-921-6172-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNINA-9910467702303321 |
|
Segnalini Silvia
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| Torino, [Italy] : , : G. Giappichelli Editore, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Art funds e gestione collettiva del risparmio / / Silvia Segnalini
| Art funds e gestione collettiva del risparmio / / Silvia Segnalini |
| Autore | Segnalini Silvia |
| Pubbl/distr/stampa | Torino, [Italy] : , : G. Giappichelli Editore, , 2016 |
| Descrizione fisica | 1 online resource (120 pages) |
| Disciplina | 332.10681 |
| Collana | Diritto Dell'Economia |
| Soggetto topico |
Asset-liability management
Asset-liability management - Italy Asset management accounts Asset management accounts - Italy |
| ISBN | 88-921-6172-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNINA-9910795781003321 |
|
Segnalini Silvia
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||
| Torino, [Italy] : , : G. Giappichelli Editore, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Art funds e gestione collettiva del risparmio / / Silvia Segnalini
| Art funds e gestione collettiva del risparmio / / Silvia Segnalini |
| Autore | Segnalini Silvia |
| Pubbl/distr/stampa | Torino, [Italy] : , : G. Giappichelli Editore, , 2016 |
| Descrizione fisica | 1 online resource (120 pages) |
| Disciplina | 332.10681 |
| Collana | Diritto Dell'Economia |
| Soggetto topico |
Asset-liability management
Asset-liability management - Italy Asset management accounts Asset management accounts - Italy |
| ISBN | 88-921-6172-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNINA-9910828506303321 |
|
Segnalini Silvia
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||
| Torino, [Italy] : , : G. Giappichelli Editore, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asset and liability management for banks and insurance companies / / Marine Corlosquet-Habart [and three others]
| Asset and liability management for banks and insurance companies / / Marine Corlosquet-Habart [and three others] |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London, [England] ; ; Hoboken New Jersey : , : ISTE : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (171 p.) |
| Disciplina | 332.068/1 |
| Collana | Innovation, Entrepreneurship and Management Series |
| Soggetto topico | Asset-liability management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-18461-4
1-119-18455-X 1-119-18460-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; Introduction; 1: Definition of ALM in the Banking and Insurance Areas; 1.1. Introduction; 1.2. Brief history of ALM for banks and insurance companies; 1.3. Missions of the ALM department; 1.3.1. Missions of the ALM department for banks; 1.3.1.1. Deterministic models; 1.3.1.2. Stochastic models; 1.3.1.3. Mission of the bank ALM department; 1.3.2. Missions of the ALM department for insurance companies; 1.3.2.1. To ensure proper coordination of assets and liabilities; 1.3.2.2. To provide recommendations on marketing strategy and assetallocation
1.3.2.3. To calculate the Solvency II capital requirement for market risks1.4. Conclusion; 2: Risks Studied in ALM; 2.1. Introduction; 2.2. Risks studied in a bank in the framework of Basel II and III; 2.2.1. Main risks for banks; 2.2.2. From Basel I to Basel III; 2.2.2.1. Basel I and Basel II; 2.2.2.2. Basel III; 2.3. Stress tests; 2.3.1. What is a stress test?; 2.3.2. The stress tests of 2014; 2.4. Risks studied in an insurance company in the framework of Solvency II; 2.4.1. Solvency II in a nutshell; 2.4.2. Focus on the risks; 2.4.2.1. Market risk; 2.4.2.2. Health underwriting risk 2.4.2.3. Counterparty default risk2.4.2.4. Life underwriting risk; 2.4.2.5. Non-life underwriting risk; 2.4.2.6. Intangible assets risk; 2.5. Commonalities and differences between banks and insurance companies' problems; 2.5.1. Commonalities; 2.5.2. Differences; 2.6. Conclusion; 3: Durations (Revisited) and Scenarios for ALM; 3.1. Introduction; 3.2. Duration and convexity risk indicators; 3.3. Scenario on the cash amounts of the flow; 3.4. Scenario on the time maturities of the flow; 3.5. Matching asset and liability; 3.6. Matching with flow scenarios; 3.7. ALM with the yield curve 3.7.1. Yield curve3.7.2. ALM with the equivalent constant rate; 3.8. Matching with two rates; 3.9. Equity sensitivity; 3.9.1. Presentation of the problem; 3.9.2. Formalization of the problem; 3.9.3. Time dynamic of asset and liability flows; 3.9.3.1. Basic data of the considered scenario; 3.9.3.2. Equivalent constant rates; 3.9.4. Sensitivity of equities and VaR indicator; 3.9.5. Duration of equities; 3.9.6. Special case of the aggregated balance sheet; 3.9.7. A VaR approach; 3.10. ALM and management of the bank; 3.10.1. Basic principles; 3.10.2. ALM and shares; 3.10.2.1. Infinite horizon 3.10.2.2. VaR approach3.10.2.3. Finite horizon (the Janssen-Manca model); 3.10.2.4. Scenario: Selling of the share at time T at price T; 3.10.3. Stochastic duration [JAN 08]; 3.10.3.1. Mean approach; 3.10.3.2. Stochastic duration [JAN 08]; 3.11. Duration of a portfolio; 3.12. Conclusion; 4: Building and Use of an ALM Internal Model in Insurance Companies; 4.1. Introduction; 4.2. Asset model; 4.2.1. Equity portfolio; 4.2.1.1. A simple equity model; 4.2.1.2. Limitations of the model; 4.2.1.3. Dividends; 4.2.2. Bond portfolio; 4.2.2.1. The CIR model; 4.2.2.2. Other interest rate models 4.2.3. Real estate |
| Record Nr. | UNINA-9910131640203321 |
| London, [England] ; ; Hoboken New Jersey : , : ISTE : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asset and liability management for banks and insurance companies / / Marine Corlosquet-Habart [and three others]
| Asset and liability management for banks and insurance companies / / Marine Corlosquet-Habart [and three others] |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London, [England] ; ; Hoboken New Jersey : , : ISTE : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (171 p.) |
| Disciplina | 332.068/1 |
| Collana | Innovation, Entrepreneurship and Management Series |
| Soggetto topico | Asset-liability management |
| ISBN |
1-119-18461-4
1-119-18455-X 1-119-18460-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; Introduction; 1: Definition of ALM in the Banking and Insurance Areas; 1.1. Introduction; 1.2. Brief history of ALM for banks and insurance companies; 1.3. Missions of the ALM department; 1.3.1. Missions of the ALM department for banks; 1.3.1.1. Deterministic models; 1.3.1.2. Stochastic models; 1.3.1.3. Mission of the bank ALM department; 1.3.2. Missions of the ALM department for insurance companies; 1.3.2.1. To ensure proper coordination of assets and liabilities; 1.3.2.2. To provide recommendations on marketing strategy and assetallocation
1.3.2.3. To calculate the Solvency II capital requirement for market risks1.4. Conclusion; 2: Risks Studied in ALM; 2.1. Introduction; 2.2. Risks studied in a bank in the framework of Basel II and III; 2.2.1. Main risks for banks; 2.2.2. From Basel I to Basel III; 2.2.2.1. Basel I and Basel II; 2.2.2.2. Basel III; 2.3. Stress tests; 2.3.1. What is a stress test?; 2.3.2. The stress tests of 2014; 2.4. Risks studied in an insurance company in the framework of Solvency II; 2.4.1. Solvency II in a nutshell; 2.4.2. Focus on the risks; 2.4.2.1. Market risk; 2.4.2.2. Health underwriting risk 2.4.2.3. Counterparty default risk2.4.2.4. Life underwriting risk; 2.4.2.5. Non-life underwriting risk; 2.4.2.6. Intangible assets risk; 2.5. Commonalities and differences between banks and insurance companies' problems; 2.5.1. Commonalities; 2.5.2. Differences; 2.6. Conclusion; 3: Durations (Revisited) and Scenarios for ALM; 3.1. Introduction; 3.2. Duration and convexity risk indicators; 3.3. Scenario on the cash amounts of the flow; 3.4. Scenario on the time maturities of the flow; 3.5. Matching asset and liability; 3.6. Matching with flow scenarios; 3.7. ALM with the yield curve 3.7.1. Yield curve3.7.2. ALM with the equivalent constant rate; 3.8. Matching with two rates; 3.9. Equity sensitivity; 3.9.1. Presentation of the problem; 3.9.2. Formalization of the problem; 3.9.3. Time dynamic of asset and liability flows; 3.9.3.1. Basic data of the considered scenario; 3.9.3.2. Equivalent constant rates; 3.9.4. Sensitivity of equities and VaR indicator; 3.9.5. Duration of equities; 3.9.6. Special case of the aggregated balance sheet; 3.9.7. A VaR approach; 3.10. ALM and management of the bank; 3.10.1. Basic principles; 3.10.2. ALM and shares; 3.10.2.1. Infinite horizon 3.10.2.2. VaR approach3.10.2.3. Finite horizon (the Janssen-Manca model); 3.10.2.4. Scenario: Selling of the share at time T at price T; 3.10.3. Stochastic duration [JAN 08]; 3.10.3.1. Mean approach; 3.10.3.2. Stochastic duration [JAN 08]; 3.11. Duration of a portfolio; 3.12. Conclusion; 4: Building and Use of an ALM Internal Model in Insurance Companies; 4.1. Introduction; 4.2. Asset model; 4.2.1. Equity portfolio; 4.2.1.1. A simple equity model; 4.2.1.2. Limitations of the model; 4.2.1.3. Dividends; 4.2.2. Bond portfolio; 4.2.2.1. The CIR model; 4.2.2.2. Other interest rate models 4.2.3. Real estate |
| Record Nr. | UNINA-9910829912003321 |
| London, [England] ; ; Hoboken New Jersey : , : ISTE : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asset and risk management [[electronic resource] ] : risk oriented finance / / Louis Esch ... [et al.]
| Asset and risk management [[electronic resource] ] : risk oriented finance / / Louis Esch ... [et al.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2005 |
| Descrizione fisica | 1 online resource (420 p.) |
| Disciplina |
332.63/2042
332.632042 658.155 |
| Altri autori (Persone) | EschLouis |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Investment analysis
Asset-liability management Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-67351-4
1-280-80970-1 9786610809707 0-470-01258-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Asset and Risk Management; Contents; Collaborators; Foreword by Philippe Jorion; Acknowledgements; Introduction; Areas covered; Who is this book for?; PART I THE MASSIVE CHANGES IN THE WORLD OF FINANCE; Introduction; 1 The Regulatory Context; 1.1 Precautionary surveillance; 1.2 The Basle Committee; 1.2.1 General information; 1.2.2 Basle II and the philosophy of operational risk; 1.3 Accounting standards; 1.3.1 Standard-setting organisations; 1.3.2 The IASB; 2 Changes in Financial Risk Management; 2.1 Definitions; 2.1.1 Typology of risks; 2.1.2 Risk management methodology
2.2 Changes in financial risk management2.2.1 Towards an integrated risk management; 2.2.2 The 'cost' of risk management; 2.3 A new risk-return world; 2.3.1 Towards a minimisation of risk for an anticipated return; 2.3.2 Theoretical formalisation; PART II EVALUATING FINANCIAL ASSETS; Introduction; 3 Equities; 3.1 The basics; 3.1.1 Return and risk; 3.1.2 Market efficiency; 3.1.3 Equity valuation models; 3.2 Portfolio diversification and management; 3.2.1 Principles of diversification; 3.2.2 Diversification and portfolio size; 3.2.3 Markowitz model and critical line algorithm 3.2.4 Sharpe's simple index model3.2.5 Model with risk-free security; 3.2.6 The Elton, Gruber and Padberg method of portfolio management; 3.2.7 Utility theory and optimal portfolio selection; 3.2.8 The market model; 3.3 Model of financial asset equilibrium and applications; 3.3.1 Capital asset pricing model; 3.3.2 Arbitrage pricing theory; 3.3.3 Performance evaluation; 3.3.4 Equity portfolio management strategies; 3.4 Equity dynamic models; 3.4.1 Deterministic models; 3.4.2 Stochastic models; 4 Bonds; 4.1 Characteristics and valuation; 4.1.1 Definitions; 4.1.2 Return on bonds 4.1.3 Valuing a bond4.2 Bonds and financial risk; 4.2.1 Sources of risk; 4.2.2 Duration; 4.2.3 Convexity; 4.3 Deterministic structure of interest rates; 4.3.1 Yield curves; 4.3.2 Static interest rate structure; 4.3.3 Dynamic interest rate structure; 4.3.4 Deterministic model and stochastic model; 4.4 Bond portfolio management strategies; 4.4.1 Passive strategy: immunisation; 4.4.2 Active strategy; 4.5 Stochastic bond dynamic models; 4.5.1 Arbitrage models with one state variable; 4.5.2 The Vasicek model; 4.5.3 The Cox, Ingersoll and Ross model; 4.5.4 Stochastic duration; 5 Options 5.1 Definitions5.1.1 Characteristics; 5.1.2 Use; 5.2 Value of an option; 5.2.1 Intrinsic value and time value; 5.2.2 Volatility; 5.2.3 Sensitivity parameters; 5.2.4 General properties; 5.3 Valuation models; 5.3.1 Binomial model for equity options; 5.3.2 Black and Scholes model for equity options; 5.3.3 Other models of valuation; 5.4 Strategies on options; 5.4.1 Simple strategies; 5.4.2 More complex strategies; PART III GENERAL THEORY OF VaR; Introduction; 6 Theory of VaR; 6.1 The concept of 'risk per share'; 6.1.1 Standard measurement of risk linked to financial products 6.1.2 Problems with these approaches to risk |
| Record Nr. | UNINA-9910143558903321 |
| Hoboken, NJ, : Wiley, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Soggetto topico
-
Asset-liability management
(112)
- Finance (45)
- Financial Risk Management (41)
- International Financial Markets (39)
- Risk management (32)