Risk management and shareholders' value in banking : from risk measurement models to capital allocation policies /
"This 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." --Descripción...
Guardado en:
| Autor principal: | |
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| Otros Autores: | |
| Formato: | Libro |
| Lenguaje: | Inglés |
| Publicado: |
Chichester, West Sussex [England] ; Hoboken, NJ :
John Wiley & Sons,
c2007.
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| Colección: | Wiley finance series.
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| Materias: | |
| Acceso en línea: | Tabla de contenidos |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
| LEADER | 03075cam a2200421 a 4500 | ||
|---|---|---|---|
| 001 | 99740327504151 | ||
| 005 | 20241030105217.0 | ||
| 008 | 061218s2007 enka b 001 0 eng | ||
| 010 | |a 2006102019 | ||
| 020 | |a 9780470029787 | ||
| 020 | |a 0470029781 | ||
| 035 | |a (OCoLC)77116932 | ||
| 035 | |a (OCoLC)ocm77116932 | ||
| 040 | |a DLC |c DLC |d UKM |d YDXCP |d BTCTA |d BAKER |d BWKUK |d Z@L |d OCLCQ |d DEBSZ |d OCLCO |d OCLCF |d OCLCQ |d Z5A |d DEBBG |d OCLCO |d OCLCA |d OCLCQ |d BOTKC |d OCLCQ |d LND |d AU@ |d UKMGB |d U@S | ||
| 049 | |a U@SA | ||
| 050 | 0 | 0 | |a HG1615.25 |b .S57 2007 |
| 082 | 0 | 0 | |a 332.1068/1 |2 22 |
| 100 | 1 | |a Sironi, Andrea. | |
| 245 | 1 | 0 | |a Risk management and shareholders' value in banking : |b from risk measurement models to capital allocation policies / |c Andrea Sironi and Andrea Resti. |
| 260 | |a Chichester, West Sussex [England] ; |a Hoboken, NJ : |b John Wiley & Sons, |c c2007. | ||
| 300 | |a xxv, 782 p. : |b il. ; |c 25 cm. | ||
| 490 | 1 | |a Wiley finance | |
| 504 | |a Incluye referencias bibliográficas (p. 759-770) e índice. | ||
| 505 | 0 | |a Motivation and scope of this book : a quick guided tour -- pt. I. Interest rate risk -- 1. The repricing gap model -- 2. The duration gap model -- 3. Models based on cash-flow mapping -- 4. Internal transfer rates -- pt. II. Market risks -- 5. The variance-covariance approach -- 6. Volatility estimation models -- 7. Simulation models -- 8. Evaluating VaR models -- 9. VaR models : summary, applications and limitations -- pt. III. Credit risk -- 10. Credit-scoring models -- 11. Capital market models -- 12. LGD and recovery risk -- 13. Rating systems -- 14. Portfolio models -- 15. Some applications of credit risk measurement models -- 16. Counterparty risk on OTC derivatives -- pt. IV. Operational risk -- 17. Operational risk : definition, measurement and management -- pt. V. Regulatory capital requirements -- 18. The 1988 capital accord -- 19. The capital requirements for market risks -- 20. The new basel accord -- 21. Capital requirements on operational risk -- pt. VI. Capital management and value creation -- 22. Capital management -- 23. Capital allocation -- 24. Cost of capital and value creation. | |
| 520 | |a "This 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." --Descripción del editor. | ||
| 650 | 0 | |a Asset-liability management. | |
| 650 | 0 | |a Bank management. | |
| 650 | 0 | |a Banks and banking |x Valuation. | |
| 650 | 0 | |a Financial institutions |x Valuation. | |
| 650 | 0 | |a Risk management. | |
| 650 | 7 | |a Administración de activo-pasivo. |2 UDESA | |
| 650 | 7 | |a Bancos |x Administración. |2 UDESA | |
| 650 | 7 | |a Bancos |x Valoración. |2 UDESA | |
| 650 | 7 | |a Instituciones financieras |x Valoración. |2 UDESA | |
| 650 | 7 | |a Administración de riesgos. |2 UDESA | |
| 700 | 1 | |a Resti, Andrea. | |
| 830 | 0 | |a Wiley finance series. | |
| 856 | 4 | 1 | |3 Tabla de contenidos |u http://catdir.loc.gov/catdir/toc/ecip077/2006102019.html |