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Informationen zum Autor ANDREA RESTI, formerly an officer at one of Italy's largest banks, has worked on Basel II issues for the Centre for European Policy Studies (Brussels). A consultant to several major banks, as well as to the Bank of Italy, he has held courses on credit risk for GARP and PRMIA. ANDREA SIRONI, formerly with Chase Manhattan Bank in London, has been a visiting scholar at the Stern School of Business (NYU) and at the Federal Reserve Board of Governors (Washington). He is currently Dean for International Affairs at Bocconi University (Milan) and a member of the Fitch Academic Advisory Board. The authors are both professors of Financial Markets and Institutions at Bocconi and have been teaching banking and finance for more than 15 years. Their publications comprise many articles in major international academic journals, as well as several risk management and banking textbooks, including a best-selling title on recovery risk. Klappentext 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.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, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes:* Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more* formulae for risk-adjusted loan pricing and risk-adjusted performance measurement* extensive, hands-on Excel examples provided in the enclosed CD* a complete, up-to-date introduction to Basel II* focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics Zusammenfassung Risk Management and Shareholders' Value in Banking covers all main aspects of risk management, capital management and value creation for financial institutions; it is structured in six parts. Part One covers the measurement and management of the interest rate risk on all assets and liabilities of a banking institution. Inhaltsverzeichnis Foreword xix Motivation and Scope of this Book: A Quick Guided Tour xxi Part I Interest Rate Risk 1 Introduction to Part I 3 1 The Repricing Gap Model 9 1.1 Introduction 9 1.2 The gap concept 9 1.3 The maturity-adjusted gap 12 1.4 Marginal and cumulative gaps 15 1.5 The limitations of the repricing gap model 19 1.6 Some possible solutions 20 Selected Questions and Exercises 25 Appendix 1A The Term Structure of Interest Rates 28 Appendix 1B Forward Rates 32 2 The Duration Gap Model 35 2.1 Introduction 35 2.2 Towards mark-to-market accounting 35 2.3 The duration of financial instruments 39 2.4 Estimating the duration gap 42 2.5 Problems of the duration gap model 45 Selected Questions and Exercises 47 Appendix 2A The Limits of Duration 49 3 Models Based on Cash-Flow Mapping 57 3.1 Introduction 57 3.2 The objectives of cash-flow mapping and term structure 57 3.3 Choosing the vertices of the term structure 58 3.4 Techniques based on discrete intervals 59 3.5 Clumping 64 3.6 Concluding comments 68 Selected Questions and Exercises...
