Value at risk and bank capital management /
While the highly technical measurement techniques and methodologies of Value at Risk have attracted huge interest, much less attention has been focused on how Value at Risk and the risk-adjusted performance measures such as RAROC or economic profit/EVA can be effectively used to improve a bank'...
Основен автор: | Saita, Francesco. |
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Формат: | Електронна книга |
Език: | English |
Публикувано: |
Amsterdam ; Boston :
Elsevier Academic Press,
℗♭2007.
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Серия: |
Academic Press advanced finance series.
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Предмети: | |
Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=187391 |
Подобни документи: |
Print version::
Value at risk and bank capital management. |
Съдържание:
- Value at risk, capital management, and capital allocation
- What is 'capital' management?
- Market risk
- Credit risk
- Operational risk and business risk
- Risk capital aggregation
- Value at risk and risk control for market and credit risk
- Risk-adjusted performance measurement
- Risk-adjusted performance targets, capital allocation, and the budgeting process.