E-book library
Art
Biology
Business
Chemistry
Computers
Economy
Education
Geography
Geology
MORE
History
Housekeeping, leisure
Jurisprudence
Linguistics
Literature
Mathematics
Medicine
Other Social Sciences
Physical Education and Sport
Physics
Psychology
Religion
Science
Technique
Technology
Other
Home
Business
Value At Risk And Bank Capital Management. Risk Adjusted Performances, Capital Management And Capital Allocation Decision Making
Value At Risk And Bank Capital Management. Risk Adjusted Performances, Capital Management And Capital Allocation Decision Making
34
PDF
Preparing link to download
Please wait...
Download
E-Book Overview
Academic Press, 2007. — 280 p. — (Academic Press Advanced Finance). — ISBN 9780123694669 (print); ISBN 9780080471068 (eBook).
A unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications and the practical realities of bank decision making about capital management and capital allocation.
Preface.
<strong>Value at Risk, Capital Management, and Capital AllocationAn Introduction to Value at Risk.Capital Management and Capital Allocation: The Structure of the Book.
<strong>What Is Capital Management?Regulatory Capital and the Evolution of Basel II.The 1988 Basel I Accord and the 1996 Amendment.The Concept of Regulatory Capital.Overview of the Basel II Capital Accord.Pillar 1: Minimum Capital Requirements — The Main Changes Introduced by Basel II.Box 2-1: Impact of the Basel II Accord on the Level of Minimum Regulatory Capital Requirements.Pillar 2: Supervisory Review Process.Pillar 3: Market Discipline.The Debate about Basel II Adoption and Implementation.Bank Estimates of Required Capital and the Different Notions of Bank Capital.Book Value of Capital and the Impact of IAS/IFRS.Market Capitalization and the Double Perspective of Bank Managers.The Impact of Alternative Notions of Capital on Capital Management and Allocation.Summary.Further Readings.
<strong>Market RiskThe Variance–Covariance Approach.A Simplified Example.The Choice of the Relevant Random Variables.Mapping Exposures.Box 3-1: Mapping Equity Positions through Beta: An Example.VaR for a Portfolio.Box 3-2: Calculating VaR for a Three-Stock Portfolio.Box 3-3: Why Mapping Is Important.Estimating Volatility and Correlation: Simple Moving Averages.Estimating Volatility and Correlation: Exponentially Weighted.Moving Averages and GARCH Models.VaR Estimates and the Relevance of the Time Horizon.Implied Volatilities and Correlations.Box 3-4: Deriving Implied Volatility from Option Prices.Simulation Approaches: Historical and Monte Carlo Simulation.Historical Simulation.Hybrid Approach.Monte Carlo Simulations.Filtered Historical Simulations.Value at Risk for Option Positions.Problems in Option VaR Measurement.Potential Solutions for Option VaR Measurement.Extreme-Value Theory and Copulas.Extreme-Value Theory.Copulas.Expected Shortfall and the Problem of VaR Non-Subadditivity.Back-Testing Market Risk Models.Which Series Should Be Considered? Actual versus Theoretical.Portfolio Returns.Back-Testing VaR Forecasts: Unconditional Accuracy and Independence.Internal VaR Models and Market Risk Capital Requirements.Stress Testing.Summary.Further Readings.
<strong>Credit RiskDefining Credit Risk: Expected and Unexpected Losses.Agency Ratings.External Rating Assignment.Transition Matrixes and Cumulative and Marginal Default Probabilities.Quantitative Techniques for Stand-Alone Credit Risk Evaluation.Moody’s/KMV EDF and External Scoring Systems.Merton’s (1974) Model and Moody’s/KMV Expected Default Frequency.Box 4-1: Deriving the Theoretical Credit Spread for Risky Bonds in the Merton (1974) Model.Credit-Scoring Systems.Capital Requirements for Credit Risk under Basel II.Standardized Approach.Foundation and Advanced Internal Rating–Based Approaches.Internal Ratings.Internal Rating Assignment Process.Rating Quantification and the Definition of Default.Point-in-Time versus Through-the-Cycle Internal Ratings.Estimating Loss Given Default.Estimating Exposure at Default.Interaction between Basel II and International Accounting Standards.Alternative Approaches
You might also like
How To Build A Thriving Workplace: A Leader’s Guide
179
0
The Layman’s Guide To Understanding Financial Statements: How To Read, Analyze, Create & Understand Balance Sheets, Income Statements, Cash Flow & More [AZW3]
42
0
Cfa 2019 Schweser - Level 3 Schweser’s Quicksheet: Critical Concepts For The 2019 Cfa Exam
39
0
Technology Mediated Service Encounters
38
0
The Minto Pyramid Principle Logic In Writing Thinking
158
0
助推
23
0
сделано, чтобы прилипать. почему одни идеи выживают, а другие умирают [MOBI]
21
0
失败课——初创者和投资者的创业秘籍 [EPUB]
192
0
价值为纲:华为财经管理纲要 [EPUB]
197
0
Essentials Of Contemporary Management,
39
0
Search
Close