The book analyses how Value at Risk models for market, credit, operational and business risk can be used in bank decision making processes such as the definition of risk limits, risk adjusted performance measurement and capital allocation. The first part of the book is devoted to risk measurement while the second part, which is the most peculiar, discusses the applications in decision making processes. The book also highlights the role that the way in which business risk is measured and in which different risks are aggregated at bankwide level may have a relevant impact on the perception that top managers have of the bank's overall riskiness. The book also introduces the distinction between "book capital at risk" and "market capitalization at risk" showing the implications for a bank's target setting among the different divisions and for performance evaluation.

Value at Risk and Bank Capital Management. Risk Adjusted Performances, Capital Management and Capital Allocation Decision Making

SAITA, FRANCESCO
2007

Abstract

The book analyses how Value at Risk models for market, credit, operational and business risk can be used in bank decision making processes such as the definition of risk limits, risk adjusted performance measurement and capital allocation. The first part of the book is devoted to risk measurement while the second part, which is the most peculiar, discusses the applications in decision making processes. The book also highlights the role that the way in which business risk is measured and in which different risks are aggregated at bankwide level may have a relevant impact on the perception that top managers have of the bank's overall riskiness. The book also introduces the distinction between "book capital at risk" and "market capitalization at risk" showing the implications for a bank's target setting among the different divisions and for performance evaluation.
2007
Elsevier Academic Press
9780123694669
Saita, Francesco
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/54228
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