Sách Value At Risk And Bank Capital Management

Book Description:


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¡¦s decision
making processes. Academic books are typically concerned primarily with
measurement techniques, and devote only a small section to describing the
applications, usually without discussing the problems that changing
organizational processes in banks may have on business units¡¦ behaviour.
Practitioners¡¦ books are often based on a single experience, presenting the
approach that has been pursued by a single bank, but often do not adequately
evaluate that approach. In actual practice, the choice of how to use Value at
Risk and risk-adjusted performance measures has no single optimal solution, but
requires effective decision making that can identify the solution that is
consistent with the bank¡¦s style of management and coordination mechanisms, and
often with characteristics of individual business units as well. In this book,
Francesco Saita of Bocconi University argues that even though risk measurement
techniques have greatly improved in recent years for market, credit and now also
operational risk, capital management and capital allocation decisions are far
from becoming purely technical and mechanical. On one hand, decisions about
capital management must consider handling different capital constraints (e.g.
regulatory vs. economic capital ) and face remarkable difficulties in providing
a measure of ¡§aggregated¡¨ Value at Risk (i.e. a measure that considers the
overall value at risk of the bank after diversification across risk types). On
the other hand, the aim of using capital more efficiently through capital
allocation cannot be achieved only through a sort of centralized asset
allocation process, but rather by designing a Value at Risk limit system and a
risk-adjusted performance measurement system that are designed to provide the
right incentives to individual business units. This connection between
sophisticated and cutting edge risk measurement techniques and practical bank
decision making about capital management and capital allocation make this book
unique and provide readers with a depth of academic and theoretical expertise
combined with practical and real-world understanding of bank structure,
organizational constraints, and decisionmaking processes.

*Contains
concise, expert analysis of the latest technical VaR measures but without the
highly mathematical component of other books
*Discusses practical
applications of these measures in the real world of banking, focusing on
effective decision making for capital management and allocation
*Author is
based at Bocconi University in Milan, Italy, one of the foremost institutions
for banking in Europe