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| | Home Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies (The Wiley Finance Series) | |
|  | |  | | | Risk Management and Shareholders' Value in Banking: From Risk Measurement Models to Capital Allocation Policies (The Wiley Finance Series) | | | | | SKU:
E9780470029787 | | In Stock | | Availability:
Usually ships in 1 business days | | Only 4 left in stock, order soon! | | | | | | 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 are provided on the companion website www.wiley.com/go/rmsv
* a complete, up-to-date introduction to Basel II
* focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics | | | |
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| | Product Details | | Author: | Andrea Sironi | | Hardcover: | 808 pages | | Publisher: | Wiley | | Publication Date: | June 05, 2007 | | Language: | English | | ISBN: | 0470029781 | | Product Length: | 9.81 inches | | Product Width: | 6.79 inches | | Product Height: | 1.98 inches | | Product Weight: | 3.27 pounds | | Package Length: | 9.69 inches | | Package Width: | 7.01 inches | | Package Height: | 2.2 inches | | Package Weight: | 3.66 pounds | | Average Customer Rating: |  based on 2 reviews |
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| | Customer Reviews | Average Customer Review: ( 2 customer reviews )
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Most Helpful Customer Reviews
6 of 6 found the following review helpful:
 Great textbook for bank or portfolio risk manager Feb 24, 2008
By M. Zobian
I found the book clear, concise, and comprehensive. It covers the 3 main risks in a very logical order: interest rate, market, then credit, and then finishes up with an examination of capital management. Each section starts with basic concepts then moves into greater detail (and higher mathematics). That said, you don't need to be a mathematician to buy this but I strongly recommend you are familiar with basic finance and statistics. (If you know how to calculate a Beta and a present value and you understand what a standard deviation and linear regression is, you'll comprehend 75% of the book, which is the meat of it.)
The authors are obviously experts in the field of bank and trading risk management theory. There are few errors or typos, and the charts, tables, and examples are gratifyingly simple and clear. There's even little questions and problems at the end of each chapter, with answers available on-line. That's a nice touch.
This is an MBA-class-in-a-book. I recommend it for anyone who needs to understand the basics (and the specifics) of bank/portfolio risk management.
0 of 3 found the following review helpful:
 great book! Apr 22, 2010
By Rafik Suvaryan
"rafik_mets"
The book was brand new
although i was dissatisfied by the duration of long shipping(2-3 weeks)
The price did not include the shipping payment (so actually it was higher then other prices for the other sellers)
overally it was ok, with the exception of price and shipment.
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