Value at risk and bank capital management
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...
Main Author: | |
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Format: | eBook |
Language: | English |
Published: |
Amsterdam
Elsevier Academic Press
2007
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Series: | Academic Press advanced finance series
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Subjects: | |
Online Access: | |
Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- Includes bibliographical references and index
- 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