In this ground-breaking new title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.
In this ground-breaking new title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.
Risk Management and Shareholders' Value in Banking provides an integrated framework for risk measurement, capital management and value creation in banks covering interest rate risk; market risk; credit risk; operational risk; capital regulation; capital management; and value creation. Updated to include coverage of the most recent developments in banking regulation, including comprehensive coverage of the new Basel III regulatory framework the book is structured in six parts. Part I covers the measurement and management of the interest rate risk and liquidity risk on all assets and liabilities of a banking institution. This includes a discussion of gapping models, presented critically through numerical examples and solutions, internal transfer rates, gapping techniques, liquidity risk management. Part II presents portfolio models for market risks, including the “variance/covariance” approach, Monte Carlo / historical simulations, backtesting, alternative risk measures (e.g. expected shortfall) and volatility estimation techniques. Part III addresses credit risk measurement, first on a stand-alone basis, then at a portfolio level; it also includes chapters on scoring models, rating systems, recovery risk, counterparty risk for OTC derivatives, and practical applications of credit risk models. Part IV deals with operational risk before part V goes on to illustrate the main pieces of regulation on bank capital issued by the Basel Committee, the main focus being on Basel 2 (insofar it has not been changed by the latest regulatory wave) and Basel 3. Part VI presents the link between risk and capital in all its implications, and provides the reader with the technical models needed to allocate capital to risk-taking units, set risk-adjusted profitability targets, and optimize the amount and composition of bank capital. By bringing together the core aspects of risk management in banking - models and algorithms, regulation, process engineering and management, and strategic planning – the book provides a unique and consistent framework showing how financial risks can be understood, measured, managed and covered with capital. The book is accompanied by a website which includes a series of excel files with detailed explanations of all the numerical examples shown in the book, as well as solutions to the end of chapter exercises.
The book is accompanied by a website which includes a series of excel files with detailed explanations of all the numerical examples shown in the book, as well as solutions to the end of chapter exercises.
The purpose of this report is to provide a detailed, up-to-date and critical analysis of the New Basel Capital Accord framework. It focuses on the limitations and pitfalls that may deserve further investigation, particularly at the European level. Moreover, it provides a provisional assessment of its effects on small- and medium-sized European banks, as well as small- and medium-sized European enterprises. It examines the procyclicality of the new Accord and offers mechanisms to counter it. Finally, it addresses the challenges of implementing the new rules at the EU level.
The purpose of this report is to provide a detailed, up-to-date and critical analysis of the New Basel Capital Accord framework.
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
More importantly, the book is pitched at a technical level that makes it readily accessible as a textbook or a book for self-study, something that is very lacking now in the financial industry. I have very high expectation for this book.
What would a synthetic theory of Digital, Media and Information Literacy (DMIL) look like? Radical Information Literacy presents, for the first time, a theory of DMIL that synthesises the diversity of perspectives and positions on DMIL, both in the classroom and the workplace, and within the informal learning processes of society. This title is based on original analysis of how decisions are made about the relevance of information and the other resources used in learning, showing how society has privileged objective approaches (used in rule-based decision making) to the detriment of subjective and intersubjective perspectives which promote individual and community contexts. The book goes on to analyse the academic and popular DMIL literature, showing how the field may have been, consciously or unwittingly, complicit in the ‘objectification’ of learning and the disempowerment of individuals and communities. Alternative ways of conceiving the subject are then presented, towards a reversal of these trends. Synthesises key theorists of digital, media and information literacy and information behaviour Includes the field of ‘community informatics’ Conducts a bibliometric analysis of a broad spectrum of writings on digital, media and information literacy, analysing the connections between them and the frames of DMIL within which they are located
| 0001.21700446 |
Tersedia di Perpustakaan Utama UIN Mahmud Yunus Batusangkar
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The book goes on to analyse the academic and popular DMIL literature, showing how the field may have been, consciously or unwittingly, complicit in the ‘objectification’ of learning and the disempowerment of individuals and communities.
| 0001.21700445 |
Tersedia di Perpustakaan Utama UIN Mahmud Yunus Batusangkar
|
