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

Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation.

The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation.

The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes.

This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management.

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

Part 1: Value at Risk and Bank Capital Management: The General Framework; ch. 1 Value at Risk, capital management and capital allocation; ch 2 What is “capital” management? The impact of Basel II and the new accounting standards; Part II: Risk Measurement and Risk Integration ch 3 Market Risk; ch 4 Credit Risk; ch 5 Operational Risk and Business risk; ch 6 The challenge of risk aggregation; Part III: Risk Control, Performance measurement, and capital allocation ch 7 Defining Value at Risk limits; ch 8 Risk-adjusted performance measurement; ch 9 Risk-adjusted performance measures, capital allocation and the budgeting process; ch 10 conclusion; Internet Resources directory; References; Index