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Value at Risk and Bank Capital Management

Author

Listed:
  • Saita, Francesco

    (Professor of Financial Markets and Institutions and Director of the M.Sc. in Finance at Bocconi University, Milan, Italy, where he is also the Vice Director of Newfin Research Center on Financial Innovation.)

Abstract

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 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

Suggested Citation

  • Saita, Francesco, 2007. "Value at Risk and Bank Capital Management," Elsevier Monographs, Elsevier, edition 1, number 9780123694669.
  • Handle: RePEc:eee:monogr:9780123694669
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    Citations

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    Cited by:

    1. Andrei Semenov, 2009. "Risk factor beta conditional value-at-risk," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(6), pages 549-558.
    2. Jinwook Lee & András Prékopa, 2013. "Properties and calculation of multivariate risk measures: MVaR and MCVaR," Annals of Operations Research, Springer, vol. 211(1), pages 225-254, December.
    3. Paula Andreea TERINTE, 2015. "Applicability Of Value At Risk On Romanian Capital Market," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 0(Special i), pages 104-109, September.
    4. Jinwook Lee & András Prékopa, 2015. "Decision-making from a risk assessment perspective for Corporate Mergers and Acquisitions," Computational Management Science, Springer, vol. 12(2), pages 243-266, April.
    5. Baule, Rainer, 2014. "Allocation of risk capital on an internal market," European Journal of Operational Research, Elsevier, vol. 234(1), pages 186-196.
    6. Stefano Caselli, 2010. "Governance and strategy within the financial system: tradition and innovation," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 14(3), pages 241-271, August.
    7. Michele Bonollo & Luca Di Persio & Luca Mammi & Immacolata Oliva, 2017. "Estimating the Counterparty Risk Exposure by using the Brownian Motion Local Time," Papers 1704.03244, arXiv.org.
    8. Llacay, Bàrbara & Peffer, Gilbert, 2017. "Impact of value-at-risk models on market stability," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 223-256.
    9. Kaouther Toumi & Jean-Laurent Viviani & Zeinab Chayeh, 2019. "Measurement of the displaced commercial risk in Islamic Banks," Post-Print halshs-01806496, HAL.
    10. Lang, Joachim & Madlener, Reinhard, 2010. "Portfolio Optimization for Power Plants: The Impact of Credit Risk Mitigation and Margining," FCN Working Papers 11/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    11. Toumi, Kaouther & Viviani, Jean-Laurent & Chayeh, Zeinab, 2019. "Measurement of the displaced commercial risk in Islamic Banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 18-31.
    12. Bruno Rossignoli & Francesca Arnaboldi, 2009. "Financial innovation: theoretical issues and empirical evidence in Italy and in the UK," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 56(3), pages 275-301, September.
    13. Mihaela Gruiescu & Mihai Aristotel Ungureanu & Corina Ioanăș, 2012. "Credit Risk. Determination Models," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 12(1), pages 121-128.
    14. Luca Vincenzo Ballestra & Graziella Pacelli & Davide Radi, 2017. "Valuing investment projects under interest rate risk: empirical evidence from European firms," Applied Economics, Taylor & Francis Journals, vol. 49(56), pages 5662-5672, December.

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