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References 299 Froot, Kenneth A., and Jeremy C. Stein (1998a) “Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach,” Journal of Financial Economics, Volume 47, pp. 55–82. Froot, Kenneth A., and Jeremy C. Stein (1998b) “A New Approach to Capital Budgeting for Financial Institutions,” Journal of Applied Corporate Finance, Volume 11, Number 2, Summer 1998, pp. 59–69. Garman, M.B., and J.A. Ohlson (1981) “Valuation of Risky Assets in Arbitrage-Free Economics with Transaction Costs,” Journal of Financial Economics, Volume 9, pp. 271–280. Garside, Thomas (1998) “Credit Portfolio Models—Selection, Customisation and Applications,” presented at AIC Conferences on October 29, 1998. Garside, Thomas, Henry Stott, and Gunther Strothe (1999) “Portfoliomanagement des Kreditrisikos,” in: Handbuch Informationstechnologie in Banken, 1999, XXXII, Jürgen Moormann and Thomas Fischer (editors), Wiesbaden: Gabler, pp. 186–207. Géczy, Christopher C., Bernadette A. Minton, and Catherine Schrand (1999) “Choices Among Alternative Risk Management Strategies: Evidence from the Natural Gas Industry,” working paper, November 1999. Géczy, Christopher C., Bernadette A. Minton, and Catherine Schrand (1995) “Why Firms Use Derivatives: Distinguishing Among Existing Theories,” working paper, September 1995. Gesetz zur Kontrolle und Transparenz im Unternehmensbereich (KonTraG) (1998). Glaeser, Betsy (1996) “Save a Place for VaR,” Risk Magazine, Volume 9, Number 12, December 1996, pp. 17–18. Glaum, Martin, and Gerhart Förschle (2000) Finanzwirtschaftliches Risikomanagement deutscher Industrie- und Handelsunternehmen— Industriestudie, PwC Deutsche Revision Aktiengesellschaft Wirtschaftsprüfungsgesellschaft (editors), Frankfurt am Main: Fachverlag Moderne Wirtschaft. Graham, John R., and Daniel A. Rogers (1999) “Is Corporate Hedging Consistent with Value Maximization?—An Empirical Analysis,” working paper. Graham, John R., and Clifford W. Smith, Jr. (1996) “Tax Incentives to Hedge,” unpublished working paper, University of Rochester. Graman, Mark (1996) “Improving on VaR,” Risk Magazine, Volume 9, Number 5, May 1996, pp. 61–63. Gramlich, Dieter, Benjamin Tobias Peylo, and Martin Staaden (1999) “Effiziente Portefeuilles im µ-/VaR-Raum,” Die Bank, Issue 6/99, pp. 422–425. Greene, William H. (1993) Econometric Analysis, Second Edition, London: Prentice Hall International Inc. Groß, Hermann, and Martin Knippschild (1995) “Risikocontrolling in der
300 RISK MANAGEMENT AND VALUE CREATION IN FINANCIAL INSTITUTIONS Deutschen Bank AG,” in: Risikomanagement in Kreditinstituten, B. Rolfes, H. Schierenbeck, and S. Schüller (editors), Frankfurt: Fritz Knapp Verlag, pp. 69–109. Grübel, Oswald, Jaakko Kärki, and Cecilia Reyes (1995) “Wirtschaftliche Rentabilitätsrechnung von Handelsaktivitäten,” in: Handbuch Bankcontrolling, Henner Schierenbeck and Hubertus Moser (editors), Wiesbaden: Gabler, pp. 611–636. Guldimann, Till M., Peter Zangari, Jacques Longerstaey, John Matero, and Scott Howard (1995) “RiskMetrics—Technical Document,” Third Edition, New York: J.P. Morgan. Gup, Benton E. (1998) Bank Failures in the Major Trading Countries of the World—Causes and Remedies, Westport: Quorum Books. Gupton, Greg M., Christopher C. Finger, and Mickey Bhatia (1997) “Credit- Metrics Technical Document,” J.P. Morgan & Co. Incorporated. Guthoff, Anja, Andreas Pfingsten, and Juliane Wolf (1996) “On the Compatibility of Value at Risk, Other Risk Concepts, and Expected Utility Maximization,” in: Geld, Finanzwirtschaft, Banken und Versicherungen, Christian Hipp et al. (editors), Karlsruhe: VVW, pp. 591–614. Guthoff, Anja, Andreas Pfingsten, and Juliane Wolf (1998) “Der Einfluß einer Begrenzung des Value at Risk oder des Lower Partial Moment One auf die Risikoübernahme,” in: Credit Risk und Value-at-Risk Alternativen, Andreas Oehler (editor), Stuttgart: Schäffer-Poeschel, pp. 111–153. Harker, Patrick T., and A. Zenios Stavros (1998) “What Drives the Performance of Financial Institutions?” working paper 98-21, Financial Institutions Center, The Wharton School, University of Pennsylvania. Hartmann-Wendels, Thomas, Andreas Pfingsten, and Martin Weber (1998) Bankbetriebslehre, Berlin: Springer. Haubenstock, Michael J. (1998) “Linking RAROC to Strategic Planning,” The Journal of Lending & Credit Risk Management, October 1998, pp. 26–31. Haubenstock, Michael, and Arun Aggarwal (1997) “Risk Optimisation— Applying Risk-Adjusted Performance Measurement to Increase Shareholder Value,” in: Risk Management for Financial Institutions—Advances in Measurement and Control, London: Risk Publications, pp. 175–189. Haubenstock, Mike, and Frank Morisano (1997) “Beyond Loss Avoidance to Strategic Risk Management,” Banking Strategies, Volume 73, Number 4, July/August 1997, pp. 61–63. Hille, Christian T., Christoph Burmester, and Matthias Otto (2000) “Modelle zur risikoadjustierten Kapitalallokation,” Die Bank, Issue 3/2000, pp. 190–195. Hirschbeck, Thomas (1998) Management von Handelsrisiken in Banken— Konzeptionen zur Erfassung und Steuerung der Marktpreis- und Kredit-
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isk management and value creation i
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Copyright © 2002 by John Wiley & S
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preface From an empirical as well a
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acknowledgments No book is solely t
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x CONTENTS Goals of Risk Management
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xii CONTENTS Definition of RAROC 24
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xiv FIGURES Figure 5.5 Figure 5.6 F
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symbols ↑ ↓ α β i xvi Increas
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xviii SYMBOLS ln Natural logarithm
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abbreviations APT BIS bn bps CAPM C
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2 RISK MANAGEMENT AND VALUE CREATIO
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CHAPTER 2 Foundations for Determini
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Foundations for Determining the Lin
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56 RISK MANAGEMENT AND VALUE CREATI
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100 RISK MANAGEMENT AND VALUE CREAT
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Page 316 and 317: eferences Aguais, Scott D., and Ant
Page 318 and 319: References 295 Blanden, Michael (19
Page 320 and 321: References 297 and Abuses,” Journ
Page 324 and 325: References 301 risiken aus Handelsg
Page 326 and 327: References 303 Investments in Stock
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Page 330 and 331: References 307 Sharpe, William F. (
Page 332: References 309 Wall, L.D., and John
Page 335 and 336: 312 INDEX Approach (continued) top-
Page 337 and 338: 314 INDEX Capital: Tier-1, 139, 146
Page 339 and 340: 316 INDEX Credit: derivatives, 178,
Page 341 and 342: 318 INDEX Expectations: homogeneous
Page 343 and 344: 320 INDEX Incentive(s), 22, 33, 45,
Page 345 and 346: 322 INDEX Managers, poorly diversif
Page 347 and 348: 324 INDEX Overinvestment, 75, 79, 8
Page 349 and 350: 326 INDEX Reserve(s) (continued) lo
Page 351 and 352: 328 INDEX Risk, liquidity, 3, 165 R
Page 353 and 354: 330 INDEX Sharpe ratio, 244, 252 Sh
Page 355: 332 INDEX Value at risk (VaR) (cont
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