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References 301 risiken aus Handelsgeschäften vor dem Hintergrund betriebswirtschaftlicher und aufsichtsrechtlicher Anforderungen, Reihe: Finanzierung, Steuern, Wirtschaftsprüfung, Volume 31, Köln: Botermann & Botermann. Homestake (1990) Annual Report 1990. Hommel, Ulrich, and Gunnar Pritsch (1998) “Notwendigkeit des unternehmerischen Risikomangements aus Shareholder-Value-Sicht,” in: Handbuch Corporate Finance, 6, A. K. Achleitner and G. F. Thoma (editors). Ergänzungslieferung, Köln, pp. 1–21. Hull, John C. (1997) Options, Futures, and Other Derivatives, Third Edition, Upper Saddle River, NJ: Prentice-Hall. Jackson, Patricia, David J. Maude, and William Perraudin (1998) “Bank Capital and Value at Risk,” working paper, The Bank of England, ISSN 1368-5562. Jagtiani, J., A. Saunders, and G.F. Udell (1995) “The Effect of Bank Capital Requirements on Bank Off-Balance Sheet Financial Innovations,” Journal of Banking & Finance, Volume 19 (June), pp. 647–658. James, Christopher M. (1987) “Some Evidence on the Uniqueness of Bank Loans,” Journal of Financial Economics, December 1987, pp. 217–235. James, Christopher M. (1991) “The Losses Realized in Bank Failures,” Journal of Finance, Volume XLVI, Number 4, September 1991, pp. 1223–1242. James, Christopher M. (1996) “RAROC Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation,” working paper 96-40, Financial Institutions Center, The Wharton School, University of Pennsylvania. Jensen, Michael C. (1986) “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers,” The American Economic Review, Volume 76, Number 2, pp. 323–329. Jensen, Michael C. (1993) “The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems,” The Journal of Finance, Volume XLVIII, Number 3, July 1993, pp. 831–880. Jensen, Michael C., and William H. Meckling (1976) “Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure,” Journal of Financial Economics, Volume 3, pp. 305–360. Jensen, Michael C., and William H. Meckling (1991) “Specific and General Knowledge, and Organizational Structure,” in: Main Currents in Contract Economics, Lars Werin and Hans Wijkander (editors), Oxford: Blackwell, pp. 251–274. Johanning, Lutz (1998) Value-at-Risk zur Markrisikosteuerung und Eigenkapitalallokation, Reihe: Risikomanagement und Finanzcontrolling, Volume 1, Bernd Rudolph (editor), Bad Soden: Uhlenbruch. Johnson, Hazel J. (1996) The Bank Valuation Handbook—A Market-Based Approach to Valuing A Bank, Second Edition, Chicago: Irwin.
302 RISK MANAGEMENT AND VALUE CREATION IN FINANCIAL INSTITUTIONS Johnson, Shane A. (1998) “The Effect of Bank Debt on Optimal Capital Structure,” Financial Management, Volume 27, Number 1, pp. 47–56. Jorion, Philippe (1997) Value at Risk - The Benchmark for Controlling Market Risk, Chicago: Irwin. Kealhofer, Stephen (1995) “Managing Default Risk in Portfolios of Derivatives,” Derivative Credit Risk—Advances in Measurement and Management, London: Risk Publications, pp. 49–63. Kennedy, Christopher (1999) “Shareholder Value in europäischen Banken,” Die Bank, Issue 4/99, pp. 224–227. Kim, Daesik, and Anthony Santomero (1988) “Risk in Banking and Capital Regulation,” Journal of Finance, Volume XLIII, Number 5, December 1988, pp. 1219–1233. Kimball, Ralph C. (1998) “Economic Profit and Performance Measurement in Banking,” New England Economic Review, July/August 1998, pp. 35–53. Krahnen, Jan P., Christian Rieck, and Erik Theissen (1997) “Messung individueller Risikoeinstellungen,” CFS working paper, Institut für Kapitalmarktforschung an der Universität Frankfurt, October 28, 1997. Kümmel, Axel Tibor (1993) Bewertung von Kreditinstituten nach dem Shareholder Value-Ansatz—Unter besonderer Berücksichtigung des Zinsänderungsrisikos, Johann Heinrich von Stein (editor), Studienreihe der Stiftung Kreditwirtschaft an der Universität Hohenheim, Ludwigsburg/Berlin: Verlag Wissenschaft & Praxis. Kuritzkes, Andrew (1998) “Transforming Portfolio Management,” Banking Strategies, July/August 1998, without page numbers. Kuritzkes, Andrew (1999) “SPI Part One: How to unlock shareholder value in wholesale banking? Unbundle the business,” EIU (Economist Intelligence Unit) Strategic Finance, June to August 1999, pp. 71–81. Lam, James (1999) “The Wheel of Misfortune,” available at www.erisks.com. Lam, James, and Greg Cameron (1999) “Measuring and Managing Operational Risk within an Integrated Risk Framework—Putting Theory into Practice,” in: Operational Risk and Financial Institutions, London: Risk Publications, pp. 81–94. Lehn, Kenneth, and Anil Makhija (1996) “EVA and MVA as Performance Measures and Signals for Strategic Change,” working paper, University of Pittsburgh, Katz Graduate School of Business; also in Strategy and Leadership, May/June 1996, pp. 34–38. Lessard, Don (1990) “Global Competition and Corporate Finance in the 1990s,” Journal of Applied Corporate Finance, Volume 1, pp. 59–72. Linsmeier, Thomas J., and Neil D. Pearson (1996) “Risk Measurement: An Introduction to Value at Risk,” working paper, University of Illinois at Urbana-Champaign, July 1996. Lintner, J. (1965) “The Valuation of Risky Assets and the Selection of Risky
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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 322 and 323: References 299 Froot, Kenneth A., a
Page 326 and 327: References 303 Investments in Stock
Page 328 and 329: References 305 Institute of Technol
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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