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References 305 Institute of Technology—Center for Energy and Environmental Policy Research, January 1993. Myers, W. (1977) “Determinants of Corporate Borrowing,” Journal of Financial Economics, Volume 5, pp. 147–175. Nance, Deane R., Clifford W. Smith, Jr., and Charles W. Smithson (1993) “On the Determinants of Corporate Hedging,” The Journal of Finance, Volume XLVIII, Number 1, pp. 267–284. Obst, Georg, and Otto Hintner (1991) Geld-, Bank- und Börsenwesen: Ein Handbuch, 38 th Edition, Norbert Kloten and Johann Heinrich von Stein (editors), Stuttgart: Poeschel. Oliver Wyman Report (2000) “BIS II: A Step in the Right Direction,” Volume 9, Number 3, New York: Oliver, Wyman & Company. Ong, Michael K. (1999) Internal Credit Risk Models—Capital Allocation and Performance Measurement, London: Risk Publications. Opler, Tim C., Michael Saron, and Sheridan Titman (1997) “Designing Capital Structure to Create Shareholder Value,” Journal of Applied Corporate Finance, Volume 10, Number 1, Spring 1997, pp. 21–32. Perridon, Louis, and Manfred Steiner (1995) Finanzwirtschaft der Unternehmung, Eighth Edition, Munich: Vahlen. Pfingsten, Andreas, and Gerhard Schröck (2000) “Bedeutung und Methodik von Krediteinstufungsmodellen im Bankwesen,” in Kreditrisikomanagement—Portfoliomodelle und Derivate, Andreas Oehler (editor), Stuttgart: Schäffer-Poeschel, pp. 1–23. Pritsch, Gunnar, and Ulrich Hommel (1997) “Hedging im Sinne des Aktionärs—Ökonomische Erklärungsansätze für das unternehmerische Risikomanagement,” DBW, Volume 57, 1997, pp. 672–693. Punjabi, Sanjeev (1998) “Many Happy Returns,” Risk Magazine, Volume 11, Number 6, June 1998, pp. 71–76. Punjabi, Sanjeev, and Oliver Dunsche (1998) “Effective Risk-Adjusted Performance Measurement for Greater Shareholder Value,” The Journal of Lending & Credit Risk Management, October 1998, pp. 18–23. Raposo, Clara C. (1999) “Corporate Hedging: What Have We Learned So Far?” Derivatives Quarterly, Volume 5, Number 3, Spring 1999, pp. 41–51. Rawls, S. Waite III, and Charles W. Smithson (1989) “The Evolution of Risk Management Products,” Journal of Applied Corporate Finance, Winter 1989, pp. 18–26. Reading, Ronald D., Alden L. Toevs, and Robert J. Zizka (1998) “Winning the Credit Cycle Game,” The Journal of Lending & Credit Risk Management, March 1998, pp. 16–24. Reiss, R.D., and M. Thomas (1997) Statistical Analysis of Extreme Values, Basel: Birkhauser Verlag.
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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 324 and 325: References 301 risiken aus Handelsg
Page 326 and 327: References 303 Investments in Stock
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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