Risk Management and Value Creation in ... - Arabictrader.com

Index 313
Benchmarking, 14, 209
Bernoulli, 60, 172, 177
Best practice, 130, 210, 238
Beta:
CAPM, 245, 266
external, 37, 246, 253–254, 266, 268
instantaneous equity, 255
internal, 185, 213, 242, 246, 253,
266, 268–269, 275, 283–284
market, 36, 168, 230, 253, 269
of transaction, 255
Bid-ask spread, 124
BIS. See Bank for International
Settlements
Black-Scholes, 131, 221–223, 227,
248, 255
Bond holder(s):
credit sensitive, 23, 142
junior, 142, 151, 156, 158–161, 219
senior, 142, 147, 151–152, 156–
159
external, 142
Bond, zero-coupon, 222, 247
Bonus, 85, 89
Book capital. See Capital, book
Book value, 110–111, 120, 149, 160–
161, 222–227, 230–231, 260,
264
Break even, 255
Brownian motion, geometric, 221
Business disruption, 162, 197, 216
Business risk. See Risk, business
capital. See Capital, economic, (for)
business
Business unit, 1, 15, 26–27, 164, 177,
187, 193, 195, 205–209, 213,
244, 283, 285
CAD. See Capital Adequacy Directive,
European
Call option. See Option(s), call
Capacity, 94, 126, 130, 153
Capital adequacy, 159–161
Capital allocation, 7, 191, 205, 283
Capital:
as buffer function of, 134, 141,
145, 150, 159, 169, 211, 253,
262, 268
as cushion. See Capital, buffer
function of
as substitute for risk management,
112, 123, 126, 140, 236
available, 139, 145, 162
Capital base, 157, 195, 208
Capital benefit, 243–244, 251–252, 283
Capital, book, 4, 139, 146–147, 161,
194, 219
Capital concepts, 146
Capital, economic, 5–7, 137, 156,
158, 160, 164, 169
aggregation across risk types, 210–
213
as adequate risk measure, in banks,
164, 166, 236–237
as proxy or shortcut for risk
capital, 160, 163, 237
as theoretical construct, 159, 164
as total risk measure, 170, 185,
214, 219, 253, 265–266, 272,
285
for business risk, 205–210
for credit risk, 170–186
for event risk, 199–205
for market risk, 186–196
for operational risk, 196–210
VaR-based, 219, 236
Capital:
excess, 150, 162
human, 84, 86, 89
invested, 263–264, 273
real, 6, 192, 252, 269, 280
Capital, regulatory, 4, 142, 144–147,
151, 154, 160, 162–163, 194,
209, 239–240
Capital, requirement, 5, 139, 145–
146, 150, 153, 158, 162, 165–
166, 192, 211–212, 242, 284
economic, 139, 143–145, 161–163,
175, 193, 212–216, 235–236,
253, 267
marginal or incremental, 212, 236
regulatory, 142–145, 164, 194, 209,
239
standalone, 260
Capital, risk, 5, 26, 137, 146, 151,
153–154, 262, 270, 289