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

More documents

Recommendations

Info

Index 317 Discretion, managerial, 82, 97, 276 Disintermediation, 29 Distance to default, (normalized), 225–226, 229, 233–234 Distribution: (net) asset (value), 23, 80, 150, 158–159, 162, 216, 220, 224 cut-off point, 204 earnings, 215 economic return, 215 empirical, 190, 195, 225 extreme tail, 158 firm value, 80 gains and losses, 166, 214 loss, 182, 185, 202 moment(s) of a, 217 skewed, 151, 202, 204 tail of, 158, 183–184 value (change), 150, 158–159 Distribution (function): beta, 184–185, 204 binomial, 177, 184 lognormal, 221, 225 non-normal, 151 normal, 168, 177, 183, 189–190, 223, 225, 228–229, 233, 248 uniform, 177 Diversification, 26, 28, 40–42, 56, 60, 62, 65–66, 69, 71, 74, 86, 103, 122, 136, 141, 157, 159, 176, 178, 182, 185, 200, 209, 212– 213, 142, 260, 270, 276, 278 Divesting, 1, 7 Dividend: decision(s), 12, 14 policy, 63, 121 Doctrine, “too-big-to-fail”, 110, 123, 142, 147, 230 Domino effect(s), 22 DP. See Default point Drift rate, 221 Due diligence, 41 Earning(s), 31–32, 38–39, 61, 70–71, 87, 89, 120, 149, 157, 192– 193, 215, 239, 245 economic, 120, 242 pretax, 120 residual, 244 Economic Value Added (EVA ® ), in banks, 244, 290 Economy, local or regional, 140 EL. See Loss(es), expected Empire building, 82 Empirical, evidence, on link between risk management and value creation, 6, 9, 43, 46–48, 55, 287 Engineering, financial 44 Entity: approach, 14–15 value, 15 Environment: business, 208 competitive, 157, 207–208 economic, 131, 216 financial, 56 market, 157 operating, 157 Equilibrium, 76, 132, 155, 261, 280 Equity: approach, 2, 240, 256 as scarce resource, 239 investment, 105, 245 Estimation horizon or period, 172– 174, 186 Eurobonds, sovereign, 175 EVA ® . See Economic Value Added Evaluation, risk-neutral, 223, 225, 228 Event(s): downside, 151 extreme, 195 non-credit-risk, 196 nonmarket, 196 nonrecurring, 245 Event loss database, 202 Event risk. See Risk, event Event studies, 47 EVT. See Extreme value theory Examination process, regulatory, 145, 214 Existence of banks, 72, 79, 114, 138, 199 of firms, 72
318 INDEX Expectations: homogeneous, 59, 277 tail conditional, 218–219 Expected Default Frequency (EDF), 172. See also Probability of default (PD) Expected losses (EL). See Loss(es), expected Expense(s): allocation of, 241 direct, 243 indirect, 243 non-interest, 209, 243 rigid, 205, variable, 205 Exposure, 26, 28, 38, 44, 46, 63, 70, 74, 77, 83, 85, 88, 96, 102– 103, 110–111, 114–115, 120, 123, 130, 135–136, 149, 166, 170, 172–174, 176–177, 179, 198–200, 210, 237 Externalities, 22, 75, 144 Extreme value theory (EVT), 183, 194–195, 218 Failure, 42, 56, 110, 122, 150, 173, 196–197, 204 FDIC. See Federal Deposit Insurance Corporation Federal Deposit Insurance Corporation (FDIC), 110, 143– 144 Fee(s), 124, 197, 243 Finance theory conventional, 274 neoclassical, 2, 5–6, 21, 33–34, 39, 58, 67, 70–72, 136, 138, 240, 253, 269, 272, 279–281, 287– 288 and risk management, 61–64. See also Risk management irrelevance proposition as partial solution, 74, 289 assumptions of, 2, 4, 58–60, 129, 247, 290 corollaries with regard to risk management, 61 discrepancies to practice, 72 relaxation of the assumptions of, 75–79 neoinstitutional, and risk management, 74, 123, 129, 132, 136, 285, 288–289 incentive-based approaches, 75 transaction-cost-based approach, 76 Financial distress, 30, 80, 82, 90, 104–111, 123, 164, 166, 269, 288 costs. See Cost(s) of financial distress Financial: institution(s). See Bank(s) intermediation, 2. See also Intermediation leverage. See Leverage policy, 42, 62, 135 risk business, 3, 29, 48, 287 system. See Banking system Financing: decisions, irrelevance of, 61, 249 default-free, 154 opportunities, changing, 103 Firm(s): closely held, 82, 84, 89, 130 widely held, 24, 60, 78, 130 Firm objective function, 9, 27, 100 characteristics of, 13 concave, 85, 87, 91, 100, 112 Firm value: after financial distress costs, 106 after-tax, 116 before financial distress costs, 106 maximization of, 11, 33, 56 Fisher separation, 11 Flexibility, as source for value creation, 68 Flows-to-entity approach. See Entity, approach Flows-to-equity approach. See Equity, approach Fluctuations, economic, 64 Forward(s), 40, 56, 118, 278 Framework: capital-budgeting, 238
Page 2:
isk management and value creation i
Page 5 and 6:
Copyright © 2002 by John Wiley & S
Page 8 and 9:
preface From an empirical as well a
Page 10:
acknowledgments No book is solely t
Page 13 and 14:
x CONTENTS Goals of Risk Management
Page 15 and 16:
xii CONTENTS Definition of RAROC 24
Page 17 and 18:
xiv FIGURES Figure 5.5 Figure 5.6 F
Page 19 and 20:
symbols ↑ ↓ α β i xvi Increas
Page 21 and 22:
xviii SYMBOLS ln Natural logarithm
Page 23 and 24:
abbreviations APT BIS bn bps CAPM C
Page 25 and 26:
2 RISK MANAGEMENT AND VALUE CREATIO
Page 27 and 28:
Page 29 and 30:
Page 32 and 33:
CHAPTER 2 Foundations for Determini
Page 34 and 35:
Foundations for Determining the Lin
Page 36 and 37:
Page 38 and 39:
Page 40 and 41:
Page 42 and 43:
Page 44 and 45:
Page 46 and 47:
Page 48 and 49:
Page 50 and 51:
Page 52 and 53:
Page 54 and 55:
Page 56 and 57:
Page 58 and 59:
Page 60 and 61:
Page 62 and 63:
Page 64 and 65:
Page 66 and 67:
Page 68 and 69:
Page 70 and 71:
Page 72 and 73:
Page 74 and 75:
Page 76:
Page 79 and 80:
56 RISK MANAGEMENT AND VALUE CREATI
Page 81 and 82:
Page 83 and 84:
Page 85 and 86:
Page 87 and 88:
Page 89 and 90:
Page 91 and 92:
Page 93 and 94:
Page 95 and 96:
Page 97 and 98:
Page 99 and 100:
Page 101 and 102:
Page 103 and 104:
Page 105 and 106:
Page 107 and 108:
Page 109 and 110:
Page 111 and 112:
Page 113 and 114:
Page 115 and 116:
Page 117 and 118:
Page 119 and 120:
Page 121 and 122:
Page 123 and 124:
100 RISK MANAGEMENT AND VALUE CREAT
Page 125 and 126:
Page 127 and 128:
Page 129 and 130:
Page 131 and 132:
Page 133 and 134:
Page 135 and 136:
Page 137 and 138:
Page 139 and 140:
Page 141 and 142:
Page 143 and 144:
Page 145 and 146:
Page 147 and 148:
Page 149 and 150:
Page 151 and 152:
Page 153 and 154:
Page 155 and 156:
Page 157 and 158:
Page 159 and 160:
Page 161 and 162:
Page 163 and 164:
Page 165 and 166:
Page 167 and 168:
Page 169 and 170:
Page 171 and 172:
Page 173 and 174:
Page 175 and 176:
Page 177 and 178:
Page 179 and 180:
Page 181 and 182:
Page 183 and 184:
Page 185 and 186:
Page 187 and 188:
Page 189 and 190:
Page 191 and 192:
Page 193 and 194:
Page 195 and 196:
Page 197 and 198:
Page 199 and 200:
Page 201 and 202:
Page 203 and 204:
Page 205 and 206:
Page 207 and 208:
Page 209 and 210:
Page 211 and 212:
Page 213 and 214:
Page 215 and 216:
Page 217 and 218:
Page 219 and 220:
Page 221 and 222:
Page 223 and 224:
Page 225 and 226:
Page 227 and 228:
Page 229 and 230:
Page 231 and 232:
Page 233 and 234:
Page 235 and 236:
Page 237 and 238:
Page 239 and 240:
Page 241 and 242:
Page 243 and 244:
Page 245 and 246:
Page 247 and 248:
Page 249 and 250:
Page 251 and 252:
Page 253 and 254:
Page 255 and 256:
Page 257 and 258:
Page 259 and 260:
Page 261 and 262:
Page 263 and 264:
Page 265 and 266:
Page 267 and 268:
Page 269 and 270:
Page 271 and 272:
Page 273 and 274:
Page 275 and 276:
Page 277 and 278:
Page 279 and 280:
Page 281 and 282:
Page 283 and 284:
Page 285 and 286:
Page 287 and 288:
Page 289 and 290: 266 RISK MANAGEMENT AND VALUE CREAT
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 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: 316 INDEX Credit: derivatives, 178,
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
show all

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

Create successful ePaper yourself

Delete template?

Save as template?