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

More documents

Recommendations

Info

Foundations for Determining the Link between Risk Management and Value Creation 19 1100% 1050% 1000% 950% 900% 850% 800% 750% BANK OF IRELAND BBV ARGENTARIA FORTIS B ING GROEP CERTS. DJ EURO STOXX BANK - PRICE INDEX 700% 650% 600% 550% 500% 450% 400% 350% 300% 250% 200% 150% 100% 50% 01-Jan-92 01-Jan-93 01-Jan-94 01-Jan-95 01-Jan-96 01-Jan-97 01-Jan-98 01-Jan-99 Figure 2.3 Best bank performers. Source: Datastream and author’s analysis.
20 RISK MANAGEMENT AND VALUE CREATION IN FINANCIAL INSTITUTIONS 350% 300% 250% DJ EURO STOXX BANK - PRICE INDEX BANCA DI ROMA BANK AUSTRIA 200% 150% 100% 50% 0% 01-Jan-92 01-Jan-93 01-Jan-94 01-Jan-95 01-Jan-96 01-Jan-97 01-Jan-98 01-Jan-99 Figure 2.4 Worst bank performers. Source: Datastream and author’s analysis.
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 32 and 33: CHAPTER 2 Foundations for Determini
Page 34 and 35: Foundations for Determining the Lin
Page 76: Foundations for Determining the Lin
Page 79 and 80: 56 RISK MANAGEMENT AND VALUE CREATI
Page 93 and 94:
70 RISK MANAGEMENT AND VALUE CREATI
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:
Page 291 and 292:
Page 293 and 294:
Page 295 and 296:
Page 297 and 298:
Page 299 and 300:
Page 301 and 302:
Page 303 and 304:
Page 305 and 306:
Page 307 and 308:
Page 309 and 310:
Page 311 and 312:
Page 313 and 314:
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 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
show all

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

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?