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Foundations for Determining the Link between Risk Management and Value Creation 49 Cdt. Bergamasco 219.44% Bca. Agricola Mantovana 229.55% BHF–Bank 237.22% Deutsche Bank 252.71% Oldenburger Landesbank 277.07% Banca Intesa RNC 279.39% Bca. PPO. Bergamo 281.41% Commerzbank 298.28% Merita 303.11% COMIT 314.14% Deutsche Hypothekenbank Frankfurt Hamburg 316.11% Societe Generale 325.86% Dresdner Bank 329.67% Bayer. Hypo- und Vereinsbank 342.25% Banca Lombarda 355.03% BCP R 362.50% DePfa–Bank 372.12% Almanij 398.63% Bnc. Popul. Español R 414.60% Bca. PPO. Emilia Romagna 422.80% Bca. PPO. Coml. Indr. 428.97% CCF 477.24% Allied Irish Banks 483.76% Banca Intesa 513.38% ABN AMRO Holding 527.66% KBC Bkvs. Holding 529.18% Unicredito Italiano 529.28% HSBC Trinkaus & Burkhard 602.01% BSCH 677.11% Bankinter R 695.56% ING Groep Certs. 729.20% Fortis B 763.75% BBV Argentaria 785.56% Bank of Ireland 797.98% Source: Datastream and author’s analysis. Part B: Systematic versus Specific Risk See Figures 2.7 through 2.10 on the following pages.
50 RISK MANAGEMENT AND VALUE CREATION IN FINANCIAL INSTITUTIONS 100.00% 100.00% 90.00% 90.00% y = -5E-05x + 2.6812 R 2 = 0.3256 80.00% 80.00% 70.00% 70.00% 60.00% 60.00% 50.00% 50.00% %systematic risk % systematic risk % specific risk %specific risk 40.00% 40.00% 30.00% 30.00% 20.00% 20.00% 10.00% 10.00% 0.00% May-92 May-93 May-94 May-95 May-96 May-97 May-98 May-99 0.00% May-92 May-93 May-94 May-95 May-96 May-97 May-98 May-99 Figure 2.7 Deutsche Bank. Source: Datastream and author’s analysis.
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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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Page 23 and 24: abbreviations APT BIS bn bps CAPM C
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Page 32 and 33: CHAPTER 2 Foundations for Determini
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100 RISK MANAGEMENT AND VALUE CREAT
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eferences Aguais, Scott D., and Ant
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References 295 Blanden, Michael (19
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References 297 and Abuses,” Journ
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References 299 Froot, Kenneth A., a
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References 301 risiken aus Handelsg
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References 303 Investments in Stock
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References 305 Institute of Technol
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References 307 Sharpe, William F. (
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References 309 Wall, L.D., and John
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312 INDEX Approach (continued) top-
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314 INDEX Capital: Tier-1, 139, 146
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316 INDEX Credit: derivatives, 178,
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318 INDEX Expectations: homogeneous
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320 INDEX Incentive(s), 22, 33, 45,
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322 INDEX Managers, poorly diversif
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324 INDEX Overinvestment, 75, 79, 8
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326 INDEX Reserve(s) (continued) lo
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328 INDEX Risk, liquidity, 3, 165 R
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330 INDEX Sharpe ratio, 244, 252 Sh
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332 INDEX Value at risk (VaR) (cont
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