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

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Foundations for Determining the Link between Risk Management and Value Creation 51 100.00% 90.00% % systematic risk % specific risk %systematic risk %specific risk y = -8E-05x + 3.4719 R 2 = 0.2207 80.00% 70.00% 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% May-92 May-93 May-94 May-95 May-96 May-97 May-98 May-99 ire2.8 Energy industry. Source: Datastream and author’s analysis.
52 RISK MANAGEMENT AND VALUE CREATION IN FINANCIAL INSTITUTIONS 100.00% 90.00% 80.00% 70.00% 60.00% 50.00% %systematic risk % systematic risk % specific risk %specific risk y = -2E-05x + 1.3549 R 2 = 0.0365 40.00% 30.00% 20.00% 10.00% 0.00% May-92 May-93 May-94 May-95 May-96 May-97 May-98 May-99 Figure 2.9 Consumer cyclical industry. 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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xviii SYMBOLS ln Natural logarithm
Page 23 and 24: abbreviations APT BIS bn bps CAPM C
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102 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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