Bank valuation & value-based management
Subtitle: deposit and loan pricing, performance evaluation, and risk management
Publisher: McGraw-Hill
Published: 2009
Place of publication: New York
Language: eng
Format: Hardcover
ISBN-13: 9780071624992
Table of contents: title: Introduction.; title: Discounting, present value, and the yield curve; title: Coupon bond rate, zero coupon bond rate, forward rates, and the shape of the yield curve; title: Statistics : a review; title: The economics of banking, and a bank's balance sheet and income statement; title: Part one : Bank valuation.; title: The valuation of banks; title: Economic and strategic drivers of bank valuation; title: Valuation of fee-based activities; title: Part two : Value-based management.; title: Value-based management in banking : an introduction; title: Fund transfer pricing : foundation and advanced approaches; title: Deposit pricing and repurchase agreements; title: Capital regulation (Basel I), economic capital allocation, and loan pricing I (the equity spread); title: Capital regulation (Basel II); title: Loss given default and provisions on nonperforming loans; title: Loan pricing II, loan-loss provisions of performing loans, and estimates of probabilities of default; title: Securitization; title: Part three : Risk management.; title: Risk management in banking : an overview; title: The control of interest-rate risk on the banking book, part 1 : the earnings at risk; title: The control of interest-rate risk on the banking book, part 2 : the economic value at risk; title: Value at risk in the trading book : the aggregation of risks; title: Liquidity risk and value creation; title: Credit risk portfolio diversification : credit value at risk; title: Marginal risk contribution, diversification, and economic capital allocation; title: Forwards, futures, swaps, and options : counterparty risk; title: Credit derivatives; title: Operational risk