Jean Dermine

Bank Valuation and Value Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk

• Gebundenes Buch

Produktbeschreibung

Details asset-liability management and provides rigorous foundations to discuss the control of value creation and risk in banks. This book covers important topics, such as capital management methods, resolution for non-performing loans and investments, and securitization and other structured products.

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Produktdetails

• McGraw-Hill Finance & Investing
• Verlag: McGraw-Hill Professional
• 2nd rev. ed.
• Seitenzahl: 528
• Erscheinungstermin: 16. November 2014
• Englisch
• Abmessung: 236mm x 158mm x 35mm
• Gewicht: 792g
• ISBN-13: 9780071839488
• ISBN-10: 0071839488
• Artikelnr.: 41217970

Autorenporträt

JEAN DERMINE is Professor of Banking and Finance at INSEAD and has taught at the Wharton School of the University of Pennsylvania, the Universities of Louvain and Lausanne, CESAG, NYU, and the Stockholm School of Economics.

Inhaltsangabe

Introduction vii
Acknowledgments ix
Chapter 1
Discounting, Present Value, and the Yield Curve 1
Chapter 2
Coupon Bond Rate, Zero-Coupon Bond Rate, Forward Rates, andthe Shape of the
Yield Curve 14
Chapter 3
Statistics: A Review 23
Chapter 4
The Economics of Banking and a Bank's Balance Sheet and Income Statement 32
PART ONE: BANK VALUATION
Chapter 5
The Valuation of Banks, Part 1 44
Chapter 6
The Valuation of Banks, Part 2 70
Chapter 7
Economic and Strategic Drivers of Bank Valuation 93
Chapter 8
Valuation of Fee-Based Activities 110
PART TWO: VALUE-BASED MANAGEMENT
Chapter 9
Value-Based Management in Banking: An Introduction 126
Chapter 10
Fund Transfer Pricing: Foundation and Advanced Approaches 145
Chapter 11
Deposit Pricing and Repurchase Agreements 172
Chapter 12
Capital Regulation (Basel I), Economic Capital Allocation, and Loan
Pricing I (the Equity Spread) 183
Chapter 13
Capital Regulation (Basel II) 200
Chapter 14
Loss Given Default and Provisions on Nonperforming Loans 214
Chapter 15
Loan Pricing II, Loan Loss Provisions on Performing Loans, and Estimates of
Probabilities of Default 226
Chapter 16
Securitization 245
PART THREE: RISK MANAGEMENT
Chapter 17
Risk Management in Banking: An Overview 262
Chapter 18
The Control of Interest-Rate Risk on the Banking Book, Part 1:The Earnings
at Risk 268
Chapter 19
The Control of Interest-Rate Risk on the Banking Book, Part 2:The Economic
Value at Risk 281
Chapter 20
Value at Risk in the Trading Book: The Aggregation of Risks 301
Chapter 21
Liquidity Risk and Value Creation 320
Chapter 22
The Basel III Global Regulatory Framework for More Resilient Banks and
Banking Systems 336
Chapter 23
Credit Risk Portfolio Diversification: Credit Value at Risk 346
Chapter 24
Marginal Risk Contribution, Diversification, and EconomicCapital Allocation
369
Chapter 25
Forwards, Futures, Swaps, and Options: Counterparty Risk 384
Chapter 26
Credit Derivatives 404
Chapter 27
Operational Risk 418
PART FOUR: SPECIAL TOPICS
Chapter 28
Islamic Banking, Interest-Free Banking 430
Chapter 29
Prudential Regulations, Safety Nets, and Corporate Structure of
International Banks (Branches versus Subsidiaries) 435
Glossary 458
Solutions to Exercises 474
References 497
Index 509