Value at risk and bank capital management : [risk adjusted performances, capital management and capital allocation decision making]

Front cover -- Title page -- Copyright page -- Table of contents -- Preface -- About the Book -- Acknowledgments -- Contributors -- CHAPTER 1: Value at Risk, Capital Management, and Capital Allocation -- 1.1 An Introduction to Value at Risk -- 1.2 Capital Management and Capital Allocation: The Structure of the Book -- CHAPTER 2: What Is "Capital" Management? -- 2.1 Regulatory Capital and the Evolution toward Basel II -- 2.2 Overview of the Basel II Capital Accord -- 2.3 Bank Estimates of Required Capital and the Different Notions of Bank Capital -- 2.4 Summary -- 2.5 Further Reading -- CHAPTER 3: Market Risk -- 3.1 The Variance-Covariance Approach -- 3.2 Simulation Approaches: Historical Simulation and Monte Carlo Simulation -- 3.3 Value at Risk for Option Positions -- 3.4 Extreme Value Theory and Copulas -- 3.5 Expected Shortfall and the Problem of VaR Nonsubadditivity -- 3.6 Back-Testing Market Risk Models -- 3.7 Internal VaR Models and Market Risk Capital Requirements -- 3.8 Stress Tests -- 3.9 Summary -- 3.10 Further Reading -- CHAPTER 4: Credit Risk -- 4.1 Defining Credit Risk: Expected and Unexpected Losses -- 4.2 Agency Ratings -- 4.3 Quantitative Techniques for Stand-Alone Credit Risk Evaluation: Moody's/KMV EDF and External Scoring Systems -- 4.4 Capital Requirements for Credit Risk under Basel II -- 4.5 Internal Ratings -- 4.6 Estimating Loss Given Default -- 4.7 Estimating Exposure at Default -- 4.8 Interaction between Basel II and International Accounting Standards -- 4.9 Alternative Approaches to Modeling Credit Portfolio Risk -- 4.10 Comparison of Main Credit Portfolio Models -- 4.11 Summary -- 4.12 Further Reading -- CHAPTER 5: Operational Risk and Business Risk -- 5.1 Capital Requirements for Operational Risk Measurement under Basel II -- 5.2 Objectives of Operational Risk Management.