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Value at Risk and Bank Capital Management
Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities ofExpand
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Measuring Value‐at‐Risk in Project Finance Transactions
Despite the remarkable importance of project finance in international financial markets, no quantitative models to measure and quantify the risk associated with a deal for the project's lenders haveExpand
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Value at Risk, Capital Management, and Capital Allocation
This chapter introduces the value-at-risk concept and its potential applications in capital management and capital allocation. The chapter also aims at clarifying why a bank should be concerned notExpand
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Risk Capital Aggregation
Risk aggregation and the size of diversification benefits that might result from being exposed to different risks in different businesses are relevant both from a regulatory and from the individualExpand
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Allocation of Risk Capital in Financial Institutions
Francesco Saita is a Researcher at Universitii Bocconi. The attention devoted to risk management in recent years has mostly focused on risk measurement, whereas the use of such measures in actualExpand
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Risk Capital Aggregation: The Risk Manager's Perspective
Risk aggregation, defined as the development of "quantitative risk measures that incorporate multiple types or sources of risk" aimed at measuring the overall capital at risk for a financialExpand
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Ratings-Based Regulation and Systematic Risk Incentives
Our model shows that when regulation is based on credit ratings, banks with low charter value maximize shareholder value by minimizing capital and selecting identically-rated loans and bonds with theExpand
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Customer needs and front‐office technology adoption
Based on a wide survey of over 1,500 Italian customers, analyses both payment services and sales and private banking areas. In the former, human contact attributes of service prove to beExpand
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The ability to develop Risk-Adjusted Performance (RAP) measures for individual transactions, business areas or business units is one of the most important operational applications of credit riskExpand
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