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Sie befinden sich hier: Home› Buch › Risk Management and Value Creation in Financial Institutions. Wiley Finance Editions
Risk Management and Value Creation in Financial Institutions. Wiley Finance Editions
von Gerhard Schroeck (Buch)
- ISBN:0-471-25476-2
- EAN:9780471254768
- Veröffentlichungsdatum:Oktober 2002
- Gewicht in g:589
- Auflage:1. Auflage
- Reihe:Wiley Finance Editions
- Seiten:332
Beschreibung:
An analysis of the links between risk management and value creation
Risk Management and Value Creation in Financial Institutions explores a variety of methods that can be utilized to create economic value at financial institutions. This invaluable resource shows how banks can use risk management to create value for shareholders, addresses the advantages of risk-adjusted return on capital (RAROC) measures, and develops the foundations for a model to identify comparative advantages that emerge as a result of risk-management decisions. It is the only book needed for banking executives interested in the relationship between risk management and value creation.
Risk Management and Value Creation in Financial Institutions explores a variety of methods that can be utilized to create economic value at financial institutions. This invaluable resource shows how banks can use risk management to create value for shareholders, addresses the advantages of risk-adjusted return on capital (RAROC) measures, and develops the foundations for a model to identify comparative advantages that emerge as a result of risk-management decisions. It is the only book needed for banking executives interested in the relationship between risk management and value creation.
Inhaltsverzeichnis:
Figures.
Tables.
Symbols.
Abbreviations.
INTRODUCTION.
FOUNDATIONS FOR DETERMINING THE LINK BETWEEN RISK MANAGEMENT AND VALUE CREATION IN BANKS.
Value Maximization in Banks.
Value Maximization as the Firm's Objective.
Valuation Framework for Banks.
Problems with the Valuation Framework for Banks.
Empirical Conundrum.
Other Stakeholders' Interests in Banks.
Risk Management in Banks.
Definition of Risk.
Definition of Risk Management.
Role and Importance of Risk and Its Management in Banks.
Link between Risk Management and Value Creation in Banks.
Goals of Risk Management in Banks.
Choice of the Goal Variable.
Choice of the Stakeholder Perspective.
Choice of the Risk Dimension.
Choice of the Risk-Management Strategy.
Ways to Conduct Risk Management in Banks.
Eliminate/Avoid.
Transfer.
Absorb/Manage.
Empirical Evidence.
Summary.
Appendix.
Part A: Bank Performance.
Part B: Systematic versus Specific Risk.
RATIONALES FOR RISK MANAGEMENT IN BANKS.
Risk Management and Value Creation in the Neoclassical Finance Theory.
The Neoclassical Finance Theory.
Corollaries from the Neoclassical Finance Theory with Regard to Risk Management.
The Risk Management Irrelevance Proposition.
Summary and Implications.
Discrepancies Between Neoclassical Theory and Practice.
Risk Management and Value Creation in the Neoinstitutional Finance Theory.
Classification of the Relaxation of the Assumptions of the Neoclassical World.
The Central Role of the Likelihood of Default.
Agency Costs as Rationale for Risk Management.
Agency Costs of Equity as a Rationale for Risk Management.
Agency Costs of Debt as a Rationale for Risk Management.
Coordination of Investment and Financing.
Transaction Costs as a Rationale for Risk Management.
The Costs of Financial Distress.
The Costs of Implementing Risk Management.
The Costs of Issuance.
The Costs of a Stable Risk Profile.
Taxes and Other Market Imperfections as Rationales for Risk Management.
Taxes.
Other Market Imperfections.
Additional Rationales for Risk Management in Banks.
Summary and Conclusions.
Appendix.
IMPLICATIONS OF THE PREVIOUS THEORETICAL DISCUSSION FOR THIS BOOK.
CAPITAL STRUCTURE IN BANKS.
The Role of Capital in Banks.
Capital as a Means for Achieving the Optimal Capital Structure.
Capital as Substitute for Risk Management to Ensure Bank Safety.
The Various Stakeholders' Interests in Bank Safety.
Available Capital.
Required Capital from an Economic Perspective.
Determining Capital Adequacy in the Economic Perspective.
Summary and Consequences.
Derivation of Economic Capital.
Types of Risk.
Economic Capital as an Adequate Risk Measure for Banks.
Ways to Determine Economic Capital for Various Risk Types in Banks (Bottom-Up).
Credit Risk.
Market Risk.
Operational Risk.
Aggregation of Economic Capital across Risk Types.
Concerns with the Suggested Bottom-Up Approach.
Suggestion of an Approach to Determine Economic Capital from the Top Down.
Theoretical Foundations.
Suggested Top-Down Approach.
Assessment of the Suggested Approach.
Evaluation of Using Economic Capital.
Summary.
CAPITAL BUDGETING IN BANKS.
Evolution of Capital-Budgeting Tools in Banks.
RAROC as a Capital-Budgeting Tool in Banks.
Definition of RAROC.
Advantages of RAROC.
Assumptions of RAROC.
Deficiencies of RAROC.
Deficiencies of the Generic RAROC Model.
Modifying RAROC to Address Its Pitfalls.
Fundamental Problems of RAROC.
Evaluation of RAROC as a Single-Factor Model for Capital Budgeting in Banks.
New Approaches to Capital Budgeting in Banks.
Overview of the New Approaches.
Evaluation of RAROC in the Light of the New Approaches.
Implications of the New Approaches to Risk Management and Value Creation in Banks.
Implications for Risk-Management Decisions.
Implications for Capital-Budgeting Decisions.
Implications for Capital-Structure Decisions.
New Approaches as Foundations for a Normative Theory of Risk Management in Banks.
Areas for Further Research.
Summary.
CONCLUSION.
References.
Index.
Tables.
Symbols.
Abbreviations.
INTRODUCTION.
FOUNDATIONS FOR DETERMINING THE LINK BETWEEN RISK MANAGEMENT AND VALUE CREATION IN BANKS.
Value Maximization in Banks.
Value Maximization as the Firm's Objective.
Valuation Framework for Banks.
Problems with the Valuation Framework for Banks.
Empirical Conundrum.
Other Stakeholders' Interests in Banks.
Risk Management in Banks.
Definition of Risk.
Definition of Risk Management.
Role and Importance of Risk and Its Management in Banks.
Link between Risk Management and Value Creation in Banks.
Goals of Risk Management in Banks.
Choice of the Goal Variable.
Choice of the Stakeholder Perspective.
Choice of the Risk Dimension.
Choice of the Risk-Management Strategy.
Ways to Conduct Risk Management in Banks.
Eliminate/Avoid.
Transfer.
Absorb/Manage.
Empirical Evidence.
Summary.
Appendix.
Part A: Bank Performance.
Part B: Systematic versus Specific Risk.
RATIONALES FOR RISK MANAGEMENT IN BANKS.
Risk Management and Value Creation in the Neoclassical Finance Theory.
The Neoclassical Finance Theory.
Corollaries from the Neoclassical Finance Theory with Regard to Risk Management.
The Risk Management Irrelevance Proposition.
Summary and Implications.
Discrepancies Between Neoclassical Theory and Practice.
Risk Management and Value Creation in the Neoinstitutional Finance Theory.
Classification of the Relaxation of the Assumptions of the Neoclassical World.
The Central Role of the Likelihood of Default.
Agency Costs as Rationale for Risk Management.
Agency Costs of Equity as a Rationale for Risk Management.
Agency Costs of Debt as a Rationale for Risk Management.
Coordination of Investment and Financing.
Transaction Costs as a Rationale for Risk Management.
The Costs of Financial Distress.
The Costs of Implementing Risk Management.
The Costs of Issuance.
The Costs of a Stable Risk Profile.
Taxes and Other Market Imperfections as Rationales for Risk Management.
Taxes.
Other Market Imperfections.
Additional Rationales for Risk Management in Banks.
Summary and Conclusions.
Appendix.
IMPLICATIONS OF THE PREVIOUS THEORETICAL DISCUSSION FOR THIS BOOK.
CAPITAL STRUCTURE IN BANKS.
The Role of Capital in Banks.
Capital as a Means for Achieving the Optimal Capital Structure.
Capital as Substitute for Risk Management to Ensure Bank Safety.
The Various Stakeholders' Interests in Bank Safety.
Available Capital.
Required Capital from an Economic Perspective.
Determining Capital Adequacy in the Economic Perspective.
Summary and Consequences.
Derivation of Economic Capital.
Types of Risk.
Economic Capital as an Adequate Risk Measure for Banks.
Ways to Determine Economic Capital for Various Risk Types in Banks (Bottom-Up).
Credit Risk.
Market Risk.
Operational Risk.
Aggregation of Economic Capital across Risk Types.
Concerns with the Suggested Bottom-Up Approach.
Suggestion of an Approach to Determine Economic Capital from the Top Down.
Theoretical Foundations.
Suggested Top-Down Approach.
Assessment of the Suggested Approach.
Evaluation of Using Economic Capital.
Summary.
CAPITAL BUDGETING IN BANKS.
Evolution of Capital-Budgeting Tools in Banks.
RAROC as a Capital-Budgeting Tool in Banks.
Definition of RAROC.
Advantages of RAROC.
Assumptions of RAROC.
Deficiencies of RAROC.
Deficiencies of the Generic RAROC Model.
Modifying RAROC to Address Its Pitfalls.
Fundamental Problems of RAROC.
Evaluation of RAROC as a Single-Factor Model for Capital Budgeting in Banks.
New Approaches to Capital Budgeting in Banks.
Overview of the New Approaches.
Evaluation of RAROC in the Light of the New Approaches.
Implications of the New Approaches to Risk Management and Value Creation in Banks.
Implications for Risk-Management Decisions.
Implications for Capital-Budgeting Decisions.
Implications for Capital-Structure Decisions.
New Approaches as Foundations for a Normative Theory of Risk Management in Banks.
Areas for Further Research.
Summary.
CONCLUSION.
References.
Index.
Kurzbeschreibung:
"This instructive and insightful book offers one of the first comprehensive discussions of the relationship between risk management and value creation in banks. Gerhard Schroeck provides a solid theoretical foundation for discussing the problem and clearly reduces the existing discrepancy between financial theory and the state-of-the-art risk management approaches currently used in the banking industry. His book is a superb reference and extremely valuable both for practitioners as well as academics."
-Dr. Manfred Steiner
Professor of Finance and Banking, University of Augsburg, Germany
Through an in-depth look at both the theory and practice of corporate risk management in financial institutions, Risk Management and Value Creation in Financial Institutions offers a variety of methods that can be utilized to create economic value at almost any financial institution. For the first time, this book bridges the gap between theory and practice in this field by:
* Deriving circumstances under which risk management at the corporate level can create value in banks
* Laying the theoretical foundations for a normative approach to risk management in banks
* Evaluating the practical heuristics of RAROC and economic capital as they are currently practiced
* Developing more detailed instructions on how to conduct risk management and how to measure value creation in banks
-Dr. Manfred Steiner
Professor of Finance and Banking, University of Augsburg, Germany
Through an in-depth look at both the theory and practice of corporate risk management in financial institutions, Risk Management and Value Creation in Financial Institutions offers a variety of methods that can be utilized to create economic value at almost any financial institution. For the first time, this book bridges the gap between theory and practice in this field by:
* Deriving circumstances under which risk management at the corporate level can create value in banks
* Laying the theoretical foundations for a normative approach to risk management in banks
* Evaluating the practical heuristics of RAROC and economic capital as they are currently practiced
* Developing more detailed instructions on how to conduct risk management and how to measure value creation in banks
Autorenportrait:
GERHARD SCHRoECK has been a senior management consultant with Oliver, Wyman & Company in Frankfurt and London since 1997, where his specialty is to advise financial institutions on risk management issues and value creation. He received his PhD in finance and his MA in business administration from the University of Augsburg, Germany, and an MBA from the Joseph M. Katz Graduate School of Business at the University of Pittsburgh.
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