Managing Bank Capital: Capital Allocation and Performance Measurement

ISBN-13: 9780471851967 / Angielski / Twarda / 2000 / 356 str.

Christopher Matten;Matten

Opis

Managing Bank Capital explains proven techniques available in the management of bank capital that will help maximize shareholder value. This second edition has been fully updated to incorporate significant developments, such as the modeling of credit risk, and includes new sections with more technical information and advanced analysis.

Spis treści

Introduction: Capital Allocation in Banking.

THE ROLE AND DEFINITION OF CAPITAL.

The Role of Capital.

Capital–Based Management Techniques.

THE TREASURER′S PERSPECTIVE.

Managing the Available Capital Base.

Capital Instruments.

Capital Allocation versus Capital Investment.

THE REGULATOR′S PERSPECTIVE.

Regulatory Capital Requirements.

The Basel Accord.

Current Problems and Future Developments: Towards an Internal–Models Based Approach?

THE RISK MANAGER′S PERSPECTIVE.

Asset Volatility as a Capital Allocation Tool.

Modelling Market Risk.

Modelling Credit Risk.

Modelling Operational and Other Risks.

THE SHAREHOLDER′S PERSPECTIVE.

Earnings–at–Risk as a Capital Allocation Tool.

Modelling Earnings–at–Risk.

AN HOLISTIC APPROACH TO CAPITAL MANAGEMENT.

Implementing Capital Allocation Policies and Procedures.

Economic Profit and Shareholder Value.

Determining the Cost of Capital: A Stock Market Perspective.

Practical Issues in Implementation.

CONCLUSION.

Glossary of Terms.

Index.

O autorze

Chris Matten is Head of Group Capital Management at the National Australia Bank, a role which covers capital allocation, balance sheet management and the management of the Bank′s external and internal capital and funding programmes. A UK Chartered Accountant, Chris spent six years in Japan and a further six years in Switzerland in various financial and risk control roles, first at Union Bank of Switzerland and later at Swiss Bank Corporation. After re–locating to Switzerland with SBC in 1991, he became Group Financial Controller in 1994. In November 1997, Chris moved to Australia to take up his current position at the National Australia Bank.