Value-at-Risk and Bank Capital Management

Francesco Saita

Looks at bank capital management in a Basel II framework. It addresses market, credit and operational risk; their aggregation into some metric of bank capital; risk-adjusted performance metrics; and related topics. The book lacks technical depth. Indeed, at just 259 pages, it is too short to do all these topics justice. Published by a house suspected of sabotaging its own books on value-at-risk to benefit a certain competing author, the book's sales have been pitiful ...

For similar books, see sections:

Risk Management - Market Risk

Risk Management - Credit Risk

Risk Management - Operational Risk

Risk Management - Asset-Liability Management

Risk Management - Capital Allocation

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