An expert in asset and liability management, European financial markets, and banking theory, Jean Dermine provides rigorous foundations to discuss asset and liability management at a global level, with an integrated focus on an institution?s banking book. He covers bank valuation, fund transfer pricing, deposit and loan pricing, risk management, and performance measurement, and addresses two high-profile issues for banks worldwide: portfolio credit risk and liquidity risk.

This thorough and innovative guide presents insightful coverage on the hazards of measuring portfolio credit risk, the impact of liquidity risk on fund transfer pricing, and the practice of performance measurement in the banking industry. Numerous real-world examples from the U.S. subprime crisis help illustrate the nature and dynamics of these issues.
Inside, you will find a framework for discussing such managerial issues as:

• Bank valuation
• Fund transfer pricing
• Deposit pricing
• Capital management
• Loan pricing and provisioning
• Securitization
• Measurement of interest rate risk
• Performance measurement

At the same time that it helps readers develop an intuitive sense for asset-liability management, this practical book follows through with rigorous mathematical formulas and examples from the international banking community. In addition,exercises are incorporated throughout the text to facilitate discussions of how theoretical concepts can be applied to real-world problems. This authoritative guide to bank management also features an exclusive companion Web site, www.mhprofessional.com/bankvaluation, which includes additional chapters and exercise solutions that serve as key supplements to the core text.

Creating value in banking depends on a rocksolid understanding of what drives value and the right valuation model to help make the tough decisions that will enhance shareholder value. Bank Valuation & Value-Based Management is your one-stop reference for each of these critical issues

About The Author
Jean Dermine is professor of banking and finance at INSEAD , one of the world?s leading business schools. The author of numerous articles on asset and liability management, European banking, and the theory of banking, he has been a visiting professor at New York University, the Wharton School, and the Stockholm School of Economics, among other universities. His work has been quoted frequently in the press, including The Economist, the Financial Times, The New York Times, and The Wall Street Journal. Dermine lives in Fontainebleau, France.

Table Of Contents
Introduction

• Chapter 1. Discounting, Present Value, and the Yield Curve
• Chapter 2. Coupon Bond Rate, Zero Coupon Bond Rate, Forward Rates, and the Shape of the Yield Curve
• Chapter 3. Statistics: A Review
• Chapter 4. The Economics of Banking, and a Bank?s Balance Sheet and Income Statement

PART I. BANK VALUATION

• Chapter 5. The Valuation of Banks, Part 1
• Chapter 6. The Valuation of Banks, Part 2
• Chapter 7. Economic and Strategic Drivers of Bank Valuation
• Chapter 8. Valuation of Fee-Based Activities

PART II. VALUE-BASED MANAGEMENT

• Chapter 9. Value-Based Management in Banking: An Introduction
• Chapter 10. Fund Transfer Pricing: Foundation and Advanced Approaches
• Chapter 11. Deposit Pricing and Repurchase Agreements
• Chapter 12. Capital Regulation (Basel I), Economic Capital Allocation, and Loan Pricing I (the Equity Spread)
• Chapter 13. Capital Regulation (Basel II)
• Chapter 14. Loss Given Default and Provisions on Nonperforming Loans
• Chapter 15. Loan Pricing II, Loan-Loss Provisions on Performing Loans, and Estimates of Probabilities of Default
• Chapter 16. Securitization

PART III. RISK MANAGEMENT

• Chapter 17. Risk Management in Banking: An Overview
• Chapter 18. The Control of Interest-Rate Risk on the Banking Book, Part 1: The Earnings at Risk
• Chapter 19. The Control of Interest-Rate Risk on the Banking Book, Part 2: The Economic Value at Risk
• Chapter 20. Value at Risk in the Trading Book: The Aggregation of Risks
• Chapter 21. Liquidity Risk and Value Creation
• Chapter 22. Credit Risk Portfolio Diversification: Credit Value at Risk
• Chapter 23. Marginal Risk Contribution, Diversification, and Economic Capital Allocation
• Chapter 24. Forwards, Futures, Swaps, and Options: Counterparty Risk
• Chapter 25. Credit Derivatives
• Chapter 26. Operational Risk
• References
• Index

GeneralFeatures
ISBN13:	70683425
ISBN10:	9780070683426, 978-007068
Author1:	Jean Dermine
Publisher:	Tata Mcgraw Hill Education Private Limited
Binding:	Hardcover
Publishing Date:	2009
Edition:	1stEdition
Number of Pages:	448
Language:	English

There are no reviews for this product.