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While the highly technical measurement techniques and methodologies of Value at Risk have attracted huge interest, much less attention has been focused on how Value at Risk and the risk-adjusted performance measures such as RAROC or economic profit/EVA„· can be effectively used to improve a bank¡¦s decision making processes. Academic books are typically concerned primarily with measurement techniques, and devote only a small section to describing the applications, usually without discussing the problems that changing organizational processes in banks may have on business units¡¦ behaviour. Practitioners¡¦ books are often based on a single experience, presenting the approach that has been pursued by a single bank, but often do not adequately evaluate that approach. In actual practice, the choice of how to use Value at Risk and risk-adjusted performance measures has no single optimal solution, but requires effective decision making that can identify the solution that is consistent with the bank¡¦s style of management and coordination mechanisms, and often with characteristics of individual business units as well. In this book, Francesco Saita of Bocconi University argues that even though risk measurement techniques have greatly improved in recent years for market, credit and now also operational risk, capital management and capital allocation decisions are far from becoming purely technical and mechanical. On one hand, decisions about capital management must consider handling different capital constraints (e.g. regulatory vs. economic capital ) and face remarkable difficulties in providing a measure of ¡§aggregated¡¨ Value at Risk (i.e. a measure that considers the overall value at risk of the bank after diversification across risk types). On the other hand, the aim of using capital more efficiently through capital allocation cannot be achieved only through a sort of centralized asset allocation process, but rather by designing a Value at Risk limit system and a risk-adjusted performance measurement system that are designed to provide the right incentives to individual business units. This connection between sophisticated and cutting edge risk measurement techniques and practical bank decision making about capital management and capital allocation make this book unique and provide readers with a depth of academic and theoretical expertise combined with practical and real-world understanding of bank structure, organizational constraints, and dec...

Private finance --- Bank capital. --- Banks and banking --- Risk management. --- Agricultural banks --- Banking --- Banking industry --- Commercial banks --- Depository institutions --- Finance --- Financial institutions --- Money --- Capital

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Il libro tratta un vasto ventaglio di argomenti, affiancando alla trattazione delle serie temporali anche materiale sulle catene di Markov e i processi di punti, non solo dal punto di vista della probabilità, ma anche da quello della statistica e della previsione; contiene anche una trattazione nel dominio delle frequenze. Inoltre può essere letto a diversi livelli di approfondimento, perché oltre a presentare i vari argomenti, la loro logica e le potenzialità applicative, ne fornisce anche una giustificazione teorica e matematica. Vengono proposti due percorsi, l'uno adatto a un corso introduttivo per la laurea triennale, l'altro a un corso completo per la laurea specialistica o il dottorato.

Statistics. --- Statistical Theory and Methods. --- Statistics for Business/Economics/Mathematical Finance/Insurance. --- Statistics for Life Sciences, Medicine, Health Sciences. --- Statistics for Social Science, Behavorial Science, Education, Public Policy, and Law. --- Mathematical statistics. --- Economics --- Statistique --- Statistique mathématique --- Forecasting -- Statistical methods. --- Probabilities -- Problems, exercises, etc. --- Mathematics --- Physical Sciences & Mathematics --- Mathematical Statistics --- Time-series analysis. --- Prediction theory. --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Forecasting theory --- Analysis of time series --- Mathematics. --- Epidemiology. --- Probabilities. --- Econometrics. --- Probability Theory and Stochastic Processes. --- Econometrics --- Stochastic processes --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Distribution (Probability theory. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Statistical inference --- Statistics, Mathematical --- Statistics --- Sampling (Statistics) --- Diseases --- Public health --- Economics, Mathematical --- Distribution functions --- Frequency distribution --- Characteristic functions --- Statistics . --- Probability --- Combinations --- Chance --- Least squares --- Risk

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Marriage --- Children (Canon law) --- Human reproduction --- Fertility, Human --- Annulment (Canon law) --- Religious aspects --- Catholic Church --- Decision making --- Intention against children --- 348.412.7 --- Human fertility --- Natality --- Demography --- Infertility --- Human physiology --- Reproduction --- Reproductive health --- Reproductive rights --- Canon law --- Catholic Church. --- Decision making. --- Canoniek zakenrecht: huwelijk--(canon 1012-1143) --- 348.412.7 Canoniek zakenrecht: huwelijk--(canon 1012-1143) --- Religious aspects&delete& --- Marriage - Annulment (Canon law) --- Human reproduction - Religious aspects - Catholic Church --- Fertility, Human - Decision making

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