Download or read book Measuring the Efficiency of Capital Allocation in Commercial Banking written by Joseph P. Hughes and published by . This book was released on 1997 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring the Efficiency of Capital Allocation in Commercial Banking written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The Federal Reserve Bank of Philadelphia presents the full text of the October 1997 working paper entitled "Measuring the Efficiency of Capital Allocation in Commercial Banking," written by Joseph P. Hughes, William Lang, Choon-Geol Moon, and Michael S. Pagano. The text is available in PDF format. This paper investigates how banks' employment of capital in their production plans affects their market value efficiency. The authors find that that the influence of equity capital differs considerably between banks with higher capital-to-assets ratios and those with lower ratios.
Download or read book MESURING THE EFFICIENCY OF CAPITAL ALLOCATION IN COMMERCIAL BANKING written by Joseph P. HUGHES and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Managing Bank Capital written by Chris Matten and published by Wiley. This book was released on 1996-08-20 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide examines the role of capital trading in financial instruments, commercial and private banking in an international perspective, and is required reading for any bank manager, controller or consultant.
Download or read book Measuring Commercial Bank Efficiency written by Dimitri Vittas and published by World Bank Publications. This book was released on 1991 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: Measuring bank efficiency is difficult because there is no satisfactory definition of bank output. International comparisons based on operating costs and margins are fraught with problems. These stem from substantial differences in capital structure (leverage), business or product mix, range and quality of services, inflation rates, and accounting conventions (especially about the valuation of assets, the level of loan loss provisioning, and the use of hidden reserves). Facile and uncritical use of ratios cannot substitute for detailed knowledge and understanding of banking structure and practice.
Download or read book Value at Risk and Bank Capital Management written by Francesco Saita and published by Elsevier. This book was released on 2010-07-26 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value at Risk and Bank Capital Management offers a unique combination of concise, expert academic analysis of the latest technical VaR measures and their applications, and the practical realities of bank decision making about capital management and capital allocation. The book contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books. It discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation. The author, Francesco Saita, is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe. He provides readers with his extensive academic and theoretical expertise combined with his practical and real-world understanding of bank structure, organizational constraints, and decision-making processes. This book is recommended for graduate students in master's or Ph.D. programs in finance/banking and bankers and risk managers involved in capital allocation and portfolio management. Contains concise, expert analysis of the latest technical VaR measures but without the highly mathematical component of other books Discusses practical applications of these measures in the real world of banking, focusing on effective decision making for capital management and allocation Author is based at Bocconi University in Milan, Italy, one of the foremost institutions for banking in Europe
Download or read book Output Measurement in the Service Sectors written by Zvi Griliches and published by University of Chicago Press. This book was released on 2008-04-15 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Is the fall in overall productivity growth in the United States and other developed countries related to the rising share of the service sectors in the economy? Since services represent well over half of the U.S. gross national product, it is also important to ask whether these sectors have had a slow rate of growth, as this would act as a major drag on the productivity growth of the overall economy and on its competitive performance. In this timely volume, leading experts from government and academia argue that faulty statistics have prevented a clear understanding of these issues.
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Centrality based Capital Allocations written by Adrian Alter and published by International Monetary Fund. This book was released on 2014-12-24 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses. Using the detailed German Credit Register for estimation, we find capital rules based on eigenvectors to dominate any other centrality measure, followed by closeness. Compared to the baseline case, capital reallocation based on the Adjacency Eigenvector saves about 15% in system losses as measured by expected bankruptcy costs.
Download or read book Changing Nature of Financial Intermediation and the Financial Crisis of 2007 09 written by Tobias Adrian and published by DIANE Publishing. This book was released on 2011 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a print on demand edition of a hard to find publication. The financial crisis of 2007-09 highlighted the changing role of financial institutions and the growing importance of the ¿shadow banking system,¿ which grew out of the securitization of assets and the integration of banking with capital market developments. In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are tied closely to fluctuations in the leverage of market-based financial intermediaries. This report describes the changing nature of financial intermediation in the market-based financial system, charts the course of the recent financial crisis, and outlines the policy responses that have been implemented by the Fed. Reserve and other central banks. Charts and tables.
Download or read book An Analysis Framework for Bank Capital Allocation written by Thierry Roncalli and published by . This book was released on 2009 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital allocation within a bank is getting more important as the regulatory requirements are moving towards economic-based measures of risk. Banks are urged to build sound internal measures of credit and market risks for all their activities. Internal models for credit, market and operational risks are fundamental for bank capital allocation in a bottom-up approach. But this approach has to be completed by a top-down approach in order to give to bank managers a more comprehensive (but less detailed) vision of the allocation efficiency.From a top-down viewpoint, we are considering the different business lines of a bank as assets. Then the capital has to be allocated in order to balance a portfolio in an optimal way. In this respect, a bank has to evaluate not only the expected return and the risk of every business line, but also the correlation matrix of these business lines returns. If a bank usually has a good knowledge of its expected returns and risks, the problem is more complex in the case of the correlation matrix: to cope with the lack of internal data and information, we develop an approach based on a Market Factor Model and estimate an implied correlation matrix using the returns of a panel of banks.The allocation problem is not exactly the problem a bank is confronted to. It more precisely deals with capital reallocation. Moving from an allocation to a new one generates costs that have to be taken into account to ensure that the new allocation is better than the former one. That is why reallocation signals are more interesting: they do not point out the optimal allocation but they allow the implementation of a dynamic policy that leads to an optimal situation.
Download or read book Value and Capital Management written by Thomas C. Wilson and published by John Wiley & Sons. This book was released on 2015-08-31 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: A value management framework designed specifically for banking and insurance The Value Management Handbook is a comprehensive, practical reference written specifically for bank and insurance valuation and value management. Spelling out how the finance and risk functions add value in their respective spheres, this book presents a framework for measuring – and more importantly, influencing – the value of the firm from the position of the CFO and CRO. Case studies illustrating value-enhancing initiatives are designed to help Heads of Strategy offer CEOs concrete ideas toward creating more value, and discussion of "hard" and "soft" skills put CFOs and CROs in a position to better influence strategy and operations. The challenge of financial services valuation is addressed in terms of the roles of risk and capital, and business-specific "value trees" demonstrate the source of successful value enhancement initiatives. While most value management resources fail to adequately address the unique role of risk and capital in banks, insurance, and asset management, this book fills the gap by providing concrete, business-specific information that connects management actions and value creation, helping readers to: Measure value accurately for more productive value-based management initiatives and evaluation of growth opportunities Apply a quantitative, risk-adjusted value management framework reconciled with the way financial services shares are valued by the market Develop a value set specific to the industry to inspire initiatives that increase the firm's value Study the quantitative and qualitative management frameworks that move CFOs and CROs from measurement to management The roles of CFO and CRO in financial firms have changed dramatically over the past decade, requiring business savvy and the ability to challenge the CEO. The Value Management Handbook provides the expert guidance that leads CFOs and CROs toward better information, better insight, and better decisions.
Download or read book Optimal Capital Allocation Using RAROC and EVA written by Neal M. Stoughton and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Capital Allocation Strategy for Commercial Banks written by Supakorn Mudchanatongsuk and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation analyzes the capital allocation problem for commercial banks with the objective of maximizing long-term growth rate of wealth. In particular, a bank is faced with the problem of deciding how to allocate its capital into the available multi-period commercial loan products. Under common financial regulations and mild assumptions concerning the bank's internal policies, we prove the existence of a policy that yields the near-optimal long-term growth rate almost surely. The almost sure property implies that it is the best policy for policy makers, regardless of their risk tolerance levels, who wish to maximize the bank's long-term growth rate of wealth. Since the exact algorithms for this problem usually have an impractical computational complexity, we provide an efficient approximate algorithm to solve for an approximated policy and demonstrate its effectiveness in a numerical example.
Download or read book Capital Allocation in Large Banks A Renewed Look at Practice written by Andreas Ita and published by . This book was released on 2017 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital allocation frameworks play an important role in large financial institutions for risk management and performance measurement. These frameworks are predominately developed by practitioners and undergo continuous change. Instead of using economic capital, banks rely for the allocation of equity capital to their business units increasingly on regulatory capital measures like risk-weighted assets. In my paper, I assess the methods used in nowadays practice from a theoretical viewpoint. I demonstrate based on simulated asset and equity returns that some of the commonly used methods provide unreliable results. For example, if RAROC is used in combination with a single firm-wide cost of equity rate, the capital charge is systematically overestimated for businesses that are lowly correlated with the overall market, or for businesses with a left-skewed return distribution. Further, if the cost of equity of listed standalone peers is used as a reference to determine business unit specifc hurdle rates, it is essential to consider differences in leverage, as in the absence of a leverage adjustment the capital charge is underestimated.
Download or read book Capital Allocation and Bank Management Based on the Quantification of Credit Risk written by Kenji Nishiguchi and published by . This book was released on 2007 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: Safe and sound banking is maintained through the allocation and control of capital by the use of integrated risk management techniques that are based on quantification of the risks inherent in the banking business. Furthermore, business management with the integrated ROE (that is, risk-adjusted ROE) facilitates efficient utilization of capital. Such management contributes to the growth of a bank's profitability. By promoting this type of management at Japanese banks with large portfolios of transactions--both in number and amount--the concept of credit risk delta is an effective method. The credit risk delta helps to quantify risks while taking into account the types of business management city banks use. This management method provides consistent and simple measurement applicable to all the levels--from individualcustomers up to branches and the bank as a whole.
Download or read book Problem Loans and Cost Efficiency in Commercial Banks written by Allen N. Berger and published by . This book was released on 1995 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
