Bank Valuation and Value Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk Management, 2nd Edition

  • 8h 6m
  • Jean Dermine
  • McGraw-Hill
  • 2014

With the Final Standard of Basel III published and implementation deadlines set, there's no better time for the revised and updated edition of the cornerstone resource bankers, bank regulators, auditors, and risk managers worldwide rely on--Bank Valuation and Value-Based Management. Whether you're complying with the new standards of practice, valuing a bank, or searching for sustainable value creation, you can do it quicker and more effectively with the insight only Jean Dermine can offer.

Renowned for his expertise in asset and liability management, European financial markets, and banking theory, Dermine provides the most comprehensive reference available on the essence of banking--asset-liability management, with particular focus on an institution's banking book. Along with an in-depth exploration of what drives value in a bank, he equips you with his personal bank valuation model aimed at assessing decisions that enhance shareholder value. Complementing his toolbox of practical instruments for valuing banks, Dermine gives you a robust, integrated value-based management framework for addressing such managerial issues as fund transfer pricing, risk-adjusted performance evaluation, deposit pricing, capital management, loan pricing and provisioning, securitization, and the measurement of interest-rate risk.

Relevant in banking systems across the globe, this new edition includes the latest methods and strategies for:

  • Identifying the drivers of sustainable value creation
  • Choosing a fund transfer price that includes liquidity and solvency risks
  • Allocating economic capital to business units Pricing deposits and loans
  • Estimating the duration of nonmaturing accounts
  • Allocating provisions on performing and nonperforming loans.

Throughout the book, extensive mathematical formulas and exercises ground conceptual coverage to hands-on practices. A wealth of exercises and real-world problems work to develop your intuitive sense for asset-liability management in the international banking community.

Bank Valuation and Value-Based Management, Second Edition, is your one-stop resource for all the information critical to your success.

About the Author

JEAN DERMINE is Professor of Banking and Finance at INSEAD and has taught at the Wharton School of the University of Pennsylvania, the Universities of Louvain and Lausanne, CESAG, NYU, and the Stockholm School of Economics.

In this Book

  • Discounting, Present Value, and the Yield Curve
  • Coupon Bond Rate, Zero-Coupon Bond Rate, Forward Rates, and the Shape of the Yield Curve
  • Statistics: A Review
  • The Economics of Banking and a Bank’s Balance Sheet and Income Statement
  • The Valuation of Banks, Part 1
  • The Valuation of Banks, Part 2
  • Economic and Strategic Drivers of Bank Valuation
  • Valuation of Fee-Based Activities
  • Value-Based Management in Banking: An Introduction
  • Fund Transfer Pricing: Foundation and Advanced Approaches
  • Deposit Pricing and Repurchase Agreements
  • Capital Regulation (Basel I), Economic Capital Allocation, and Loan Pricing I (the Equity Spread)
  • Capital Regulation (Basel II)
  • Loss Given Default and Provisions on Nonperforming Loans
  • Loan Pricing II, Loan Loss Provisions on Performing Loans, and Estimates of Probabilities of Default
  • Securitization
  • Risk Management in Banking: An Overview
  • The Control of Interest-Rate Risk on the Banking Book, Part 1: The Earnings at Risk
  • The Control of Interest-Rate Risk on the Banking Book, Part 2: The Economic Value at Risk
  • Value at Risk in the Trading Book: The Aggregation of Risks
  • Liquidity Risk and Value Creation
  • The Basel III Global Regulatory Framework for More Resilient Banks and Banking Systems
  • Credit Risk Portfolio Diversification: Credit Value at Risk
  • Marginal Risk Contribution, Diversification, and Economic Capital Allocation
  • Forwards, Futures, Swaps, and Options: Counterparty Risk
  • Credit Derivatives
  • Operational Risk
  • Islamic Banking, Interest-Free Banking
  • Prudential Regulations, Safety Nets, and Corporate Structure of International Banks (Branches versus Subsidiaries)
  • Glossary
  • Solutions to Exercises
  • References
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