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Bank valuation and value-based management: deposit and loan pricing, performance evaluation, and risk management

Author: Dermine, Jean INSEAD Area: FinancePublisher: McGraw-Hill, 2009.Language: EnglishDescription: 442 p. : Graphs ; 24 cm.ISBN: 9780071624992Type of document: INSEAD BookBibliography/Index: Includes bibliographical references and indexAbstract: Unlike bank textbooks that emphasize institutional arrangements in the banking world, a first purpose of the book is to propose a sound valuation model for banks. Surprisingly, very few publications are available on the subject. Anchored in the fields of economics and finance, it provides not only useful tools to value banks, but also an integrated value-based management framework to discuss managerial issues such as: fund transfer pricing, risk-adjusted performance evaluation, deposit pricing, capital management, loan pricing and provisioning, securitization, and the measurement of interest rate risk.
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Includes bibliographical references and index

Unlike bank textbooks that emphasize institutional arrangements in the banking world, a first purpose of the book is to propose a sound valuation model for banks. Surprisingly, very few publications are available on the subject. Anchored in the fields of economics and finance, it provides not only useful tools to value banks, but also an integrated value-based management framework to discuss managerial issues such as: fund transfer pricing, risk-adjusted performance evaluation, deposit pricing, capital management, loan pricing and provisioning, securitization, and the measurement of interest rate risk.

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Bank Valuation and Value-Based Management Deposit and Loan Pricing, Performance Evaluation, and Risk Management Contents Introduction 1 Chapter 1 Discounting, Present Value, and the Yield Curve 3 Chapter 2 Coupon Bond Rate, Zero Coupon Bond Rate, Forward Rates, and the Shape of the Yield Curve 16 Chapter 3 Statistics: A Review 26 Chapter 4 The Economics of Banking, and a Bank's Balance Sheet and Income Statement 35 PART ONE BANK VALUATION Chapter 5 The Valuation of Banks, Part 1 48 Chapter 6 The Valuation of Banks, Part 2 75 Chapter 7 Economic and Strategic Drivers of Bank Valuation 99 Chapter 8 Valuation of Fee-Based Activities 116 PART TWO VALUE-BASED MANAGEMENT Chapter 9 Value-Based Management in Banking: An Introduction 132 Chapter 10 Fund Transfer Pricing: Foundation and Advanced Approaches 151 Chapter 11 Deposit Pricing and Repurchase Agreements 175 Chapter 12 Capital Regulation (Basel I), Economic Capital Allocation, and Loan Pricing I (the Equity Spread) 187 Chapter 13 Capital Regulation (Basel II) 204 Chapter 14 Loss Given Default and Provisions on Nonperforming Loans 219 Chapter 15 Loan Pricing II, Loan-Loss Provisions on Performing Loans, and Estimates of Probabilities of Default 231 Chapter 16 Securitization 250 PART THREE RISK MANAGEMENT Chapter 17 Risk Management in Banking: An Overview 266 Chapter 18 The Control of Interest-Rate Risk on the Banking Book, Part 1: The Earnings at Risk 272 Chapter 19 The Control of Interest-Rate Risk on the Banking Book, Part 2: The Economic Value at Risk 285 Chapter 20 Value at Risk in the Trading Book: The Aggregation of Risks 306 Chapter 21 Liquidity Risk and Value Creation 325 Chapter 22 Credit Risk Portfolio Diversification: Credit Value at Risk 342 Chapter 23 Marginal Risk Contribution, Diversification, and Economic Capital Allocation 365 Chapter 24 Forwards, Futures, Swaps, and Options: Counterparty Risk 380 Chapter 25 Credit Derivatives 400 Chapter 26 Operational Risk 414 References 424 Index 435

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