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

Book Description

The professional resource every investment banker must have—the definitive guide to complying with the brand-new Basel III requirements

Anchored in the fields of economics and finance, Bank Valuation and Value Based Management, Second Edition details asset-liability management and provides rigorous foundations to discuss the control of value creation and risk in banks.

Dermine delivers a framework that addresses critical bank management issues that include fund transfer pricing, risk-adjusted performance evaluation, deposit pricing, capital management, loan pricing and provisioning, securitization, and the measurement of interest rate risk. The book also covers important topics, such as capital management methods, resolution for non-performing loans and investments, and securitization and other structured products.

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

Table of Contents

  1. Cover
  2. Title Page
  3. Copyright Page
  4. Contents
  5. Introduction
  6. Acknowledgments
  7. Chapter 1 Discounting, Present Value, and the Yield Curve
  8. Chapter 2 Coupon Bond Rate, Zero-Coupon Bond Rate, Forward Rates, and the Shape of the Yield Curve
  9. Chapter 3 Statistics: A Review
  10. Chapter 4 The Economics of Banking and a Bank’s Balance Sheet and Income Statement
  11. Part One Bank Valuation
    1. Chapter 5 The Valuation of Banks, Part 1
    2. Chapter 6 The Valuation of Banks, Part 2
    3. Chapter 7 Economic and Strategic Drivers of Bank Valuation
    4. Chapter 8 Valuation of Fee-Based Activities
  12. Part Two Value-Based Management
    1. Chapter 9 Value-Based Management in Banking: An Introduction
    2. Chapter 10 Fund Transfer Pricing: Foundation and Advanced Approaches
    3. Chapter 11 Deposit Pricing and Repurchase Agreements
    4. Chapter 12 Capital Regulation (Basel I), Economic Capital Allocation, and Loan Pricing I (the Equity Spread)
    5. Chapter 13 Capital Regulation (Basel II)
    6. Chapter 14 Loss Given Default and Provisions on Nonperforming Loans
    7. Chapter 15 Loan Pricing II, Loan Loss Provisions on Performing Loans, and Estimates of Probabilities of Default
    8. Chapter 16 Securitization
  13. Part Three Risk Management
    1. Chapter 17 Risk Management in Banking: An Overview
    2. Chapter 18 The Control of Interest-Rate Risk on the Banking Book, Part 1: The Earnings at Risk
    3. Chapter 19 The Control of Interest-Rate Risk on the Banking Book, Part 2: The Economic Value at Risk
    4. Chapter 20 Value at Risk in the Trading Book: The Aggregation of Risks
    5. Chapter 21 Liquidity Risk and Value Creation
    6. Chapter 22 The Basel III Global Regulatory Framework for More Resilient Banks and Banking Systems
    7. Chapter 23 Credit Risk Portfolio Diversification: Credit Value at Risk
    8. Chapter 24 Marginal Risk Contribution, Diversification, and Economic Capital Allocation
    9. Chapter 25 Forwards, Futures, Swaps, and Options: Counterparty Risk
    10. Chapter 26 Credit Derivatives
    11. Chapter 27 Operational Risk
  14. Part Four Special Topics
    1. Chapter 28 Islamic Banking, Interest-Free Banking
    2. Chapter 29 Prudential Regulations, Safety Nets, and Corporate Structure of International Banks (Branches versus Subsidiaries)
  15. Glossary
  16. Solutions to Exercises
  17. References
  18. Index
  19. About the Author