February 2007
Intermediate to advanced
280 pages
15h 37m
English
Content preview from Value at Risk and Bank Capital Management
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216 CHAPTER
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8 Risk-Adjusted Performance Measurement
The second decision is whether the CaR measure should be the stand-alone CaR of
the business or a measure of “diversifi ed” CaR that takes into account the contribution
of the business to the risk of the bank as a whole (which depends on the correlations
between the business and the rest of the bank’s portfolio and the overall business mix of
the bank). When providing information to top managers, measures based on diversifi ed
CaR can be particularly relevant, since they help top managers assess the interaction of
a business with a bank’s portfolio. However, since diversifi ed CaR measu
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