Bank Valuation and Value-Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk Management

by Dermine, Jean

• ISBN13: 9780071624992
• ISBN10: 0071624996
• Edition: 1st
• Format: Hardcover
• Copyright: 2009-09-01
• Publisher: McGraw-Hill

Summary

Bank Valuation & Value-Based Management provides bankers, bank regulators, auditors, and risk managers with foundational concepts andpractical tools for effectively managing a bank.An expert in asset and liability management, European financial markets, and banking theory, Jean Dermine provides rigorous foundations todiscuss asset and liability management at a globallevel, with an integrated focus on an institution's banking book. He covers bank valuation, fundtransfer pricing, deposit and loan pricing, riskmanagement, and performance measurement, andaddresses two high-profile issues for banks worldwide: portfolio credit risk and liquidity risk.This thorough and innovative guide presents insightful coverage on the hazards of measuring portfolio credit risk, the impact of liquidity riskon fund transfer pricing, and the practice of performance measurement in the banking industry. Numerous real-world examples fromthe U.S. subprime crisis help illustrate the natureand dynamics of these issues.Inside, you will find a framework for discussingsuch managerial issues as: Bank valuation Fund transfer pricing Deposit pricing Capital management Loan pricing and provisioning Securitization Measurement of interest rate risk Performance measurementAt the same time that it helps readers developan intuitive sense for asset-liability management, this practical book follows through with rigorous mathematical formulas and examples from the international banking community. In addition, exercises are incorporated throughout the text to facilitate discussions of how theoretical conceptscan be applied to real-world problems. This authoritative guide to bank management alsofeatures an exclusive companion Web site,www.mhprofessional.com/bankvaluation, which includes additional chapters and exercise solutionsthat serve as key supplements to the core text.Creating value in banking depends on a rocksolidunderstanding of what drives value and theright valuation model to help make the tough decisionsthat will enhance shareholder value.BankValuation & Value-Based Managementis yourone-stop reference for each of these critical issues.

Author Biography

Jean Dermine is professor of banking.and finance at INSEAD..

Table of Contents

Introduction

Discounting, Present Value, and Yield Curve

Coupon-bond Rate, zero-coupon bond Rate, Forward rates, and Shape of Yield Curve

Statistics

The Economics of Banking

The Valuation of Banks

The Valuation of Banks

Determinants of Franchise Value

Valuation of Fee-based Activities

Value Centers Performance Metrics

Fund Transfer Pricing (FTP)

Deposit Pricing

Capital Regulation, Economic Capital Allocation, and Loan Pricing

Capital Regulation

Loss-Given-Default and Provisions on Non-Performing Loans

Loan Pricing II, Loan-Loss Provisioning on Performing Loans and Estimation of Probabilities of Default

Securitization: Asset-backed Securities (ABS), Collaterized Debt Obligations (CDOs), and Structured Investment Vehicles (SIVs)

Risk Management in Banking

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