Managing Bank Capital Capital Allocation and Performance Measurement

by Matten, Chris

• ISBN13: 9780471851967
• ISBN10: 0471851965
• Edition: 2nd
• Format: Hardcover
• Copyright: 2000-06-08
• Publisher: WILEY

Summary

Managing Bank Capital explains proven techniques available in the management of bank capital that will help maximize shareholder value. This second edition has been fully updated to incorporate significant developments, such as the modeling of credit risk, and includes new sections with more technical information and advanced analysis.

Author Biography

Chris Matten is Head of Group Capital Management at the National Australia Bank, a role which covers capital allocation, balance sheet management and the management of the Bank’s external and internal capital and funding programmes. A UK Chartered Accountant, Chris spent six years in Japan and a further six years in Switzerland in various financial and risk control roles, first at Union Bank of Switzerland and later at Swiss Bank Corporation. After re-locating to Switzerland with SBC in 1991, he became Group Financial Controller in 1994. In November 1997, Chris moved to Australia to take up his current position at the National Australia Bank.

Table of Contents

Preface	vii
Acknowledgements	x
Introduction: Capital Allocation in Banking	1	(8)
PART ONE: The Role and Definition of Capital	9	(32)
The Role of Capital	11	(18)
Capital-based Management Techniques	29	(12)
PART TWO: The Treasurer's Perspective	41	(38)
Managing the Available Capital Base	43	(12)
Capital Instruments	55	(14)
Capital Allocation versus Capital Investment	69	(10)
PART THREE: The Regulator's Perspective	79	(64)
Regulatory Capital Requirements	81	(14)
The Basel Accord	95	(28)
Current Problems and Future Developments: Towards an Internal-Models Based Approach?	123	(20)
PART FOUR: The Risk Manager's Perspective	143	(74)
Asset Volatility as a Capital Allocation Tool	145	(22)
Modelling Market Risk	167	(18)
Modelling Credit Risk	185	(23)
Modelling operational and Other Risks	208	(9)
PART FIVE: The Shareholder's Perspective	217	(34)
Earnings-at-Risk as a Capital Allocation Tool	219	(12)
Modelling Earnings-at-Risk	231	(20)
PART SIX: An Holistic Approach to Capital Management	251	(80)
Implementing Capital Allocation Policies and Procedures	253	(14)
Economic Profit and Shareholder Value	267	(18)
Determining the Cost of Capital: A Stock Market Perspective	285	(12)
Practical Issues in Implementation	297	(17)
Conclusion	314	(17)
Glossary of Terms	331	(6)
Index	337