Advertisement

Risk-Adjusted Performance Measures

  • Mario Anolli
Part of the Palgrave Macmillan Studies in Banking and Financial Institutions book series (SBFI)

Abstract

The measurement of performance is of paramount importance to credit risk management, especially in retail credit risk management where the sheer number of decisions needs to be thoroughly controlled via a standardized approach and a consistent framework. The high number of counterparties and decisions to be made calls for definite and possibly automated decision criteria and for ex post evaluation procedures concerning the rationality of the allocation of the limited capital available for the best investment alternatives on the basis of their expected (perceived) risk and return.

Keywords

Credit Risk Business Unit Equity Capital Capital Management Capital Allocation 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Bessis, J. (2002), Risk Management in Banking, John Wiley and SonsGoogle Scholar
  2. Matten, C. (2000) Managing bank capital. Capital allocation and performance measurement. Location: John Wiley and Sons.Google Scholar
  3. Resti, A., and Sironi A. (2007) Risk management and shareholders’ value in banking, from risk measurement models to capital allocation policies. Location: Wiley Finance.Google Scholar
  4. Saita, F. (2007) Value at risk and bank capital management. risk-adjusted performances, capital management and capital allocation decision making, Location: Academic Press.Google Scholar
  5. Schroeck, G. (2002), Risk Management and Value Creation in Financial Institutions, Wiley Finance.Google Scholar

Copyright information

© Mario Anolli 2013

Authors and Affiliations

  • Mario Anolli

There are no affiliations available

Personalised recommendations