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Bank Valuation and Value-Based Management

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

Author: Jean Dermine
Publisher: McGraw Hill
ISBN: 9780071624992
Published In: December 2009
Format: Hardback , 432 pages
Jurisdiction: International ? Disclaimer:
Countri(es) stated herein are used as reference only

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Bank Valuation & Value-Based Management provides bankers, bank regulators, auditors, and risk managers with foundational concepts and practical tools for effectively managing a bank.

An expert in asset and liability management, European financial markets, and banking theory, Jean Dermine provides rigorous foundations to discuss asset and liability management at a global level, with an integrated focus on an institution's banking book. He covers bank valuation, fund transfer pricing, deposit and loan pricing, risk management, and performance measurement, and addresses 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 risk on fund transfer pricing, and the practice of performance measurement in the banking industry. Numerous real-world examples from the U.S. subprime crisis help illustrate the nature and dynamics of these issues.

Inside, you will find a framework for discussing such managerial issues as:

Bank valuation
Fund transfer pricing
Deposit pricing
Capital management
Loan pricing and provisioning
Securitization
Measurement of interest rate risk
Performance measurement

Key Features

' Esteemed INSEAD professor: Jean Dermine is the professor of banking & finance at INSEAD and was visiting professor at Wharton. He has written numerous articles on asset & liability management, European financial markets, and the theory of banking, and has published four books.

' Well-defined audience: Addresses a clear core readership of intuitional bankers, risk managers, and other banking professionals.

' Cross over market: Will be of interest to graduate students in finance and MBA programs.

' Unique addition to literature: Finance and risk professionals rely on valuation models to simultaneously assess value creation opportunities and to control risk. This is one of the most comprehensive references to hit the market that provides a valuation model specifically for banks.

Introduction
1. Discounting, Present Value, and Yield Curve
2. Coupon-bond Rate, zero-coupon bond Rate, Forward rates, and Shape of Yield Curve
3. Statistics
4. The Economics of Banking
5. The Valuation of Banks
6. The Valuation of Banks
7. Determinants of Franchise Value
8. Valuation of Fee-based Activities
9. Value Centers Performance Metrics
10. Fund Transfer Pricing (FTP)
11. Deposit Pricing
12. Capital Regulation, Economic Capital Allocation, and Loan Pricing
13 Capital Regulation
14 Loss-Given-Default and Provisions on Non-Performing Loans
15 Loan Pricing II, Loan-Loss Provisioning on Performing Loans and Estimation of Probabilities of Default
16 Securitization: Asset-backed Securities (ABS), Collaterized Debt Obligations (CDOs), and Structured Investment Vehicles (SIVs)
17 Risk Management in Banking

Jean Dermine is professor of banking and finance at INSEAD , one of the world's leading business schools. The author of numerous articles on asset and liability management, European banking, and the theory of banking, he has been a visiting professor at New York University, the Wharton School, and the Stockholm School of Economics, among other universities. His work has been quoted frequently in the press, including The Economist, the Financial Times, The New York Times, and The Wall Street Journal. Dermine lives in Fontainebleau, France.