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Bank Valuation and Value Based Management


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Table of Contents

Introduction vii
Acknowledgments ix

Chapter 1
Discounting, Present Value, and the Yield Curve 1
Chapter 2
Coupon Bond Rate, Zero-Coupon Bond Rate, Forward Rates, andthe Shape of the Yield Curve 14
Chapter 3
Statistics: A Review 23
Chapter 4
The Economics of Banking and a Bank's Balance Sheet and Income Statement 32

Chapter 5
The Valuation of Banks, Part 1 44
Chapter 6
The Valuation of Banks, Part 2 70
Chapter 7
Economic and Strategic Drivers of Bank Valuation 93
Chapter 8
Valuation of Fee-Based Activities 110

Chapter 9
Value-Based Management in Banking: An Introduction 126
Chapter 10
Fund Transfer Pricing: Foundation and Advanced Approaches 145
Chapter 11
Deposit Pricing and Repurchase Agreements 172
Chapter 12
Capital Regulation (Basel I), Economic Capital Allocation, and Loan
Pricing I (the Equity Spread) 183
Chapter 13
Capital Regulation (Basel II) 200
Chapter 14
Loss Given Default and Provisions on Nonperforming Loans 214
Chapter 15
Loan Pricing II, Loan Loss Provisions on Performing Loans, and Estimates of Probabilities of Default 226
Chapter 16
Securitization 245

Chapter 17
Risk Management in Banking: An Overview 262
Chapter 18
The Control of Interest-Rate Risk on the Banking Book, Part 1:The Earnings at Risk 268
Chapter 19
The Control of Interest-Rate Risk on the Banking Book, Part 2:The Economic Value at Risk 281
Chapter 20
Value at Risk in the Trading Book: The Aggregation of Risks 301
Chapter 21
Liquidity Risk and Value Creation 320
Chapter 22
The Basel III Global Regulatory Framework for More Resilient Banks and Banking Systems 336
Chapter 23
Credit Risk Portfolio Diversification: Credit Value at Risk 346
Chapter 24
Marginal Risk Contribution, Diversification, and EconomicCapital Allocation 369
Chapter 25
Forwards, Futures, Swaps, and Options: Counterparty Risk 384
Chapter 26
Credit Derivatives 404
Chapter 27
Operational Risk 418

Chapter 28
Islamic Banking, Interest-Free Banking 430
Chapter 29
Prudential Regulations, Safety Nets, and Corporate Structure of International Banks (Branches versus Subsidiaries) 435

Glossary 458
Solutions to Exercises 474
References 497
Index 509

About the Author

JEAN DERMINE is Professor of Banking and Finance at INSEAD and has taught at the Wharton School of the University of Pennsylvania, the Universities of Louvain and Lausanne, CESAG, NYU, and the Stockholm School of Economics.

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