Allocation of risk capital in financial institutions

Financial Management

Volumn 28, Issue 3, 1999, Pages 95-111

  Saita, Francesco ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033483443     PISSN: 00463892     EISSN: None     Source Type: Journal    
DOI: 10.2307/3666187     Document Type: Article

References (47)

1. Altman, E., 1989, "Measuring Corporate Bond Mortality and Performance," Journal of Finance (September), 902-922.
2. Altman, E., 1992, "Valuation, Loss Reserves, and Pricing of Commercial Loans," New York University Stern School of Business Working Paper 92-38.
3. Beder, T.S., 1995, "VaR: Seductive but Dangerous," Financial Analysts Journal (September-October), 12-24.
4. Bower, J.L., 1970, Managing the Resource Allocation Process: A Study of Corporate Planning and Investment, Boston, MA, Division of Research, Harvard University Graduate School of Business Administration.
5. Credit Suisse Financial Products, 1997, "CreditRisk+. A Credit Risk Management Framework," Technical Document.
6. Crouhy, M. and R. Mark, 1998, "A Comparative Analysis of Current Credit Risk Models," London Conference "Credit Modeling and Regulatory Implications," (September).
7. Dearden, J., 1969, "The Case Against ROI Control," Harvard Business Review (May-June), 124-135.
8. Duffie, D. and J. Pan, 1997, "An Overview of Value at Risk," Journal of Derivatives (Spring), 7-49.
9. Eccles, R.G., 1983, "Control with Fairness in Transfer Pricing," Harvard Business Review (November-December), 149-161.
10. Froot, K.A. and J.C. Stein, 1996, "Risk Management, Capital Budgeting and Capital Structure Policy for Financial Institutions: An Integrated Approach," National Bureau of Economic Research Working Paper 5403 (January).
11. Gardener, E.P.M., 1994, "Bank Marketing, Organisation and Performance," in J. Revell, Ed., The Changing Face of European Banks and Securities Markets, New York, NY, St. Martin's Press, 59-78.
12. Groonroos, C., 1990, "Relationship Approach to Marketing in Service Contexts: The Marketing and Organizational Behavior Interface," Journal of Business Research (January), 3-11.
13. Gupton, G.M., C.C. Finger, and M. Bhatia, 1997, CreditMetrics®Technical Document, New York, NY, J.P. Morgan.
14. Hendricks, D., 1996, "Evaluation of Value-at-Risk Models Using Historical Data," Federal Reserve Bank of New York Economic Policy Review (April), 39-69.
15. Hopwood, A., 1974, Accounting and Human Behaviour, London, Haymarket Publishing.
16. Horngren, C.T., G.L. Sundem, and W.O. Stratton, 1996, Introduction to Management Accounting, London, Prentice-Hall International.
17. J.P. Morgan, 1995, RiskMetrics™ - Technical Document, 3rd ed., New York, NY, Morgan Guaranty Trust Company.
18. James, C., 1996, "RAROC Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation," Wharton Financial Institutions Center Working Paper 96-40.
19. Kimball, R.C., 1997, "Innovations in Performance Measurement in Banking," New England Economic Review (May/June), 23-38.
20. Lawrence, C., G. Robinson, and M. Stiles, 1996, "Incorporating Liquidity into the Risk-Measurement Framework," Financial Derivatives and Risk Management (June), 24-30.
21. Lawrence, P.R. and J.W. Lorsch, 1967, Organization and Environment: Managing Differentiation and Integration, Boston, MA, Harvard University Press.
22. Marshall, C. and M. Siegel, 1997, "Value at Risk: Implementing a Risk Measurement Standard," Journal of Derivatives (Spring), 91-111.
23. Matten, C., 1996, Managing Bank Capital: Capital Allocation and Performance Measurement, Chicester, England, Wiley.
24. Merton, R.C., 1993, "Operations and Regulations in Financial Intermediation: A Functional Perspective," in P. Englund, Ed., Operations and Regulations of Financial Markets, Stockholm, The Economic Council.
25. Merton, R.C. and A.F. Perold, 1993, "Theory of Risk Capital in Financial Firms," Journal of Applied Corporate Finance, (Fall) 16-32.
26. Miller, E.M., 1978, "Uncertainty Induced Bias in Capital Budgeting," Financial Management (Autumn), 12-18.
27. Moriarty, R.T., R.C. Kimball, and J.H. Gay, 1983, "The Management of Corporate Banking Relationships," Sloan Management Review (Spring), 3-15.
28. Morison, I., 1994, "Organisational Change in UK Clearing Banks: The Causes and Consequences," in J. Revell, Ed., The Changing Face of European Banks and Securities Markets, New York, NY, St. Martin's Press, 79-92.
29. Ouchi, W.G., 1979, "A Conceptual Framework for the Design of Organizational Control Mechanisms," Management Science (September), 833-848.
30. Perold, A., 1998, "Capital Allocation in Financial Firms," Harvard Business School Working Paper 98-072.
31. Pfeffer, J., 1992, "Understanding Power in Organizations," California Management Review (Winter), pp. 29-50.
32. Phelan, M.J., 1995, "Probability and Statistics Applied to the Practice of Financial Risk Management: The Case of JP Morgan's RiskMetrics®," Wharton Working Paper 95-19.
33. Pinches, G.E., 1982, "Myopia, Capital Budgeting and Decision Making," Financial Management (Autumn), 6-19.
34. Pruitt, S.W. and L.J. Gitman, 1987, "Capital Budgeting Forecasting Biases: Evidence from the Fortune 500," Financial Management (Spring), 46-51.
35. Rogers, D., 1993, The Future of American Banking: Managing for Change, New York, NY, McGraw-Hill.
36. Santomero, A.M., 1995a, "Financial Risk Management: The Whys and Hows," Financial Markets, Institutions and Instruments (December), 1-13.
37. Santomero, A.M., 1995b, "Commercial Bank Risk Management: An Analysis of the Process," Wharton Working Paper 95-11.
38. Smith, R.C. and I. Walter, 1990, Global Financial Services, New York, NY, Harper & Row.
39. Statman, M. and T.T. Tyebjee, 1985, "Optimistic Capital Budgeting Forecasts: An Experiment," Financial Management (Autumn), 27-33.
40. Stewart, G.B. III, 1991, The Quest for Value, New York, NY, Harper Business.
41. Thompson, J.D., 1967, Organizations in Action, New York, NY, McGraw-Hill.
42. Walter, I., 1994, "Notes on Corporate Culture in Banking," New York University Salomon Center Working Paper (September).
43. Williamson, O., 1975, Markets and Hierarchies: Analysis and Antitrust Implications, New York, NY, Free Press.
44. Wilson, T., 1997, "Portfolio Credit Risk," Risk (September), 111-117; (October), 56-61.
45. Wilson, T., 1997, "Portfolio Credit Risk," Risk (September), 111-117; (October), 56-61.
46. Zaik, E., J. Walter, G. Kelling, and C. James, 1996, "RAROC at Bank of America: From Theory to Practice," Journal of Applied Corporate Finance (Summer), 83-93.
47. Zimmerman, J.L., 1997, "EVA and Divisional Performance Measurement: Capturing Synergies and Other Issues," Journal of Applied Corporate Finance (Summer), 98-109.