This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that...

This is an edited collection of essential readings on Reserves Management and Sovereign Wealth Management, from the recent SAA conference organized by the Bank for International Settlements, the European Central Bank and the World Bank Treasury. It offers an exchange of views on technical and...

Fidelio Tata is a senior financial markets professional with some 30 years of leadership experience in derivatives marketing, institutional sales, risk management, and global fixed income research. He is a veteran of top Wall Street firms including JPMorgan, Credit Suisse, HSBC, and Societe...

"We develop a model where institutions form connections through swaps of projects in order to diversify their individual risk. These connections lead to two different network structures. In a clustered network groups of financial institutions hold identical portfolios and default together. In an...

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...