Bank Risk Management: Theory

asset value due bank managers Bank regulators bank risk management bank's Binomial Trees Business and Economic candidate trade cash flow centile change in portfolio consider risk/return contemporary bank risk Corporate Capital Structure covariance matrix credit risk David H described in terms due to changes Economic Research end-of-horizon equity F502 Haas Building fat tails FINANCE WORKING PAPER HAAS SCHOOL Hayne Henry Cao House Banking Committee http://www.haas.berkeley.edu/~spiegel Institute of Business intraday Jens Carsten Jackwerth Leland MANAGEMENT NEEDED marginal risk market risk measurement Matthew Spiegel maximum loss Miguel Cantillo monitor Monte Carlo simulation moral hazard Orange County parameters portfolio components portfolio return portfolio value position vector Program in Finance Pyle regulators want Regulatory capital requirements Research Program return distribution revised June 1997 risk measurement systems RiskMetrics scenario analysis SCHOOL OF BUSINESS stress testing Structure and Investment Terrance Odean total bank risk total risk trade-offs University of California value change value-at-risk volatility www.haas.berkeley.edu/~jackwert