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Risk Management and Value Creation in Financial Institutionsby G. Schroeck1. Introduction
2. Foundations for Determining the Link between Risk Management and Value Creation in Banks
Value Maximization in Banks
Value Maximization as the Firm's Objective
Valuation Framework for Banks
Problems with the Valuation Framework for Banks
Empirical Conundrum
Other Stakeholders' Interests in Banks
Risk Management in Banks
Definition of Risk
Definition of Risk Management
Role and Importance of Risk and Its Management in Banks
Link between Risk Management and Value Creation in Banks
Goals of Risk Management in Banks
Choice of the Goal Variable
Choice of the Stakeholder Perspective
Choice of the Risk Dimension
Choice of the Risk-Management Strategy
Ways to Conduct Risk Management in Banks
Eliminate/Avoid
Transfer
Absorb/Manage
Empirical Evidence
Summary
Appendix
Part A: Bank Performance
Part B: Systematic versus Specific Risk
3. Rationales for Risk Management in Banks
Risk Management and Value Creation in the Neoclassical Finance Theory
The Neoclassical Finance Theory
Corollaries from the Neoclassical Finance Theory with Regard to Risk Management
The Risk Management Irrelevance Proposition
Summary and Implications
Discrepancies Between Neoclassical Theory and Practice
Risk Management and Value Creation in the Neoinstitutional Finance Theory
Classification of the Relaxation of the Assumptions of the Neoclassical World
The Central Role of the Likelihood of Default
Agency Costs as Rationale for Risk Management
Agency Costs of Equity as a Rationale for Risk Management
Agency Costs of Debt as a Rationale for Risk Management
Coordination of Investment and Financing
Transaction Costs as a Rationale for Risk Management
The Costs of Financial Distress
The Costs of Implementing Risk Management
The Costs of Issuance
The Costs of a Stable Risk Profile
Taxes and Other Market Imperfections as Rationales for Risk Management
Taxes
Other Market Imperfections
Additional Rationales for Risk Management in Banks
Summary and Conclusions
Appendix
4. Implications of the Previous Theoretical Discussion for This Book
5. Capital Structure in Banks
The Role of Capital in Banks
Capital as a Means for Achieving the Optimal Capital Structure
Capital as Substitute for Risk Management to Ensure Bank Safety
The Various Stakeholders' Interests in Bank Safety
Available Capital
Required Capital from an Economic Perspective
Determining Capital Adequacy in the Economic Perspective
Summary and Consequences
Derivation of Economic Capital
Types of Risk
Economic Capital as an Adequate Risk Measure for Banks
Ways to Determine Economic Capital for Various Risk Types in Banks (Bottom-Up)
Credit Risk
Market Risk
Operational Risk
Aggregation of Economic Capital across Risk Types
Concerns with the Suggested Bottom-Up Approach
Suggestion of an Approach to Determine Economic Capital from the Top Down
Theoretical Foundations
Suggested Top-Down Approach
Assessment of the Suggested Approach
Evaluation of Using Economic Capital
Summary
6. Capital Budgeting in Banks
Evolution of Capital-Budgeting Tools in Banks
RAROC as a Capital-Budgeting Tool in Banks
Definition of RAROC
Advantages of RAROC
Assumptions of RAROC
Deficiencies of RAROC
Deficiencies of the Generic RAROC Model
Modifying RAROC to Address Its Pitfalls
Fundamental Problems of RAROC
Evaluation of RAROC as a Single-Factor Model for Capital Budgeting in Banks
New Approaches to Capital Budgeting in Banks
Overview of the New Approaches
Evaluation of RAROC in the Light of the New Approaches
Implications of the New Approaches to Risk Management and Value Creation in Banks
Implications for Risk-Management Decisions
Implications for Capital-Budgeting Decisions
Implications for Capital-Structure Decisions
New Approaches as Foundations for a Normative Theory of Risk Management in Banks
Areas for Further Research
Summary
7. Conclusion
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