Risk Management And Value Creation In Financial Institution-Schroeck

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Risk Management And Value Creation In Financial Institution-Schroeck
risk management and value creation in financial institutions GERHARD SCHROECK John Wiley sons, Inc. Copyright o 2002 by John Wiley Sons, Inc, Hoboken, New Jersey. All rights reserved Published simultaneously in Canada No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authoriza tion through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc. 222 Rosewood Drive, Danvers. MA 01923.978-750-8400 fax 978-750-4470 or on thewebatwww.copyright.comRequeststothePublisherforpermissionshouldbe addressed to the Permissions Department, John Wiley Sons, Inc, 111 River Street, hoboken,NJ07030,201-748-6011,fax201-748-6008,e-mail permcoordinatord@wiley.com Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special Incidental, consequential, or other damages. This book contains the views of the author and not necessarily those of oliver, Wyman Company. For general information on our other products and services, or technical support, please contact our Customer Care Department within the United States at 800-762-2974, outside the United States at 317-572-3993 or fax 317-572-4002 Wiley also publishes its books in a variety of electronic formats. Some content that appears in print may not be available in electronic books Library of congress Cataloging-in-Publication data Schroeck. Gerhard Risk management and value creation in financial institutions Gerhard Schroeck ISBN 0-471-25476-2(CLOTH alk paper) 1. Banks and banking-Valuation. 2. Financial institutions-Valuation. 3. Risk management. 4. Asset-liability management. I. Title HG1707.7.S372002 332.10681dc21 2002008564 Printed in the United States of america To Tiger For your invaluable support My ventures are not in one bottom trusted Nor to one place, nor is my whole estate Upon the fortune of this present year; Therefore, my merchandise makes me not sad Antonio, in: The Merchant of venice, Act I. scene i by William Shakespeare prerace rom an empirical as well as a personal point of view, risk management in the financial industry has been one of the most exciting and most re searched areas over the last decade. Depositors and regulators claim that risk management is necessary, and many banks argue that superior risk management can create(shareholder)value. However, from a theoretical point of view, it is not immediately clear if and how risk management at the corporate level can be useful. Very little research has been conducted as to why there is an economic rationale for risk management at the bank level This book provides a closer and a more differentiated view on the sub ject than previous research and is intended to describe both the theory and the practice of corporate risk management in financial institutions. It is different from other works on this subject in the following significant ways. First, it addresses the question of under which circumstances risk man agement at the corporate level can help to maximize value. These conditions require a deviation from standard neoclassical finance theory because in(risk) efficient markets corporate risk management could destroy value, especially if it comes at a cost, and it is shown that risk management at the bank level is not restricted to hedging activities in such a world Second, the book agrees in principal with what other publications find are the correct building blocks on which risk-management decisions in banks should be based in such a world, namely economic capital and raroc (risk-adjusted return on [economic] capital). It also explains, that in the circumstances under which corporate risk management can add value, the conclusions of classical finance theory are not valid in general, and that the Net Present value(npv rule might not always be the correct measure to decide whether a (risk management) transaction adds or destroys value Third, this book, therefore, develops the foundations for a model that would allow banks to identify comparative advantages that in turn, would enable them to select those risk-management strategies that really add value Fourth, the approach presented in this book is able to reconcile the debt holders'(who are averse to default risk)and the shareholders'(who prefer more volatility rather than less because they are option holders on the firm's value) perspectives and to identify those activities that are helpful to all PREFACE constituents/stakeholders of a financial institution because they avoid the consequences of a bank run Even though the following Chinese proverb: a smart man learns from his own mistakes, A wise man learns from the mistakes of others And a fool never learns applies to both risk management and writing a manuscript on this subject, I hope this book will be a valuable contribution to the ongoing discussion There are undoubtedly errors in the final product both orthographically and conceptually that remain my own responsibility, and certainly further research needs to be done. Thus, i encourage anybody with constructive comments to send them on to me All views presented in this book represent the author's views and do not necessarily reflect those of Oliver, Wyman company acknowledgments No book is solely the effort of its author. Many people have played a crucial part in making this book happen and suffered from me writing it. i am indebted to both academics and practitioners who have made excellent and useful suggestions. Even though the following list is almost surely incom lete, many people deserve special thanks for their help First and foremost i owe a great deal to my academic teacher and Ph. D supervisor Prof Dr. Manfred Steiner(University of Augsburg, Germany)for leaving both the necessary and sufficient degrees of freedom in my research I am grateful to John D. Stroughair (also for helping to coordinate the required time off from Oliver, Wyman Company), Til Schuermann, Martin Wallmeier, and, last but not least, Victoria Sheppard for their helpful criti cism when reviewing my manuscript. From the bottom of my heart, i would like to thank my family and especially Bettina Klippel for the sacrifices they have made on behalf of this book. The loyal support and encouragement of my parents throughout my life-whichever way it took me-are truly appreciated. Heartfelt thanks to Bettina for enduring late nights and long weekends consumed to write this book; without her help and understanding, I would not have made Gerhard Schrock Bad Homburg, germany

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