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Risk Management and Shareholders’ Value in Banking For other titles in the Wiley Finance Series please see www.wiley.com/finance Risk Management and Shareholders’ Value in Banking From Risk Measurement Models to Capital Allocation Policies Andrea Resti and Andrea Sironi Copyright  2007 John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England Telephone (+44) 1243 779777 Email (for orders and customer service enquiries): cs-books@wiley.co.uk Visit our Home Page on www.wileyeurope.com or www.wiley.com All Rights Reserved. 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 under the terms of the Copyright, Designs and Patents Act 1988 or under the terms of a licence issued by the Copyright Licensing Agency Ltd, 90 Tottenham Court Road, London W1T 4LP, UK, without the permission in writing of the Publisher. Requests to the Publisher should be addressed to the Permissions Department, John Wiley & Sons Ltd, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ, England, or emailed to permreq@wiley.co.uk, or faxed to (+44) 1243 770620. Designations used by companies to distinguish their products are often claimed as trademarks. All brand names and product names used in this book are trade names, service marks, trademarks or registered trademarks of their respective owners. The Publisher is not associated with any product or vendor mentioned in this book. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold on the understanding that the Publisher is not engaged in rendering professional services. If professional advice or other expert assistance is required, the services of a competent professional should be sought. Other Wiley Editorial Offices John Wiley & Sons Inc., 111 River Street, Hoboken, NJ 07030, USA Jossey-Bass, 989 Market Street, San Francisco, CA 94103-1741, USA Wiley-VCH Verlag GmbH, Boschstr. 12, D-69469 Weinheim, Germany John Wiley & Sons Australia Ltd, 42 McDougall Street, Milton, Queensland 4064, Australia John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop #02-01, Jin Xing Distripark, Singapore 129809 John Wiley & Sons Canada Ltd, 6045 Freemont Blvd, Mississauga, Ontario, L5R 4J3, Canada 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 Sironi, Andrea. Risk management and shareholders’ value in banking : from risk measurement models to capital allocation policies / Andrea Sironi and Andrea Resti. p. cm. Includes bibliographical references and index. ISBN 978-0-470-02978-7 (cloth : alk. paper) 1. Asset-liability management. 2. Bank management. 3. Banks and banking – Valuation. 4. Financial institutions – Valuation. 5. Risk management. I. Resti, Andrea. II. Title. HG1615.25.S57 2007 332.1068
1 – dc22 2006102019 British Library Cataloguing in Publication Data A catalogue record for this book is available from the British Library ISBN 978-0-0470-02978-7 (HB) Typeset in 10/12pt Times by Laserwords Private Limited, Chennai, India Printed and bound in Great Britain by Antony Rowe Ltd, Chippenham, Wiltshire This book is printed on acid-free paper responsibly manufactured from sustainable forestry in which at least two trees are planted for each one used for paper production. To our parents Contents Foreword xix Motivation and Scope of this Book: A Quick Guided Tour xxi PART I INTEREST RATE RISK Introduction to Part I 1 3 1 The Repricing Gap Model 1.1 Introduction 1.2 The gap concept 1.3 The maturity-adjusted gap 1.4 Marginal and cumulative gaps 1.5 The limitations of the repricing gap model 1.6 Some possible solutions 1.6.1 Non-uniform rate changes: the standardized gap 1.6.2 Changes in rates of on-demand instruments 1.6.3 Price and quantity interaction 1.6.4 Effects on the value of assets and liabilities Selected Questions and Exercises Appendix 1A The Term Structure of Interest Rates Appendix 1B Forward Rates 9 9 9 12 15 19 20 20 23 24 25 25 28 32 2 The Duration Gap Model 2.1 Introduction 2.2 Towards mark-to-market accounting 2.3 The duration of financial instruments 2.3.1 Duration as a weighted average of maturities 2.3.2 Duration as an indicator of sensitivity to interest rates changes 2.3.3 The properties of duration 2.4 Estimating the duration gap 2.5 Problems of the duration gap model Selected Questions and Exercises Appendix 2A The Limits of Duration 35 35 35 39 39 40 42 42 45 47 49