Essays on credit risk, risk adjusted performance and economic capital in financial institutions

Onorato, M. (2005). Essays on credit risk, risk adjusted performance and economic capital in financial institutions. (Unpublished Doctoral thesis, City University London)

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Abstract

This dissertation consists of three autonomous essays, discussing the following topics: 1. the pricing of defaultable bonds, loans and plain vanilla credit derivatives, 2. the use of risk-adjusted performance measurement, for optimal portfolio management in the banking, asset management and insurance industries 3. return on economic capital as a measure of value created by the holding of bank assets and the operation of bank business units.

Item Type: Thesis (Doctoral)
Subjects: H Social Sciences > HG Finance
Divisions: Cass Business School > Faculty of Finance
URI: http://openaccess.city.ac.uk/id/eprint/8452

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