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 (Unpublished Doctoral thesis, City University London)
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.
| Publication Type: | Thesis (Doctoral) |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Departments: | Bayes Business School > Finance Doctoral Theses Bayes Business School > Bayes Business School Doctoral Theses |
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