Bank Valuation and Value-Based Management: Deposit and Loan Pricing, Performance Evaluation, and Risk Management »

Jean Dermine is professor of banking and

finance at INSEAD , one of the world’s leading

business schools. The author of numerous articles

on asset and liability management, European

banking, and the theory of banking, he has been

a visiting professor at New York University, the

Wharton School, and the Stockholm School of

Economics, among other universities. His work

has been quoted frequently in the press, including

The Economist, the Financial Times, The New York

Times, and The Wall Street Journal. Dermine lives

in Fontainebleau, France.

Bank Valuation & Value-Based Management

provides bankers, bank regulators, auditors, and

risk managers with foundational concepts and

practical tools for effectively managing a bank.

An expert in asset and liability management,

European financial markets, and banking theory,

Jean Dermine provides rigorous foundations to

discuss asset and liability management at a global

level, with an integrated focus on an institution’s

banking book. He covers bank valuation, fund

transfer pricing, deposit and loan pricing, risk

management, and performance measurement, and

addresses two high-profile issues for banks worldwide:

portfolio credit risk and liquidity risk.

This thorough and innovative guide presents

insightful coverage on the hazards of measuring

portfolio credit risk, the impact of liquidity risk

on fund transfer pricing, and the practice of

performance measurement in the banking

industry. Numerous real-world examples from

the U.S. subprime crisis help illustrate the nature

and dynamics of these issues.

Inside, you will find a framework for discussing

such managerial issues as:

• Bank valuation
• Fund transfer pricing
• Deposit pricing
• Capital management
• Loan pricing and provisioning
• Securitization
• Measurement of interest rate risk
• Performance measurement

At the same time that it helps readers develop

an intuitive sense for asset-liability management,

this practical book follows through with rigorous

mathematical formulas and examples from the

international banking community. In addition,exercises are incorporated throughout the text to

facilitate discussions of how theoretical concepts

can be applied to real-world problems. This

authoritative guide to bank management also

features an exclusive companion Web site,

www.mhprofessional.com/bankvaluation, which

includes additional chapters and exercise solutions

that serve as key supplements to the core text.

Creating value in banking depends on a rocksolid

understanding of what drives value and the

right valuation model to help make the tough decisions

that will enhance shareholder value. Bank

Valuation & Value-Based Management is your

one-stop reference for each of these critical issues.

Introduction
1. Discounting, Present Value, and Yield Curve
2. Coupon-bond Rate, zero-coupon bond Rate, Forward rates, and Shape of Yield Curve
3. Statistics
4. The Economics of Banking
5. The Valuation of Banks
6. The Valuation of Banks
7. Determinants of Franchise Value
8. Valuation of Fee-based Activities
9. Value Centers Performance Metrics
10. Fund Transfer Pricing (FTP)
11. Deposit Pricing
12. Capital Regulation, Economic Capital Allocation, and Loan Pricing
13 Capital Regulation
14 Loss-Given-Default and Provisions on Non-Performing Loans
15 Loan Pricing II, Loan-Loss Provisioning on Performing Loans and Estimation of Probabilities of Default
16 Securitization: Asset-backed Securities (ABS), Collaterized Debt Obligations (CDOs), and Structured Investment Vehicles (SIVs)
17 Risk Management in Banking

Jean Dermine is professor of banking and

finance at INSEAD , one of the world’s leading

business schools. The author of numerous articles

on asset and liability management, European

banking, and the theory of banking, he has been

a visiting professor at New York University, the

Wharton School, and the Stockholm School of

Economics, among other universities. His work

has been quoted frequently in the press, including

The Economist, the Financial Times, The New York

Times, and The Wall Street Journal. Dermine lives

in Fontainebleau, France.