Essays on credit risk, risk adjusted performance and economic capital in financial institutions
type: CreativeWork
description: 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.
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.
author: Onorato, M.
keywords: HG Finance
date published: 2005
date modified: 2026-07-24T01:39:14Z
provider: City University of London
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: City University London