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Risk measure. Distortion risk measure; Tail conditional expectation; Value at risk; Convex risk measure Entropic risk measure; Coherent risk measure. Discounted maximum loss; Expected shortfall; Superhedging price; Spectral risk measure; Deviation risk measure. Standard deviation or Variance; Mid-range Interdecile range; Interquartile range
For a lending division, the difference between Interest payable to the central office and the interest received from the borrowers is the contribution to the bank's performance. The central office rate is notional in nature and is aligned to market conditions. Thus for all the units, there are two rates available to measure the performance.
In 1990, Schneiderman participated in an unrelated research study led by Robert S. Kaplan in conjunction with US management consultancy Nolan-Norton, [9] and during this study described his work on performance measurement. [4] Subsequently, Kaplan and David P. Norton included anonymous details of this balanced scorecard design in a 1992 article ...
Capital adequacy ratio is the ratio which determines the bank's capacity to meet the time liabilities and other risks such as credit risk, operational risk etc. In the most simple formulation, a bank's capital is the "cushion" for potential losses, and protects the bank's depositors and other lenders.
Tier 1 capital is the core measure of a bank's financial strength from a regulator's point of view. [note 1] It is composed of core capital, [1] which consists primarily of common stock and disclosed reserves (or retained earnings), [2] but may also include non-redeemable non-cumulative preferred stock.
For each unit of measure, the bank then constructs a loss distribution that represents its expectation of total losses that can materialize in a one-year horizon. Given that data sufficiency is a major challenge for the industry, annual loss distribution cannot be built directly using annual loss figures.
In 1966, Peter Dietz's Pension Funds: Measuring Investment Performance article established time-weighted rate of return as the most important measure of fund performance. [2] In 1968, the Bank Administration Institute's Measuring the Investment Performance of Pension Funds for the Purpose of Inter-Fund Comparison study proposed common methods ...
Incentive compatibility - Banks must adopt better risk management techniques to control the credit risk in their portfolio to minimize regulatory capital; To use this approach, a bank must take two major steps: Categorize their exposures into various asset classes as defined by the Basel II accord