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.
Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:418938 |
Date | January 2005 |
Creators | Onorato, Mario |
Publisher | City University London |
Source Sets | Ethos UK |
Detected Language | English |
Type | Electronic Thesis or Dissertation |
Source | http://openaccess.city.ac.uk/8452/ |
Page generated in 0.0014 seconds