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Risk Management

Опубликовано на портале: 23-04-2007
Изд-во: Elsevier Science, 2005, 768 с.
Тематический раздел:
Risk models, like all tools that describe and predict behaviors, possess strengths and flaws that can yield consequences both intended and unintended. In this collection of original essays, finance professionals and professors from around the world examine the assumptions and expectations that underlie both financial risk models and the practices and institutions they have engendered. Contributors analyze and evaluate current systems while summarizing our understanding of certain types of risk and describing emerging trends. Subjects range from risk reporting and risk forecasting to enterprise risk management and the effect of behavioral finance on compensation systems. Encouraging practitioners and the academic community to look at risk as it hasn't been looked at before, this book seeks to encourage critical thinking and innovation

Section 1. Enterprise risk management
  • Introduction
  • Managing risk across the enterprise - challenges and benefits
  • Asset and liability management in an enterprise risk management perspective
  • Enterprise risk management in energy and power industry
  • ERM strategies for investors

    Section 2. Risk optimization

  • Introduction
  • Risk budgeting as a strategic tool for pension funds
  • Advanced risk budgeting techniques
  • Hedge fund investing
  • The hedge fund paradigm

    Section 3. Risk modeling

  • Introduction
  • Retrospective assessment of value-at-risk
  • New challenges in credit risk modeling and measurement
  • Estimating parameters required for credit risk modeling
  • Determining the loss given default and transaction ratings in collateralized lending with obligor-collateral correlation
  • Modeling correlation risk
  • Developing a framework for operational risk analytics
  • An analysis of value and risk: the Procter & Gamble - Bankers Trust Case

    Section 4. Risk integration

  • Introduction
  • Integration of credit and market risk and credit risk
  • Mathematical framework for integrating market and credit risk
  • Integration of operational risk management and the Sarbanes- Oxley Act Section 404

    Section 5. Capital allocation

  • Introduction
  • Capital allocation using risk management models
  • Risk capital attribution and risk-adjusted performance measurement
  • Aligning regulatory capital with economic capital
  • Aligning regulatory with economic capital - an alternative approach to risk weights according to Basel II

    Section 6. Risk forecasting

  • Introduction
  • Forecasting extreme financial risk
  • Measuring financial extremes
  • The distribution of returns and risk forecasting)
  • Relevance of volatility forecasting in financial risk management

    Section 7. Risk reporting

  • Introduction
  • The evolution of risk reporting
  • Emerging trends in risk reporting

    Section 8. Behavioral finance and compensation system

  • Introduction
  • Role of behavioral finance in risk management
  • Buy on the rumor and sell on the news
  • Aligning compensation systems with risk management objectives
  • Ключевые слова

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