Risk Management, 1 book cover

Risk Management, 1

A Modern Perspective

Audience
Economists.

Hardbound, 768 pages

Published: December 2005

Imprint: Academic Press

ISBN: 978-0-12-088438-4

Contents

  • Section 1. Enterprise risk management.
    Introduction.
    1. Managing risk across the enterprise - challenges and benefits.
    2. Asset and liability management in an enterprise risk management perspective.
    3. Enterprise risk management in energy and power industry.
    4. ERM strategies for investors.
    Section 2. Risk optimization.
    Introduction.
    5. Risk budgeting as a strategic tool for pension funds.
    6. Advanced risk budgeting techniques.
    7. Hedge fund investing.
    8. The hedge fund paradigm.
    Section 3. Risk modeling.
    Introduction.
    9. Retrospective assessment of value-at-risk.
    10. New challenges in credit risk modeling and measurement.
    11. Estimating parameters required for credit risk modeling.
    12. Determining the loss given default and transaction ratings in collateralized lending with obligor-collateral correlation.
    13. Modeling correlation risk.
    14. Developing a framework for operational risk analytics.
    15. An analysis of value and risk: the Procter & Gamble - Bankers Trust Case. Section 4. Risk integration.
    Introduction.
    16. Integration of credit and market risk and credit risk .
    17. Mathematical framework for integrating market and credit risk.
    18. Integration of operational risk management and the Sarbanes- Oxley Act Section 404.
    Section 5. Capital allocation.
    Introduction.
    19. Capital allocation using risk management models.
    20. Risk capital attribution and risk-adjusted performance measurement.
    21. Aligning regulatory capital with economic capital.
    22. Aligning regulatory with economic capital - an alternative approach to risk weights according to Basel II.
    Section 6. Risk forecasting.
    Introduction.
    23. Forecasting extreme financial risk.
    24. Measuring financial extremes.
    25. The distribution of returns and risk forecasting).
    26. Relevance of volatility forecasting in financial risk management.
    Section 7. Risk reporting.
    Introduction.
    27. The evolution of risk reporting.
    28. Emerging trends in risk reporting.
    Section 8. Behavioral finance and compensation system.
    Introduction.
    29. Role of behavioral finance in risk management.
    30. ¿Buy on the rumor¿ and ¿sell on the news¿.
    31. Aligning compensation systems with risk management objectives.

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