Professional's Handbook of Financial Risk Management is a major reference work in finance. A complete practical reference book covering all aspects of financial risk management including an in-depth look at operational risk management, regulation, risk-based capital, and risk adjusted performance measurement. The book focuses on practical financial risk management techniques and solutions, and is designed to guide the risk professional step-by-step through the implementation of a firm-wide risk management framework. This book covers the various roles of the risk management function. Rather than describing every possible role in exhaustive detail, the authors have provided a story line for each of the discussed topics, including practical issues that a risk manager needs to consider when tackling the subject, possible solutions to difficulties that might be encountered, background knowledge that is essential to know, and more intricate practices and techniques that are being used. By providing these fundamentals, the novice risk professional can gain a thorough understanding of the topic in question while the more experienced professional can use some of the more advanced concepts within the book. Thus the book can be used to broaden your own knowledge of the risk world, both by familiarizing yourself with areas in which you lack experience and by enhancing your knowledge in areas that you already have expertise. All authors are leaders in their field who between them have the expertise and knowledge, both practical and theoretical, to produce this definitive risk management guide. The editors of this book, Marc Lore and Lev Borodovsky, are senior financial risk managers at Sanwa Bank (International) London, and Credit Suisse First Boston, USA respectively. They also run The Global Association of Risk Professionals (GARP), the industry association for financial risk management practitioners and researchers.
Endorsed by GARP - Global Association of Risk Professionals
Authored and edited by leading financial markets risk professionals
International in coverage; the concepts and methods covered are not specific to any country or institution, but rather to the risk management profession as a whole
Risk managers, traders, portfolio managers, consultants, regulators, technologists, credit analysts, will find this book, with contributions from around the world, a valuable source of practical information on Financial Risk Management
Table of Contents
Foundation of risk management - Derivatives basics Measuring volatility The yield curve Choosing appropriate VaR model parameters and risk measurement methods Market risk, credit risk and operational risk - Yield curve risk factors: domestic and global contexts Implementation of a Value-at-Risk system Additional risks in fixed-income markets Stress testing; Backtesting Credit risk management models Risk management of credit derivatives Operational risk; Operational risk Additional risk types - Coping with model risk Liquidity risk; Accounting risk External reporting: compliance and documentation risk Energy risk management; Implementation of price testing Capital management, technology and regulation - Implementing a firmwide risk management framework Selecting and implementing enterprise risk management technologies Establishing a capital-based limit structure A framework for attributing economic capital and enhancing shareholder value International regulatory requirements for risk management Risk transparency