Ebook: Risk Management: Challenge and Opportunity
- Tags: Finance /Banking, Quantitative Finance, Management
- Year: 2005
- Publisher: Springer-Verlag Berlin Heidelberg
- Edition: 2
- Language: English
- pdf
Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.
Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.
Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.
Content:
Front Matter....Pages I-XXVII
Basel II and the Effects on the Banking Sector....Pages 3-24
Conflicts of Interest and Market Discipline in Financial Services Firms....Pages 25-51
Risk Management and Value Creation in Banks....Pages 53-78
The New Basel Capital Accord....Pages 79-98
Value at Rist: Regulatory and Other Applications, Methods, and Criticism....Pages 99-124
Parsimonious Value at Risk for Fixed Income Portfolios....Pages 125-141
Risk Budgeting with Value at Risk Limits....Pages 143-157
Value at Risk, Bank Equity and Credit Risk....Pages 159-168
Parametric and Nonparametric Estimation of Conditional Return Expectations....Pages 169-196
Credit Risk Portfolio Modeling: An Overview....Pages 197-217
Evaluating Credit Risk Models....Pages 219-238
Estimation of Default Probabilities and Default Correlations....Pages 239-258
Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity....Pages 259-277
Assessment of Operational Risk Capital....Pages 279-301
Operational Risk: The Management Perspective....Pages 303-318
Catastrophic Events as Threats to Society: Private and Public Risk Management Strategies....Pages 321-340
New Approaches to Managing Catastrophic Insurance Risk....Pages 341-367
Alternative Risk Transfer....Pages 369-390
The Challenge of Managing Longevity Risk....Pages 391-406
Asset/Liability Management of German Life Insurance Companies: A Value-at-Risk Approach in the Presence of Interest Rate Guarantees....Pages 407-419
Risk Management, Corporate Governance and the Public Corporation....Pages 423-436
Integrating Corporate Risk Management....Pages 437-453
Value-Based Motives for Corporate Risk Management....Pages 455-478
Value-Based Corporate Risk Management....Pages 479-494
Statutory Regulation of the Risk Management Function in Germany: Implementation Issues for the Non-Financial Sector....Pages 495-511
A Comprehensive Approach to the Measurement of Macroeconomic Exposure....Pages 513-536
Foreign-Exchange-Risk Management in German Non-Financial Corporations: An Empirical Analysis....Pages 537-556
Estimating the Exchange Rate Exposure of US Multinational Firms: Evidence from an Event Study Methodology....Pages 557-569
International Corporate Risk Management: A Comparison of Three Major Airlines....Pages 571-590
Corporate Risk Management: Real Options and Financial Hedging....Pages 591-608
The Real Option Value of Operational and Managerial Flexibility in Global Supply Chain Networks....Pages 609-629
Managing Acquisition-Related Currency Risk Exposures: The E.ON-Powergen Case....Pages 631-650
Introducing New Risk Classes to Organized Exchanges: The Case of Electricity Derivatives....Pages 651-670
Was Enron’s Business Model Fundamentally Flawed?....Pages 671-677
“Real” Risk Management: Opportunities and Limits of Consumption-Based Strategies....Pages 679-698
Capacity Options: Convergence of Supply Chain Management and Financial Asset Management....Pages 699-717
The Key to Risk Management: Management....Pages 721-739
Economic Risks of EMU....Pages 741-764
Does Risk Management Make Financial Markets Riskier?....Pages 765-783
Risk Management, Rational Herding and Institutional Investors: A Macro View....Pages 785-799
Back Matter....Pages 821-838
Revitalization of Japanese Banks: Japan’s Big Bang Reform....Pages 801-820
Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book aims at being a reference work in its field. Different to other books on the topic, it addresses the challenges and opportunities facing the different risk management types in banks, insurance companies, and the corporate sector. Due to the rising volatility in the financial markets as well as political and operational risks affecting the business sector in general, capital adequacy rules are equally important for non-financial companies. For the banking sector, the book emphasizes the modifications implied by the Basel II proposal. The volume has been written for academics as well as practitioners, in particular finance specialists. It is unique in bringing together such a wide array of experts and correspondingly offers a complete coverage of recent developments in risk management.
Content:
Front Matter....Pages I-XXVII
Basel II and the Effects on the Banking Sector....Pages 3-24
Conflicts of Interest and Market Discipline in Financial Services Firms....Pages 25-51
Risk Management and Value Creation in Banks....Pages 53-78
The New Basel Capital Accord....Pages 79-98
Value at Rist: Regulatory and Other Applications, Methods, and Criticism....Pages 99-124
Parsimonious Value at Risk for Fixed Income Portfolios....Pages 125-141
Risk Budgeting with Value at Risk Limits....Pages 143-157
Value at Risk, Bank Equity and Credit Risk....Pages 159-168
Parametric and Nonparametric Estimation of Conditional Return Expectations....Pages 169-196
Credit Risk Portfolio Modeling: An Overview....Pages 197-217
Evaluating Credit Risk Models....Pages 219-238
Estimation of Default Probabilities and Default Correlations....Pages 239-258
Managing Investment Risks of Institutional Private Equity Investors — The Challenge of Illiquidity....Pages 259-277
Assessment of Operational Risk Capital....Pages 279-301
Operational Risk: The Management Perspective....Pages 303-318
Catastrophic Events as Threats to Society: Private and Public Risk Management Strategies....Pages 321-340
New Approaches to Managing Catastrophic Insurance Risk....Pages 341-367
Alternative Risk Transfer....Pages 369-390
The Challenge of Managing Longevity Risk....Pages 391-406
Asset/Liability Management of German Life Insurance Companies: A Value-at-Risk Approach in the Presence of Interest Rate Guarantees....Pages 407-419
Risk Management, Corporate Governance and the Public Corporation....Pages 423-436
Integrating Corporate Risk Management....Pages 437-453
Value-Based Motives for Corporate Risk Management....Pages 455-478
Value-Based Corporate Risk Management....Pages 479-494
Statutory Regulation of the Risk Management Function in Germany: Implementation Issues for the Non-Financial Sector....Pages 495-511
A Comprehensive Approach to the Measurement of Macroeconomic Exposure....Pages 513-536
Foreign-Exchange-Risk Management in German Non-Financial Corporations: An Empirical Analysis....Pages 537-556
Estimating the Exchange Rate Exposure of US Multinational Firms: Evidence from an Event Study Methodology....Pages 557-569
International Corporate Risk Management: A Comparison of Three Major Airlines....Pages 571-590
Corporate Risk Management: Real Options and Financial Hedging....Pages 591-608
The Real Option Value of Operational and Managerial Flexibility in Global Supply Chain Networks....Pages 609-629
Managing Acquisition-Related Currency Risk Exposures: The E.ON-Powergen Case....Pages 631-650
Introducing New Risk Classes to Organized Exchanges: The Case of Electricity Derivatives....Pages 651-670
Was Enron’s Business Model Fundamentally Flawed?....Pages 671-677
“Real” Risk Management: Opportunities and Limits of Consumption-Based Strategies....Pages 679-698
Capacity Options: Convergence of Supply Chain Management and Financial Asset Management....Pages 699-717
The Key to Risk Management: Management....Pages 721-739
Economic Risks of EMU....Pages 741-764
Does Risk Management Make Financial Markets Riskier?....Pages 765-783
Risk Management, Rational Herding and Institutional Investors: A Macro View....Pages 785-799
Back Matter....Pages 821-838
Revitalization of Japanese Banks: Japan’s Big Bang Reform....Pages 801-820
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