The Economic Foundations Of Risk Management

Author : Robert Jarrow
Publisher : World Scientific
Page : 208 pages
File Size : 45,9 Mb
Release : 2016-11-02
Category : Business & Economics
ISBN : 9789813147539

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The Economic Foundations of Risk Management by Robert Jarrow Pdf

The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-known risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why.

Author : Robert A. Jarrow
Publisher : World Scientific Publishing Company
Page : 208 pages
File Size : 47,5 Mb
Release : 2017
Category : Electronic books
ISBN : 9813147512

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The Economic Foundations of Risk Management by Robert A. Jarrow Pdf

The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-known risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why.

Author : GARP (Global Association of Risk Professionals),Richard Apostolik,Christopher Donohue
Publisher : John Wiley & Sons
Page : 375 pages
File Size : 52,9 Mb
Release : 2015-06-02
Category : Business & Economics
ISBN : 9781119098058

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Foundations of Financial Risk by GARP (Global Association of Risk Professionals),Richard Apostolik,Christopher Donohue Pdf

Gain a deeper understanding of the issues surrounding financial risk and regulation Foundations of Financial Risk details the various risks, regulations, and supervisory requirements institutions face in today's economic and regulatory environment. Written by the experts at the Global Association of Risk Professionals (GARP), this book represents an update to GARP's original publication, Foundations of Banking Risk. You'll learn the terminology and basic concepts surrounding global financial risk and regulation, and develop an understanding of the methods used to measure and manage market, credit, and operational risk. Coverage includes traded market risk and regulation, treasury risk and regulation, and much more, including brand new coverage of risk management for insurance companies. Clear explanations, focused discussion, and comprehensive relevancy make this book an ideal resource for an introduction to risk management. The textbook provides an understanding of risk management methodologies, governance structures for risk management in financial institutions and the regulatory requirements dictated by the Basel Committee on Banking Supervision. It provides thorough coverage of the issues surrounding financial risk, giving you a solid knowledgebase and a practical, applicable understanding. Understand risk measurement and management Learn how minimum capital requirements are regulated Explore all aspects of financial institution regulation and disclosure Master the terminology of global risk and regulation Financial institutions and supervisors around the world are increasingly recognizing how vital sound risk management practices are to both individual firms and the capital markets system as a whole. Savvy professionals recognize the need for authoritative and comprehensive training, and Foundations of Financial Risk delivers with expert-led education for those new to risk management.

Author : Walter V. "Bud" Haslett, Jr.
Publisher : John Wiley & Sons
Page : 790 pages
File Size : 48,9 Mb
Release : 2010-09-28
Category : Business & Economics
ISBN : 9780470903391

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Risk Management by Walter V. "Bud" Haslett, Jr. Pdf

Key readings in risk management from CFA Institute, the preeminent organization representing financial analysts Risk management may have been the single most important topic in finance over the past two decades. To appreciate its complexity, one must understand the art as well as the science behind it. Risk Management: Foundations for a Changing Financial World provides investment professionals with a solid framework for understanding the theory, philosophy, and development of the practice of risk management by Outlining the evolution of risk management and how the discipline has adapted to address the future of managing risk Covering the full range of risk management issues, including firm, portfolio, and credit risk management Examining the various aspects of measuring risk and the practical aspects of managing risk Including key writings from leading risk management practitioners and academics, such as Andrew Lo, Robert Merton, John Bogle, and Richard Bookstaber For financial analysts, money managers, and others in the finance industry, this book offers an in-depth understanding of the critical topics and issues in risk management that are most important to today’s investment professionals.

Author : Global Association of Risk Professionals
Publisher : Unknown
Page : 177 pages
File Size : 42,7 Mb
Release : 2014
Category : Corporations
ISBN : 1269591061

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Financial Risk Manager (FRM). by Global Association of Risk Professionals Pdf

Author : Anthony Tarantino
Publisher : John Wiley & Sons
Page : 202 pages
File Size : 53,8 Mb
Release : 2010-12-01
Category : Business & Economics
ISBN : 9780470946350

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Essentials of Risk Management in Finance by Anthony Tarantino Pdf

A concise and and easy to follow introduction to financial risk management This basic survey text offers an accessible introduction to financial risk management, covered in its major components: credit, market, operational, liquidity, legal, and reputational, along with user-friendly processes and tools to conduct your own risk assessments and risk alignments. While there are some mathematical concepts included, these are kept at levels everyone will find easy to grasp. Provides a comprehensive overview of financial risk management, including credit, market, operational, liquidity, legal, and reputational risk areas Discusses the latest trends and next generation techniques emerging in financial risk management Provides risk assessment and risk alignment tools and examples This book offers a good basic understanding of the major areas of risk exposure that all organizations, both public and private, face in operating in today's complex global marketplace. It provides insights into best practices and next generation techniques for readers entering government, not-for-profit, business, and IT positions in which risk management will play an ever expanding role.

Author : GARP (Global Association of Risk Professionals)
Publisher : John Wiley & Sons
Page : 140 pages
File Size : 50,8 Mb
Release : 2008-11-10
Category : Business & Economics
ISBN : 9780470421901

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Foundations of Energy Risk Management by GARP (Global Association of Risk Professionals) Pdf

GARP's Fundamentals of Energy Risk Management introduces investors to the basic components and some of the basic terminology used in the energy industry. It covers the commodity cycle, energy use and sources, and various risk types, various energy products and the markets where energy is traded. It also introduces certain risk management fundamentals and real option thinking. The book is GARP's required text used by risk professionals looking to obtain their Certificate in Energy Risk Management.

Author : Terje Aven
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 48,8 Mb
Release : 2004-01-09
Category : Mathematics
ISBN : 9780470871232

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Foundations of Risk Analysis by Terje Aven Pdf

Everyday we face decisions that carry an element of risk and uncertainty. The ability to analyse, communicate and control the level of risk entailed by these decisions remains one of the most pressing challenges to the analyst, scientist and manager. This book presents the foundational issues in risk analysis ? expressing risk, understanding what risk means, building risk models, addressing uncertainty, and applying probability models to real problems. The principal aim of the book is to give the reader the knowledge and basic thinking they require to approach risk and uncertainty to support decision making. Presents a statistical framework for dealing with risk and uncertainty. Includes detailed coverage of building and applying risk models and methods. Offers new perspectives on risk, risk assessment and the use of parametric probability models. Highlights a number of applications from business and industry. Adopts a conceptual approach based on elementary probability calculus and statistical theory. Foundations of Risk Analysis provides a framework for understanding, conducting and using risk analysis suitable for advanced undergraduates, graduates, analysts and researchers from statistics, engineering, finance, medicine and the physical sciences, as well as for managers facing decision making problems involving risk and uncertainty.

Author : Susan M. Mangiero
Publisher : John Wiley & Sons
Page : 296 pages
File Size : 47,9 Mb
Release : 2005
Category : Business & Economics
ISBN : CORNELL:31924099492484

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Risk Management for Pensions, Endowments, and Foundations by Susan M. Mangiero Pdf

This is a non-technical primer about the risk management process for endowments, foundations and pension funds. The book goes beyond coverage of the risk-return characteristics of derivative instruments to provide decision-makers with practical information.

Author : H. Kent Baker,Greg Filbeck
Publisher : Oxford University Press
Page : 736 pages
File Size : 43,8 Mb
Release : 2014-12-03
Category : Business & Economics
ISBN : 9780190214081

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Investment Risk Management by H. Kent Baker,Greg Filbeck Pdf

All investments carry with them some degree of risk. In the financial world, individuals, professional money managers, financial institutions, and many others encounter and must deal with risk. Risk management is a process of determining what risks exist in an investment and then handling those risks in the best-suited way. This is important because it can reduce or augment risk depending on the goals of investors and portfolio managers. The main purpose of Investment Risk Management is to provide an overview of developments in risk management and a synthesis of research involving these developments. The book examines ways to alter exposures through measuring and managing those exposures and provides an understanding of the latest strategies and trends within risk management. The scope of the coverage is broad and encompasses the most important aspects of investment risk management. Its 30 chapters are organized into six sections: (1) foundations of risk management, (2) types of risk, (3) quantitative assessment of risk, (4) risk and risk classes, (5) hedging risk and (6) going forward. The book should be of particular interest to sophisticated practitioners, investors, academics, and graduate finance students. Investment Risk Management provides a fresh look at this intriguing but complex subject.

Author : Arthur L. Flitner
Publisher : Unknown
Page : 128 pages
File Size : 50,9 Mb
Release : 2018
Category : Electronic
ISBN : 0894622242

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Foundations of Risk Management and Insurance by Arthur L. Flitner Pdf

Author : Andrea Sironi,Andrea Resti
Publisher : John Wiley & Sons
Page : 820 pages
File Size : 46,6 Mb
Release : 2007-05-21
Category : Business & Economics
ISBN : 9780470029787

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Risk Management and Shareholders' Value in Banking by Andrea Sironi,Andrea Resti Pdf

This book presents an integrated framework for risk measurement, capital management and value creation in banks. Moving from the measurement of the risks facing a bank, it defines criteria and rules to support a corporate policy aimed at maximizing shareholders' value. Parts I - IV discuss different risk types (including interest rate, market, credit and operational risk) and how to assess the amount of capital they absorb by means of up-to-date, robust risk-measurement models. Part V surveys regulatory capital requirements: a special emphasis is given to the Basel II accord, discussing its economic foundations and managerial implications. Part VI presents models and techniques to calibrate the amount of economic capital at risk needed by the bank, to fine-tune its composition, to allocate it to risk-taking units, to estimate the "fair" return expected by shareholders, to monitor the value creation process. Risk Management and Shareholders' Value in Banking includes: * Value at Risk, Monte Carlo models, Creditrisk+, Creditmetrics and much more * formulae for risk-adjusted loan pricing and risk-adjusted performance measurement * extensive, hands-on Excel examples are provided on the companion website www.wiley.com/go/rmsv * a complete, up-to-date introduction to Basel II * focus on capital allocation, Raroc, EVA, cost of capital and other value-creation metrics

Author : Michael Frenkel,Ulrich Hommel,Markus Rudolf
Publisher : Springer Science & Business Media
Page : 892 pages
File Size : 41,8 Mb
Release : 2004-11-23
Category : Business & Economics
ISBN : 3540226826

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Risk Management by Michael Frenkel,Ulrich Hommel,Markus Rudolf 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.

Author : Yuji Aruka,Alan Kirman
Publisher : Springer
Page : 277 pages
File Size : 47,6 Mb
Release : 2017-09-25
Category : Business & Economics
ISBN : 9789811057052

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Economic Foundations for Social Complexity Science by Yuji Aruka,Alan Kirman Pdf

This book focuses on how important massive information is and how sensitive outcomes are to information. In this century humans now are coming up against the massive utilization of information in various contexts. The advent of super intelligence is drastically accelerating the evolution of the socio-economic system. Our traditional analytic approach must therefore be radically reformed in order to adapt to an information-sensitive framework, which means giving up myopic purification and the elimination of all considerations of massive information. In this book, authors who have shared and exchanged their ideas over the last 20 years, offer thorough examinations of the theoretical–ontological basis of complex economic interaction, econophysics, and agent-based modeling during the last several decades. This book thus provides the indispensable philosophical-scientific foundations for this new approach, and then moves on to empirical–epistemological studies concerning changes in sentiments and other movements in financial markets.

Author : Joseph T. Mahoney
Publisher : SAGE
Page : 273 pages
File Size : 53,9 Mb
Release : 2005
Category : Business & Economics
ISBN : 9781412905435

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Economic Foundations of Strategy by Joseph T. Mahoney Pdf

The theoretical foundations of management strategy are identified and outlined in this text. Five theories are considered in the light of questions about how organisations operate efficiently, cost minimization, wealth creation, individual self-interest, and continued growth.