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【2002】Risk Management: The State of the Art

Book 图书名称： Risk Management: The State of the Art
Author 作者： Anil Bangia, Francis X. Diebold, Til Schuermann, John D. Stroughair (auth.), Stephen Figlewski, Richard M. Levich
Publisher 出版社： Springer US
Page 页数：219
Publishing Date 出版时间： 2002
Language 语言： English
Size 大小： 6 MB
Format 格式： pdf 文字版
ISBN: 978-1-4613-5241-9, 978-1-4615-0791-8
Edition: 第1版 搜索过论坛，没有该文档

Very often, we associate the dawn of modern financial theory with Harry Markowitz who in the 1950s introduced the formal mathematics of probability theory to the problem of managing risk in an asset portfolio. The 1970s saw the advent of formal models for pricing options and other derivative contracts, whose primary purpose was also financial risk management and hedging. But events in the 1990s made it clear that effective risk management is a critical element for success, and indeed, for long term survival, not only for financial institutions, but also for industrial firms, and even for nonprofit organizations and governmental bodies. These recent events vividly show that the world is filled with all manner of risks, and so risk management must extend far beyond the use of standard derivative instruments in routine hedging applications.
The articles in this volume cover two broad themes. One theme emphasizes methods for identifying, modeling, and hedging specific types of financial and business risks. Articles in this category consider the technology of risk measurement, such as Value at Risk and extreme value theory; new classes of risk, such as liquidity risk; new financial instruments and markets for risk management, such as derivative contracts based on weather and on catastrophic insurance risks; and finally, credit risk, which has become one of the most important areas of practical interest for risk management. The second theme stresses risk management from the perspective of the firm and the financial system as a whole. Articles in this category analyze risk management in the international arena, including payment and settlement risks and sovereign risk pricing, risk management from the regulator's viewpoint, and risk management for financial institutions. The articles in this volume examine the "State of the Art" in risk management from the standpoint of academic researchers, market analysts and practitioners, and government observers.

== Table of contents ==
Front Matter....Pages i-xxi
Front Matter....Pages 1-1
Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management....Pages 3-13
Credit Risk Capital: More than One Way to Guard a Guarantee....Pages 15-25
Qualitative & Quantitative Derivatives Risk Management....Pages 27-34
Remarks on the Legal Risks of Derivatives....Pages 35-36
The Evolving Market for Catastrophic Event Risk....Pages 37-65
Industrial Risk Management with Weather Derivatives....Pages 67-78
Designing and Pricing New Instruments for Insurance and Weather Risks....Pages 79-85
Measuring Credit Risk: The Credit Migration Approach Extended for Credit Derivatives....Pages 87-110
The Y2K Enigma....Pages 111-119
Front Matter....Pages 121-121
Payment and Settlement Risks in International Financial Markets....Pages 123-127
Risk, Regimes, and Overconfidence....Pages 129-144
The Bi-Currency Balance Sheet Model of Latent Currency Risk....Pages 145-162
Does Contagion Exist?....Pages 163-166
An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings....Pages 167-186
Hedge Fund Transparency is no Silver Bullet!....Pages 187-200
Capital Adequacy in Financial Institutions: Basel Proposals....Pages 201-205
Risk Management: Where Are We Heading? Where Have We Been?....Pages 207-213
Back Matter....Pages 215-219


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