A Word of Greeting V
Preface VII
Part 1: Bank Risk Management
Basel II and the Effects on the Banking Sector 3
Thomas Hartmann-Wendels, Peter Grundke and Wolfgang Sprk
Conflictsof Interest and Market Discipline in Financial Services Firms 25
Ingo Walter
Risk Management and Value Creation in Banks 53
Gerhard Schrck and Manfred Steiner
The New Basel Capital Accord 79
Claudia Holtorf, Matthias Muck, and Markus Rudolf
Value at Risk:
Regulatory and Other Applications, Methods, and Criticism 99
Alois Paul Knobloch
Parsimonious Value at Risk for Fixed Income Portfolios 125
John F. O. Bilson
Risk Budgeting with Value at Risk Limits 143
Robert Hrtl and Lutz Johanning
Value at Risk, Bank Equity and Credit Risk 159
Jack E. Wahl and Udo Broll
Parametric and Nonparametric Estimation of Conditional
Return Expectations 169
Wolfgang Drobetz and Daniel Hoechle
Credit Risk Portfolio Modeling: An Overview 197
Ludger Overbeck
Evaluating Credit Risk Models 219
Hergen Frerichs and Mark Wahrenburg
Estimation of Default Probabilities and Default Correlations 239
Stefan Huschens, Konstantin Vogl, and Robert Wania
Managing Investment Risks of Institutional Private
Equity Investors C The Challenge of Illiquidity 259
Christoph Kaserer, Niklas Wagner and Ann-Kristin Achleitner
XII Brief Table of Contents
Assessment of Operational Risk Capital 279
Carol Alexander
Operational Risk: The Management Perspective 303
Wilhelm Kross
Part 2: Insurance Risk Management
Catastrophic Events as Threats to Society:
Private and Public Risk Management Strategies 321
Martin Nell and Andreas Richter
New Approaches to Managing Catastrophic Insurance Risk 341
Ulrich Hommel and Mischa Ritter
Alternative Risk Transfer 369
Christopher L. Culp
The Challenge of Managing Longevity Risk 391
Petra Riemer-Hommel and Thomas Trauth
Asset/Liability Management of German Life Insurance Companies:
A Value-at-Risk Approach in the Presence of Interest Rate Guarantees 407
Peter Albrecht and Carsten Weber
Part 3: Corporate Risk Management
Risk Management, Corporate Governance and the Public Corporation 423
Fred R. Kaen
Integrating Corporate Risk Management 437
Christian Laux
Value-Based Motives for Corporate Risk Management 455
Ulrich Hommel
Value-based Corporate Risk Management 479
Werner Gleiner
Statutory Regulation of the Risk Management Function in Germany:
Implementation Issues for the Non-Financial Sector 495
Jrgen Weber and Arnim Liekweg
A Comprehensive Approach to the Measurement of
Macroeconomic Exposure 513
Lars Oxelheim and Clas Wihlborg
Foreign-Exchange-Risk Management in German
Non-Financial Corporations: An Empirical Analysis 537
Martin Glaum
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