《RISK MANAGEMENT A MODERN PERSPECTIVE》求取 ⇩

SECTION I Enterprise Risk Management1

1: Managing risk across the enterprise : challenges and benefits3

I Risk Management in Context4

II Value Proposition ERM6

III ERM Framework and Implementation10

IV Key Challenges and Issues15

V The Future for ERM16

2: Asset and liability management from an enterprise-wide risk management perspective21

I Learning the Hard way: Breaking down Barriers in Risk Management Functions22

II The Jarrow-Merton Put Option as a Comprehensive Measure of Total Risk24

III Extracting Business Risk and Default Risk from Options Prices: The Citigroup Example25

IV Total Risk As Measured by Reduced Form Credit Models33

V Enhancing ALM’s Contribution to Integrated Risk Management36

SVI ummary and Conclusions37

3: Enterprise risk management in the energy and power industry41

I Introduction42

II Observations on the Energy and Power Market Landscape44

III Modeling and Measurement Methodologies,Benchmarks,and Objectives49

IV Restoration of Confidence and solidification of Risk Management Practices56

4: ERM strategies for investors59

I Introduction60

II ERM Goes Mainstream60

III ERM Strategies for Investors61

IV Sucessful ERM for Investors62

V Current challenges in ERM for Investors64

SECTION II Risk Optimization67

5: Risk budgeting as a strategic tool for pension plans69

I What is Risk Budgeting?70

II the Risk Budgeting Process for Pension Plans72

III The Tools of Risk Budgeting74

IV Conclusions82

6: Advanced risk budgeting techniques89

I Introduction90

II What is Risk Budgeting?91

III Risk Attribution97

IV Risk Alocation100

V Extensions and New Developments105

7: Hedge fund investing113

I Introduction114

Investing for Absolute Returns: From Beta to alpha116

III Salient Features and Myths118

IV The Risk Manager’s Roadmap to Paradigm Pitfalls123

V Sharper RAPMs for the New Paradigm: From Omega to AORAP132

VI Paradigm Risk Measures135

VII Asset Allocation and Hedge funds139

VIII Conclusions141

8: The hedge fund paradigm145

I Introduction146

II Hedge funds Biotope,Regulatory Environment,and Fee Structure148

III Hedge Fund Styles151

IV Measuring and Managing Hedge Fund Risks158

V Conclusions177

SECTION III Risk Modeling181

9: Retrospective assessment of value at risk183

I Introduction184

II Model Risk184

III Back-Testing VaR Models188

IV Conclusions201

10: New challenges in credit risk modeling and measurement203

I Introduction204

II Risk types205

III Credit Demand: Products and Modeling Issues210

IV Defining Key Credit Concepts220

V Modeling Corporate credit225

11: Estimating parameters required for credit risk modeling235

I Introduction236

II Default Risk237

III Exposure at Default242

IV Loss Given Default245

V Correlations249

12: Determining loss given default and transaction ratings in collateralized lending with obligor-collateral correlation253

I Introduction and Motivation254

II Expected Loss as a Put Option256

III The Model258

IV Model Inputs and Parameters262

V Using the Expected LGD to Obtain Transaction Rating264

VI Calibrationg267

VII Risk Sensitivities269

VIII Conclusions270

IX Addendum: Calculation of K271

13: Modeling correlation risk273

I Introduction274

II The Link Between the Interest Rate Swap Spread and time-Varying Correlation274

III An Empirical Model of time-Varying Correlations278

IV Conclusions291

14: Developing a framework for operational risk analytics295

I Database Modeling296

II Measuring Operational Risk298

III Framework Integration306

15: An analysis of value and risk : the ProcterGamble-bankers trust case309

I Introduction310

II Literature Review and Our Contribution312

III The 5/30 Option and Associated spreads314

IV Fair Value for Politions in the 5/30 Options and Spreads317

V Market Risk Analysis328

VI Conclusions329

VII Appendix: Margrabe Model Valuation of 5/30 Option331

SECTION IV Risk Integration339

16: Integration of credit and market risk341

I Introduction342

II Top-Down Approach343

III Bottom-Up Approach351

IV Volatile Exposure355

V Exact formulation359

VI Dependency Concepts360

VII Further Extensions361

VIII Conclusions363

17: Mathematical framework for integrating market and credit risk367

I Introduction368

II Risk Measures369

III Market and Credit Risk373

IV Regulatory Environment379

V risk Management383

VI Conclusions386

Appendix: Transition and Generator Matrix388

18: Integration of operational risk management and the Sarbanes-Oxley act section 404391

I Introduction392

II Sarbanes-Oxley Act of 2002393

III Sarbanes-Oxley section 404394

IV COSO Internal Control Integrated Framework395

V Sarbanes-Oxley roles and responsibilities398

VI Operationa risk Management Framework400

VII Operationa risk Management Roles and Responsibilities401

VIII Common Elements of Sarbanes-Oxley Act Section 404 and Operational Risk Management404

IX Technology as an Enabler407

Conclusions: Benefits of an Integrated approach410

SECTION V Capital Allocation413

19: Capital allocation using risk management tools415

I Introduction416

II From Book Capital to Risk Capital416

III Conceptual Definition of Economic Capital417

IV Economic Capital as a Departure from Standard Corporate Finance419

V Modeling of Risk as a Prerequisite for Appropriate Economic Capital Allocation: What Are the types of Risk to be Modeled?422

VI Broad Types of Economic Capital Models425

VII Capital Allocation to Business Units427

IX Risk-Adjusted Performance: Economic Capital and Shareholdr Value Creation428

X economic Capital As the cornerstone of Enterprise Risk Management430

20: Risk capital attribution and risk-adjusted performance measurement433

I What Purpose does Risk Capital Serve?434

II Emerging Uses of Risk Capital Numbers435

III RAROC Risk-Adjusted Return on Capital437

IV RAROC in Practice450

V Conclusions453

21: Aligning regulatory capital with economic capital455

I Introduction456

II Role of Regulatory Capital Requirements459

III Allocating Economic Capital Within a Portfolio of Assets461

IV Aligning the Two: Introduction to Basel II463

V Critical View476

Conclusions478

22: Aligning regulatory with economic capital : an alternative approach to risk weights according to basel II481

I Introduction482

II Asset Correlation484

III Maturity492

IV Diversitfication495

V Flexible Confidence Level500

VI Summary504

SECTION VI Risk Forecasting507

23: Forecasting extreme financial risk509

I Introduction510

II Methods for Modeling extreme risk512

III Overview of EVT Theory515

IV Applying EVT528

V Conclusions535

24: Measuring financial extremes537

I Introduction538

II A Brief,Recent History of Financial Risk Modeling539

III Extreme Value Statistics540

IV Point Processes548

25: The distribution of returns and risk forecasting557

I Introduction558

II A Simple Trading Model560

III A Volatility Forecasting Model563

IV The Return Forecasting Model566

V Risk Forecasting572

VI Conditional Expected Loss578

VII Concluding Comments580

26: Relevance of volatility forecasting in financial risk management583

I Introduction584

II Volatility and Volatility Forecast585

III Forecasting Volatility with Daily data592

IV Forecasting Volatility with High-Frequency Data593

V Volatility Processes595

VI An Empirical Comparison of the Forecasts599

VII conclusions602

27: The evolution of risk reporting607

I Introduction608

II Financial Risk609

III From Monolithi9c Risk Reporting Entities to Decomposed Risky Portfolios609

IV From Risk Exposure Measurement to Financial Risk Measurement610

V From Differential to Stochastic Financial Risk Measures616

VI From Default-Free to Credit-Oriented Risk Exposure Measures624

VII From Current to Future Financial Risk Measures and reporting628

28: Emerging trends in risk reporting633

I Introduction634

II Traditional risk Reporting Framework636

III Changing Role of Risk Management640

IV Regulatory Developments and Demands642

V Quantitative Tools and techniques644

VI Summary Implications for Risk reporting648

VII Conclusions649

SECTION VIII Bebavioral finance and Compensation System651

29: The role of behavioral finance in risk management653

I Intriduction654

II How Do People Perceive Risks?656

III How do People Perceive Probabilities?657

IV How do Investors Perceive Equity risk?658

VI How do Investors Perceive the Relationship Between Risk and Return?659

VII What Factors Determine People’s Attitudes Tjoward Risk?660

VIII How Important is Framing?663

IX What is Regret?664

XI How does Affect Cause Preference Reversal?665

XII How do Fear and Hope Influence Risk Tolerance?666

XIII How do Fear and Hope Influence Judgments About Value?671

XIV How do Investors Measure the Risk/Return Trade-off?672

XV How Effective ar Groups at Making Decisions?672

XVI Examples of Psychologically Induced Errors674

XVII Is Debiasing Possible?675

XVIII Conclusions675

30: "Buy on the rumor" and "sell on the news"677

In Introduction679

II BRSN Examples681

III BRSN Theory685

IV Complexity in the Markets685

V Collective Behavior and Market Anomalies687

VII Self-Regulation of Behavior689

VIII Affect and Decision Making691

IX Anticipation, Expectation, and Affect692

X Anticipation of Reward: BRSN Stage I693

XI Revelation: BRSN STAGEII695

XII Disappointment: BRSN STAGEIII697

XIII Event selection698

XIV Discussion698

31: Aligning compensation systems with risk management objectives703

I Introduction704

II Operational Risk, Farley’s Law, and Behavior705

III A typical Trading Desk Criteria Control System706

IV Generalized Problems with Objective systems706

V Dynamics of Authority Influence and the Impact on Risk708

High-Profile Misalignments of Incentives and Objectives709

VII The Perfect Storm: Joseph Jett and Kidder Peabody711

VIII The Role of the Risk Manager713

IX Mapping Employee Desired Behavior718

X The Risk Manager’s Dilemma720

XI Conclusions721

Index723