Risk Management: Challenge and Opportunity

Front Cover
Michael Frenkel, Ulrich Hommel, Markus Rudolf
Springer Science & Business Media, Dec 6, 2005 - Business & Economics - 838 pages
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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.

 

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Contents

and the Effects on the Banking Sector
3
and the Effects on the Banking Sector
15
Consequences of Basel II
19
Conflicts of Interest and Market Discipline in Financial Services Firms
25
Risk Management and Value Creation in Banks 53
54
Risk Management and Value Creation in Banks 53
55
The New Basel Capital Accord
79
Regulatory and Other Applications Methods and Criticism
99
The Challenge of Managing Longevity Risk
391
Risk Management Corporate Governance and the Public Corporation
423
Integrating Corporate Risk Management
437
ValueBased Motives for Corporate Risk Management 455
456
ValueBased Motives for Corporate Risk Management 455
457
Valuebased Corporate Risk Management
479
A Comprehensive Approach to the Measurement
513
A Comprehensive Approach to the Measurement
515

Parsimonious Value at Risk for Fixed Income Portfolios
125
Risk Budgeting with Value at Risk Limits
143
Value at Risk Bank Equity and Credit Risk 159
160
Value at Risk Bank Equity and Credit Risk 159
161
Parametric and Nonparametric Estimation of Conditional
169
An Overview
197
Evaluating Credit Risk Models
219
Estimation of Default Probabilities and Default Correlations
239
Managing Investment Risks of Institutional Private
259
Assessment of Operational Risk Capital 279
280
The Management Perspective
303
New Approaches to Managing Catastrophic Insurance Risk
341
Alternative Risk Transfer
369
ForeignExchangeRisk Management in German
537
Real Options and Financial Hedging
591
The Real Option Value of Operational and Managerial Flexibility
609
Was Enrons Business Model Fundamentally Flawed?
671
Convergence of Supply Chain Management
699
Management 721
722
Management 721
723
Economic Risks of EMU
741
Does Risk Management Make Financial Markets Riskier?
765
Revitalization of Japanese Banks Japans Big Bang Reform
800
Revitalization of Japanese Banks Japans Big Bang Reform
803
Authors
821
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