book

Corporate Risk Management

by Georges Dionne

April 2019

Intermediate to advanced

416 pages

14h 19m

English

Wiley

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GENERAL PRESENTATIONCONTENTS OF THE BOOKACKNOWLEDGMENTSGENERAL REFERENCES
1.1 HISTORY OF RISK MANAGEMENT1.2 MILESTONES IN FINANCIAL RISK MANAGEMENT1.3 CURRENT DEFINITION OF CORPORATE RISK MANAGEMENT1.4 CONCLUSIONREFERENCESNOTE
2.1 VALUE OF RISK MANAGEMENT2.2 COMPARATIVE ADVANTAGES IN RISK TAKING2.3 RISK MANAGEMENT AND CAPITAL STRUCTURE2.4 RISK MANAGEMENT AND MANAGERIAL INCENTIVES2.5 CONCLUSIONREFERENCES
3.1 BASIC MODEL3.2 ILLUSTRATION WITH THE STANDARD DEBT CONTRACT3.3 MODEL WITH TWO RANDOM VARIABLES3.4 CONCLUSIONREFERENCESAPPENDIX A: VALUE OF dI*/dwAPPENDIX B: STANDARD DEBT CONTRACTNOTES
4.1 RATIONALE FOR THE RESEARCH4.2 SIGNIFICANT DETERMINANTS4.3 GOVERNANCE AND ENDOGENEITY OF DEBT4.4 CONCLUSIONREFERENCESAPPENDIX: CONSTRUCTION OF THE TAX-SAVE VARIABLENOTES
5.1 EXAMPLE OF VaR5.2 NUMERICAL METHOD5.3 PARAMETRIC METHOD5.4 TAKING TIME PERIODS INTO CONSIDERATION5.5 CONFIDENCE INTERVAL OF THE VaR5.6 CVAR5.7 CONCLUSIONREFERENCES
6.1 OPTIMAL BENCHMARK PORTFOLIO OF THE FIRM6.2 OPTIMAL PORTFOLIO OF A CONSTRAINED MANAGER6.3 CONCLUSIONREFERENCESNOTE
7.1 VaR AS A RISK MEASURE7.2 MODELS WITHOUT DERIVATIVES7.3 VaR WITH OPTIONS7.4 BLACK AND SCHOLES MODEL AND RISK MANAGEMENT7.5 DELTA-GAMMA VaR7.6 VaR OF A GENERAL PORTFOLIO7.7 APPLICATION7.8 CONCLUSIONREFERENCESNOTES

8.1 MOTIVATION FOR CVAR AND COHERENCE IN RISK MEASURES8.2 NOTATION AND VaR8.3 DEFINITION OF CVaR8.4 ANOTHER WAY TO DERIVE CVAR WITH A RETURN DISTRIBUTION8.5 EXAMPLE WITH STUDENT'S T-DISTRIBUTION AND OTHER EXAMPLES8.6 CONCLUSION: CVAR IN BASEL REGULATIONREFERENCESNOTES
9.1 BASEL ACCORDS9.2 MARKET RISK REGULATION OF 19969.3 SPECIFIC RISKS9.4 TOTAL REQUIRED CAPITAL9.5 TESTS9.6 COMPARISON BETWEEN STANDARD AND INTERNAL METHODS WITH INTEREST RATE RISK9.7 CONCLUSIONREFERENCESNOTES
10.1 OPTIMAL FINANCIAL CONTRACTS AND MORAL HAZARD10.2 THEORETICAL MODEL10.3 EMPIRICAL APPLICATION TO AIR ACCIDENT RISK10.4 CONCLUSIONREFERENCESAPPENDIX A: SYNTHESIS OF FORMS OF FINANCIAL CONTRACTSAPPENDIX B: DEFINITIONS OF VARIABLESNOTES
11.1 SOME STATISTICS ABOUT VENTURE CAPITAL11.2 ROLE OF VENTURE CAPITAL FIRMS11.3 VENTURE CAPITAL FIRMS AND ADDED VALUE11.4 ROLE OF CONVERTIBLE DEBT11.5 INFORMATION ASYMMETRY AND VENTURE CAPITAL11.6 CONCLUSIONREFERENCESNOTES
12.1 THEORETICAL MODEL12.2 EMPIRICAL ANALYSIS12.3 CREDIT LINE AND LOAN DEFAULT12.4 CONCLUSIONREFERENCESNOTES
13.1 CREDITMETRICS13.2 REVIEW OF CHAPTERS 2 AND 3 OF CREDITMETRICS13.3 KMV APPROACH13.4 CALCULATION OF CORRELATIONS13.5 CONCLUSIONREFERENCESNOTES
14.1 CONTEXT AND PRESENTATION OF OPERATIONAL RISK14.2 MEASUREMENT OF REGULATORY CAPITAL14.3 CALCULATION OF REGULATORY CAPITAL FOR LOSSES OF OVER $1 MILLION (LDA)14.4 CONCLUSIONREFERENCESNOTES
15.1 THEORETICAL MODELING OF CDSS15.2 BOND YIELD SPREAD'S DEFAULT PORTION15.3 EMPIRICAL MEASUREMENT OF YIELD SPREADS' DEFAULT PORTION15.4 NON-DEFAULT PORTION OF YIELD SPREADS15.5 ILLIQUIDITY INDEX15.6 ILLIQUIDITY PREMIUM15.7 DATA15.8 PRINCIPAL COMPONENT ANALYSIS OF LIQUIDITY RISK15.9 EMPIRICAL ANALYSIS OF CREDIT CYCLES15.10 REGIME DETECTION MODEL15.11 DETECTION OF DEFAULT AND LIQUIDITY REGIMES15.12 CONCLUSIONREFERENCESNOTES
16.1 BRIEF HISTORY OF THE FUND16.2 RISK MANAGEMENT, VaR, AND REQUIRED CAPITAL16.3 PORTFOLIO OPTIMIZATION AND LEVERAGE EFFECT16.4 CONCLUSIONREFERENCESNOTE
17.1 STRUCTURED FINANCE17.2 POOR RISK MANAGEMENT LINKED TO THE STRUCTURED FINANCE MARKET17.3 CONCLUSIONREFERENCESAPPENDIX: HOW TO CREATE AN AAA CDO TRANCHE FROM BBB LOANSNOTE
18.1 ENRON AND CORPORATE GOVERNANCE18.2 FINANCIAL CRISIS AND CORPORATE GOVERNANCE18.3 NEW 2002 GOVERNANCE RULES18.4 RISK MANAGEMENT AND GOVERNANCE18.5 ADMINISTRATIVE COMPETENCE OF BOARD MEMBERS18.6 NEW REGULATION FOR FINANCIAL INSTITUTIONS18.7 ECONOMIC ANALYSIS OF GOVERNANCE EFFECT18.8 CONCLUSIONREFERENCESAPPENDIX A: GOVERNANCE OF CANADIAN FEDERAL FINANCIAL INSTITUTIONSAPPENDIX B: DETAILS ON THE CONSTRUCTION OF THE GOVERNANCE INDEXESAPPENDIX C: VARIABLESNOTE
19.1 ENTRY, PRODUCTION, AND HEDGING19.2 COMMITMENT TO HEDGING19.3 CONCLUSIONREFERENCES
20.1 REAL IMPLICATIONS OF CORPORATE RISK MANAGEMENT: A REVIEW20.2 METHODOLOGY20.3 US OIL PRODUCERS20.4 MULTIVARIATE RESULTS20.5 CONCLUSIONREFERENCESAPPENDIX: ESTIMATED MTEsNOTES
EXERCISE 1 PORTFOLIO CHOICE AND THE NOTION OF VALUE AT RISK (VAR)REFERENCEEXERCISE 2 BACKTESTING OF VaR MODELSREFERENCESEXERCISE 3 CALCULATION OF VR WITH DIFFERENT DISTRIBUTIONS AND ACCURACY OF VRREFERENCESEXERCISE 4 VR FOR AN EQUITY PORTFOLIO WITH OPTIONSEXERCISE 5 CVR CONDITIONAL VALUE AT RISKCONCLUSIONREFERENCENOTES
GENERAL REFERENCES

Content preview from Corporate Risk Management

Index

AAA CDO tranche, creation process, 269–270
A bonds, rating changes (joint probabilities), 201t
Absolute VaR, 332, 337
- representation, 75f
- value, calculation, 338
Accounting performance, 301
Account interest rate fluctuations, 125
Acquisition/MV, 48t
Acura Pharmaceuticals Inc. (ACUR) shares, long position, 363
Added value, 156
Administrative competence. See Board of directors
Administrative costs, 170
Advanced measurement approach (AMA), 209–210
Adverse selection, 8, 160
- generation, 167
- perception, 158–159
- problem, existence, 265
- reduction, 155
A firms, BBB firms (correlation), 196
Agency services (AS), 206
Air accident risk, empirical application, 144–148
Akaike information criterion (AIC), 217, 224
Algo OpData Quantitative Database, 212, 215
Allied Irish Bank, 208
Alpha parameter, 176
Alternative risk horizons
- mean-variance horizons, VaR (usage), 96t
- VaR, usage, 95t
American Finance Association (AFA), meeting, 3–4
American Insurance Group (AIG)
- bailout, 114
- bond default intensities, 246
American Risk and Insurance Association, birth, 4
Amihud illiquidity, 243
Amihud measure, 242–243
Amihud risk measure, 243
Anderson-Darling test, 218, 369
Anticipated costs, reduction, 41–43
Arbitrage Pricing Theory (APT), 80, 84
Arbitrage strategy, 257
Asset-backed commercial paper (ABCP), 246, 264, 276
- Canada case, 266
- tranching, 265
Asset management (AM), 207
Asset portfolio, VaR, 79
Assets
- beta coefficient, 82
- correlation coefficient, 332
- credit risk (calculation), ...