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The Essentials of Risk Management, Second Edition, 2nd Edition

Book Description

The definitive guide to quantifying risk vs. return--fully updated to reveal the newest, most effective innovations in financial risk management since the 2008 financial crisis

Written for risk professionals and non-risk professionals alike, this easy-to-understand guide helps you meet the increasingly insistent demand to make sophisticated assessments of companies' risk exposure. It provides the latest methods for:

  • Measuring and transferring credit risk
  • Increasing risk-management transparency
  • Implementing an organization-wide Enterprise risk Management (ERM) approach

Michel Crouhy is head of research and development at NATIXIS and the founder and president of the NATIXIS Foundation for Quantitative Research.
Dan Galai is the Abe Gray Professor of Finance and Business Administration at the School of Business Administration, the Hebrew University in Jerusalem.
Robert Mark is the Founding Chief Executive Officer of Black Diamond Risk which provides corporate governance, risk management consulting, risk software tools, and transaction services.

Table of Contents

  1. Cover
  3. Copyright Page
  5. Foreword
  6. Foreword
  7. Introduction to the Second Edition: Reforming Risk Management for the Post-Crisis Era
  8. 1. Risk Management: A Helicopter View
    1. 1.1 Typology of Risk Exposures
  9. 2. Corporate Risk Management: A Primer
  10. 3. Banks and Their Regulators: The Post-Crisis Regulatory Framework
    1. 3.1 Basel I
    2. 3.2 The 1996 Market Risk Amendment
    3. 3.3 Basel II and Minimum Capital Requirements for Credit Risk
    4. 3.4 Basel 2.5: Enhancements to the Basel II Framework
    5. 3.5 Contingent Convertible Bonds
  11. 4. Corporate Governance and Risk Management
  12. 5. A User-Friendly Guide to the Theory of Risk and Return
  13. 6. Interest Rate Risk and Hedging with Derivative Instruments
  14. 7. Measuring Market Risk: Value-at-Risk, Expected Shortfall, and Similar Metrics
  15. 8. Asset/Liability Management
  16. 9. Credit Scoring and Retail Credit Risk Management
  17. 10. Commercial Credit Risk and the Rating of Individual Credits
    1. 10.1 Definitions of Key Financial Ratios
  18. 11. Quantitative Approaches to Credit Portfolio Risk and Credit Modeling
    1. 11.1 The Basic Idea of the Reduced Form Model
  19. 12. The Credit Transfer Markets—and Their Implications
    1. 12.1 Why the Rating of CDOs by Rating Agencies Was Misleading
  20. 13. Counterparty Credit Risk: CVA, DVA, and FVA
  21. 14. Operational Risk
  22. 15. Model Risk
  23. 16. Stress Testing and Scenario Analysis
    1. 16.1 The 2013 Dodd-Frank Severely Adverse Scenarios
  24. 17. Risk Capital Attribution and Risk-Adjusted Performance Measurement
  25. Epilogue: Trends in Risk Management
  26. Index