The Known, the Unknown, and the Unknowable in Financial Risk Management

Measurement and Theory Advancing Practice
1. Auflage 2010
ISBN: 978-0-691-12883-2
Verlag: Princeton University Press

Buch, Englisch, 390 Seiten, Format (B × H): 161 mm x 240 mm, Gewicht: 823 g

A clear understanding of what we know, don't know, and can't know should guide any reasonable approach to managing financial risk, yet the most widely used measure in finance today--Value at Risk, or VaR--reduces these risks to a single number, creating a false sense of security among risk managers, executives, and regulators. This book introduces a more realistic and holistic framework called KuU--the Known, the unknown, and the Unknowable--that enables one to conceptualize the different kinds of financial risks and design effective strategies for managing them. Bringing together contributions by leaders in finance and economics, this book pushes toward robustifying policies, portfolios, contracts, and organizations to a wide variety of KuU risks. Along the way, the strengths and limitations of "quantitative" risk management are revealed. In addition to the editors, the contributors are Ashok Bardhan, Dan Borge, Charles N. Bralver, Riccardo Colacito, Robert H. Edelstein, Robert F. Engle, Charles A. E. Goodhart, Clive W. J. Granger, Paul R. Kleindorfer, Donald L. Kohn, Howard Kunreuther, Andrew Kuritzkes, Robert H. Litzenberger, Benoit B. Mandelbrot, David M. Modest, Alex Muermann, Mark V. Pauly, Til Schuermann, Kenneth E. Scott, Nassim Nicholas Taleb, and Richard J. Zeckhauser.Introduces a new risk-management paradigm Features contributions by leaders in finance and economics Demonstrates how "killer risks" are often more economic than statistical, and crucially linked to incentives Shows how to invest and design policies amid financial uncertainty

Autoren/Hrsg.

Diebold, Francis X.

Doherty, Neil A.

Herring, Richard J.

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing

Inhaltsverzeichnis

Preface vii
Chapter 1: Introduction by Francis X. Diebold, Neil A. Doherty, and Richard J. Herring 1
Chapter 2: Risk: A Decision Maker's Perspective by Sir Clive W. J. Granger 31
Chapter 3: Mild vs. Wild Randomness: Focusing on Those Risks That Matter by Benoit B. Mandelbrot and Nassim Nicholas Taleb 47
Chapter 4: The Term Structure of Risk, the Role of Known and Unknown Risks, and Nonstationary Distributions by Riccardo Colacito and Robert F. Engle 59
Chapter 5: Crisis and Noncrisis Risk in Financial Markets: A Unified Approach to Risk Management by Robert H. Litzenberger and David M. Modest 74
Chapter 6: What We Know, Don't Know, and Can't Know about Bank Risk: A View from the Trenches by Andrew Kuritzkes and Til Schuermann 103
Chapter 7: Real Estate through the Ages: The Known, the Unknown, and the Unknowable by Ashok Bardhan and Robert H. Edelstein 145
Chapter 8: Reflections on Decision-making under Uncertainty by Paul R. Kleindorfer 164
Chapter 9: O n the Role of Insurance Brokers in Resolving the Known, the Unknown, and the Unknowable by Neil A. Doherty and Alexander Muermann 194
Chapter 10: Insuring against Catastrophes by Howard Kunreuther and Mark V. Pauly 210
Chapter 11: Managing Increased Capital Markets Intensity: The Chief Financial Officer's Role in Navigating the Known, the Unknown, and the Unknowable by Charles N. Bralver and Daniel Borge 239
Chapter 12: The Role of Corporate Governance in Coping with Risk and Unknowns by Kenneth E. Scott 277
Chapter 13: Domestic Banking Problems by Charles A. E. Goodhart 286
Chapter 14: Crisis Management: The Known, The Unknown, and the Unknowable by Donald L. Kohn 296
Chapter 15: Investing in the Unknown and Unknowable by Richard J. Zeckhauser 304
List of Contributors 347
Index 359

Über Autor(innen)

Francis X. Diebold is the Paul F. and E. Warren Shafer Miller Professor of Economics at the University of Pennsylvania and professor of finance and statistics at the university's Wharton School. Neil A. Doherty is the Frederick H. Ecker Professor of Insurance and Risk Management at the Wharton School. Richard J. Herring is the Jacob Safra Professor of International Banking and professor of finance at the Wharton School.