Frenkel / Hommel / Rudolf Risk Management

Challenge and Opportunity
2000
ISBN: 978-3-662-04008-9
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 415 Seiten, eBook

Dealing with all aspects of risk management that have undergone significant innovation in recent years, this book 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. The emphasis is placed on highlighting the link between the academic literature and practical issues related to the organization of the risk management function.

Zielgruppe

Professional/practitioner

Autoren/Hrsg.

Frenkel, Michael

Hommel, Ulrich

Rudolf, Markus

Inhaltsverzeichnis

A Word of Greeting.- Professor Dufey`s Career Contributions.- Preface.- Expanding the Focus of Risk Management: I. Harper, J. Keller, C. Pfeil: Does Risk Management Make Financial Markets Riskier?.- Introduction.- Market Risk as a Regulatory Concern.- The Measurement of Market Risk.- Some Empirical Results on Volatility in Major Stock Markets.- Conclusion.- I. Walter: The Relevance and Management of Reputation Risk in the Global Securities Industry.- Performance Benchmarks.- Between Values and Expectations.- Between Expectations and Public Policy.- Management`s High-Wire Act.- Pricing Reputation Risk: An Example.- Managing Reputation Risk.- What Can be Done?.- Balancing the Pieces.- U. Hommel: Managing Catastrophic Risk with Financial Instruments.- Introduction.- CAT-Linked Securities - A New Asset Class.- Traditional and ART-Based CAT Reinsurance.- Optimizing the Issuer`s Risk Portfolio.- Hedging Strategies with CAT-Linked Securities.- Valuation Issues.- Concluding Remarks.- C. Geyer, W. Seifert: Introducing New Risk Classes to Organized Exchanges: The Case of Electricity Derivatives.- Introduction.- Building on New Paradigms.- New Risk Classes in Electricity.- Price Discovery: Reshaping the Power Industry.- Transfer to Other Risk Classes.- P. Riemer-Hommel, T. Trauth: Challenges and Solutions for the Management of Longevity Risk.- Introduction.- Establishing the Relevance of Longevity Risk to the Insurance Industry.- Economic Reasons for the (Re)insurance Gap.- Possible Solutions for Longevity Risk (Re)insurance.- Conclusions.- Risk Measurement Issues: A. Tschoegl: The Key to Risk Management: Management.- Introduction.- Some Examples of Financial Debacles.- Conceptualizing Debacles and their Prevention.- C. Holtorf, M. Rudolf: Market Risk: Benchmark and Standard Model.- Introduction.- VaR Calculation.- Regulatory Reporting, VaR, and Capital Requirement.- Internal vs. Standard Model.- Summary and Outlook.- F. Rehm, M. Rudolf: KMV Credit Risk Modeling.- Introduction.- Option Pricing and the Market Value of the Assets.- EDF Calculation.- KMV Credit Monitor Compared to Agency Ratings.- KMV Portfolio Manager.- Summary.- W. Eisele, A. Knobloch: Value at Risk: Tool for Managing Trading Risks.- The Concept of Value at Risk and its Role in Contemporary Risk Management.- Calculating Value at Risk: Methods and Inherent Sources of Inaccuracy.- Risk Reduction and Capital Allocation within a Value at Risk Framework.- Shortcoming of Value at Risk as a Measure of Risk.- Conclusions.- A. Huchzermeier: The Real Option Value of Operational and Managerial Flexibility in Global Supply Chain Networks.- Introduction.- The Benefit of Operational Flexibility.- The Option Value of Managerial Flexibility.- Summary.- K. Brockhoff: Problems of Evaluating R&D Projects as Real Options.- A Sketch of Developments Towards R&D Project Evaluation.- R&D Projects as Options.- Conclusion.- J. Wahl, U. Broll: Financial Hedging and Banks` Assets and Liabilities Management.- Introduction.- Bank Hedging and Interest Rate Risk.- Assets and Liabilities Management without Hedging.- Assets and Liabilities Management with Hedging.- Welfare and the Value of Hedging.- Concluding Remarks.- Regulatory Issues: A. Jain: Governance of Global Financial Markets: Risk of Hubris.- We are Rational People - More or Less?.- Good Guys Like Us Would Never Do That!.- Concluding Remarks.- F. Kaen: Risk Management, Corporate Governance, and the Modern Corporation.- Introduction.- 'Scientific' Theoretical Perspective on Risk Management.- From Theory to Practice: Why Firms Should Manage Risk.- Back to Berle and Means.- Summary and Conclu