Risk management technology in financial services risk control, stress testing, models, and IT systems and structures
Written for professionals in financial services with responsibility for IT and risk management, Dimitris Chorafas surveys the methodology required and IT systems and structures to support it according to Basel II. The book is consistent with the risk management certification process of GARP, as well...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Burlington, MA. ; Oxford :
Butterworth-Heinemann
2007.
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| Edición: | 1st ed |
| Colección: | Elsevier finance
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627239306719 |
Tabla de Contenidos:
- Front Cover; Risk Management Technology in Financial Services; Copyright Page; Table of Contents; Foreword; Preface; PART 1 Innovation, risk and return; Chapter 1 Innovation in finance; 1.1 Financial systems and innovation; 1.2 Laboratories for brilliant new ideas; 1.3 Challenging the obvious; 1.4 Strategic choices and unintended consequences; 1.5 Salient problems and management decisions; 1.6 Business leadership; 1.7 Information technology. Does it really matter?; Chapter 2 What is meant by risk management?; 2.1 Risk and risk factors; 2.2 Risk management
- 2.3 Types of risk and their transparency 2.4 Board of directors and risk organization; 2.5 Internal control. The feedback channel; 2.6 Auditing and risk management; Chapter 3 Complexity of risk control with derivatives; 3.1 Derivatives defined; 3.2 Derivatives exposure; 3.3 110 trillion in notional principal amount; 3.4 Derivative instruments for credit risk transfer; 3.5 Proactive risk management; 3.6 Levels of inspection, demodulation and stress testing; 3.7 Effective management control starts at the top; Chapter 4 Integrating risk management through an enterprise architecture
- 4.1 Choosing a risk-based architecture 4.2 Funding tactics. An enterprise risk management application; 4.3 Developing an integrated risk management system; 4.4 End-to-end architectural solutions; 4.5 Integrating stress testing into enterprise risk management; 4.6 The importance of the human component should never be underrated; Chapter 5 Case studies on big product problems that went unattended; 5.1 The role of character in the control of risk; 5.2 British Petroleum. Pipeline risk; 5.3 Telecom Italia. Political risk; 5.4 Ford and General Motors. Management risk
- 5.5 EADS. Management risk European style 5.6 The product problems of Long-Term Capital Management; 5.7 Legal risk embedded in financial products; PART 2 Risk control methodology and advanced models; Chapter 6 A methodology for risk management; 6.1 The sense of having a methodology; 6.2 Applying the physicist's method; 6.3 Dissent, negation and reconstruction; 6.4 Credit risk methodology. A practical example; 6.5 A methodology for integrated risk control; 6.6 Organization and structure for risk management; Chapter 7 The contribution of models to experimentation; 7.1 Introduction
- 7.2 The development of mathematical science 7.3 Abstraction, analysis, signs and rules; 7.4 Notion of a mathematical system; 7.5 Modelling discipline and analytics; 7.6 From classical testing to stress testing; 7.7 Anomalies and asymmetries; Chapter 8 Simulation; 8.1 Introduction; 8.2 The art of simulation; 8.3 The Monte Carlo method; 8.4 Practical applications of Monte Carlo; 8.5 Simulation studies and system engineering; 8.6 Simulation's deliverables; Chapter 9 Using knowledge engineering for risk control; 9.1 Knowledge engineering, object knowledge and metaknowledge
- 9.2 Errors and uncertainty can be both friend and foe
