Corporate risk management : theories and applications

Corporate risk management theories and applications

An updated review of the theories and applications of corporate risk management After the financial crisis of 2008, issues concerning corporate risk management arose that demand new levels of oversight. Corporate Risk Management is an important guide to the topic that puts the focus on the corporate...

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Detalles Bibliográficos
Otros Autores: Dionne, Georges, author (author)
Formato: Libro electrónico
Idioma:Inglés
Publicado: Hoboken, New Jersey : Wiley [2019]
Edición:1st edition
Colección:Wiley finance series.
Materias:
Risk management.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009630743506719
Tabla de Contenidos:
  • Cover
  • Title Page
  • Copyright
  • Contents
  • Foreword
  • Introduction
  • General Presentation
  • Contents of the Book
  • Acknowledgments
  • General References
  • Chapter 1 Risk Management: Definition and Historical Development
  • 1.1 History of Risk Management
  • 1.2 Milestones in Financial Risk Management
  • 1.3 Current Definition of Corporate Risk Management
  • 1.4 Conclusion
  • References
  • Chapter 2 Theoretical Determinants of Risk Management in Non‐Financial Firms
  • 2.1 Value of Risk Management
  • 2.1.1 Expected Default Costs
  • 2.1.2 Risk Premium to Stakeholders
  • 2.1.3 Expected Tax Payments
  • 2.2 Comparative Advantages in Risk Taking
  • 2.3 Risk Management and Capital Structure
  • 2.4 Risk Management and Managerial Incentives
  • 2.5 Conclusion
  • References
  • Chapter 3 Risk Management and Investment Financing
  • 3.1 Basic Model
  • 3.2 Illustration with the Standard Debt Contract
  • 3.3 Model with Two Random Variables
  • 3.4 Conclusion
  • References
  • Appendix A: Value of dI*/dw
  • Appendix B: Standard Debt Contract
  • Chapter 4 Significant Determinants of Risk Management of Non‐Financial Firms
  • 4.1 Rationale for the Research
  • 4.2 Significant Determinants
  • 4.2.1 Target Variable or Dependent Variable
  • 4.2.2 Main Determinants and Their Measurement
  • 4.2.3 Results of Estimations
  • 4.3 Governance and Endogeneity of Debt
  • 4.3.1 Model
  • 4.3.2 Statistical Analysis
  • 4.3.3 Empirical Results
  • 4.4 Conclusion
  • References
  • Appendix: Construction of the Tax‐Save Variable
  • Chapter 5 Value at Risk
  • 5.1 Example of VaR
  • 5.2 Numerical Method
  • 5.3 Parametric Method
  • 5.4 Taking Time Periods into Consideration
  • 5.5 Confidence Interval of the VaR
  • 5.6 CVaR
  • 5.7 Conclusion
  • References
  • Chapter 6 Choice of Portfolio and VaR Constraint
  • 6.1 Optimal Benchmark Portfolio of the Firm.
  • 6.2 Optimal Portfolio of a Constrained Manager
  • 6.3 Conclusion
  • References
  • Chapter 7 VaR in Portfolios of Assets and Options
  • 7.1 VaR as a Risk Measure
  • 7.2 Models without Derivatives
  • 7.2.1 Markowitz's Mean‐Variance Model
  • 7.2.2 CAPM
  • 7.2.3 Multifactor Model
  • 7.3 VaR with Options
  • 7.4 Black and Scholes Model and Risk Management
  • 7.5 Delta‐Gamma VaR
  • 7.6 VaR of a General Portfolio
  • 7.7 Application
  • 7.8 Conclusion
  • References
  • Chapter 8 Conditional VaR
  • 8.1 Motivation for CVaR and Coherence in Risk Measures
  • 8.2 Notation and VaR
  • 8.3 Definition of CVaR
  • 8.4 Another Way to Derive CVaR with a Return Distribution
  • 8.5 Example with Student's t‐Distribution and Other Examples
  • 8.6 Conclusion: CVaR in Basel Regulation
  • References
  • Chapter 9 Regulation of Bank Risk and Use of VaR
  • 9.1 Basel Accords
  • 9.2 Market Risk Regulation of 1996
  • 9.3 Specific Risks
  • 9.4 Total Required Capital
  • 9.5 Tests
  • 9.6 Comparison between Standard and Internal Methods with Interest Rate Risk
  • 9.6.1 Standard and Internal Methods
  • 9.6.2 Comparison of the Two Methods
  • 9.7 Conclusion
  • References
  • Chapter 10 Optimal Financial Contracts and Incentives under Moral Hazard
  • 10.1 Optimal Financial Contracts and Moral Hazard
  • 10.2 Theoretical Model
  • 10.3 Empirical Application to Air Accident Risk
  • 10.4 Conclusion
  • References
  • Appendix A: Synthesis of Forms of Financial Contracts
  • Appendix B: Definitions of Variables
  • Chapter 11 Venture Capital Risk with Optimal Financing Structure
  • 11.1 Some Statistics about Venture Capital
  • 11.2 Role of Venture Capital Firms
  • 11.3 Venture Capital Firms and Added Value
  • 11.4 Role of Convertible Debt
  • 11.5 Information Asymmetry and Venture Capital
  • 11.5.1 Methodology
  • 11.5.2 Financial Vehicle Variables
  • 11.5.3 Control Variables
  • 11.5.4 Results.
  • 11.6 Conclusion
  • References
  • Chapter 12 Bank Credit Risk: Scoring of Individual Risks
  • 12.1 Theoretical Model
  • 12.2 Empirical Analysis
  • 12.3 Credit Line and Loan Default
  • 12.4 Conclusion
  • References
  • Chapter 13 Portfolio Management of Credit Risk
  • 13.1 CreditMetrics
  • 13.2 Review of Chapters 2 and 3 of CreditMetrics
  • 13.2.1 Chapter 2 of CreditMetrics
  • 13.2.2 Chapter 3 of CreditMetrics
  • 13.3 KMV Approach
  • 13.4 Calculation of Correlations
  • Approximation of Default Correlations
  • 13.5 Conclusion
  • References
  • Chapter 14 Quantification of Banks' Operational Risk
  • 14.1 Context and Presentation of Operational Risk
  • 14.1.1 Basel Accord and Regulation of Operational Risk
  • 14.1.2 Examples
  • 14.2 Measurement of Regulatory Capital
  • 14.2.1 Basic Approach
  • 14.2.2 Standardized Approach
  • 14.2.3 Advanced Measurement Approach (AMA)
  • 14.3 Calculation of Regulatory Capital for Losses of over 1 Million (LDA)
  • 14.3.1 Scaling Model in LDA Models
  • 14.3.2 Adding Business Cycles
  • 14.4 Conclusion
  • References
  • Chapter 15 Liquidity Risk
  • 15.1 Theoretical Modeling of CDSs
  • 15.2 Bond Yield Spread's Default Portion
  • 15.3 Empirical Measurement of Yield Spreads' Default Portion
  • 15.4 Non‐Default Portion of Yield Spreads
  • 15.5 Illiquidity Index
  • 15.6 Illiquidity Premium
  • 15.7 Data
  • 15.7.1 TRACE Database
  • 15.7.2 Markit Database
  • 15.8 Principal Component Analysis of Liquidity Risk
  • 15.9 Empirical Analysis of Credit Cycles
  • 15.10 Regime Detection Model
  • 15.11 Detection of Default and Liquidity Regimes
  • 15.12 Conclusion
  • References
  • Chapter 16 Long‐Term Capital Management
  • 16.1 Brief History of the Fund
  • 16.2 Risk Management, VaR, and Required Capital
  • 16.3 Portfolio Optimization and Leverage Effect
  • 16.4 Conclusion
  • References.
  • Chapter 17 Structured Finance and the Financial Crisis of 2007-2009
  • 17.1 Structured Finance
  • 17.2 Poor Risk Management Linked to the Structured Finance Market
  • 17.2.1 Lack of Incentive Contracts in the Presence of Information Asymmetry
  • 17.2.2 Poor Evaluation of Structured Products by Rating Agencies
  • 17.2.3 Poor Pricing of Complex Financial Products
  • 17.2.4 Poor Regulation of Structured Finance
  • 17.3 Conclusion
  • References
  • Appendix: How to Create an AAA CDO Tranche from BBB Loans
  • Chapter 18 Risk Management and Corporate Governance
  • 18.1 Enron and Corporate Governance
  • 18.2 Financial Crisis and Corporate Governance
  • 18.3 New 2002 Governance Rules
  • 18.4 Risk Management and Governance
  • 18.5 Administrative Competence of Board Members
  • 18.6 New Regulation for Financial Institutions
  • 18.7 Economic Analysis of Governance Effect
  • 18.7.1 Testable Hypothesis
  • 18.7.2 Data and Variables
  • 18.7.3 Model
  • 18.7.4 Empirical Results
  • 18.8 Conclusion
  • References
  • Appendix A: Governance of Canadian Federal Financial Institutions
  • Appendix B: Details on the Construction of the Governance Indexes
  • Measuring Governance Standards
  • The Quality of the Audit Committee
  • The Quality of the Board
  • SOX Standards
  • NYSE Standards
  • SOX and NYSE Standards
  • Appendix C: Variables
  • Chapter 19 Risk Management and Industrial Organization
  • 19.1 Entry, Production, and Hedging
  • 19.2 Commitment to Hedging
  • 19.3 Conclusion
  • References
  • Chapter 20 Real Implications of Corporate Risk Management
  • 20.1 Real Implications of Corporate Risk Management: A Review
  • 20.2 Methodology
  • 20.2.1 Instrumental Variable
  • 20.2.2 Essential Heterogeneity Model
  • 20.3 US Oil Producers
  • 20.3.1 Sample Construction
  • 20.3.2 Descriptive Statistics
  • 20.3.3 Oil Hedging Activity
  • 20.3.4 Univariate Tests.
  • 20.4 Multivariate Results
  • 20.4.1 Firm Value
  • 20.4.2 Firm Riskiness and Firm Accounting Performance
  • 20.5 Conclusion
  • References
  • Appendix: Estimated MTEs
  • Chapter 21 Exercises
  • Exercise 1 Portfolio Choice and the Notion of Value at Risk (VaR)
  • Calculating VaR
  • Incremental VaR
  • Reference
  • Solution for Exercise 1
  • Conclusion Regarding the Calculations for the VaR
  • Incremental VaR
  • Exercise 2 Backtesting of VaR Models
  • The Importance of Backtesting
  • Definitions for the Backtesting
  • Validation of the Model over a Longer Period
  • Linear Regression Approach
  • References
  • Exercise 3 Calculation of VaR with Different Distributions and Accuracy of VaR
  • Calculating VaR using a Lognormal or Truncated Normal Distribution
  • Estimating the Precision of the VaR Calculated
  • Solution to Exercise 3
  • Precision Estimation of the Calculated VaR
  • References
  • Exercise 4 VaR for an Equity Portfolio with Options
  • Part A Choosing a Portfolio Application of VaR Calculations with Real Data from a Stock Portfolio
  • Part B Application of the Delta and Delta‐Gamma Methods to Calculate VaR
  • Risk Exposure of the Portfolio by the Delta Approach
  • Risk Exposure of the Portfolio by the Delta‐Gamma Approach
  • Solution to Exercise 4
  • Exercise 5 CVaR Conditional Value at Risk
  • Mathematical Expressions of CVaR
  • Recapitulation of the Three Models: Normal Distribution, Student's t, and Mixture of Two Normal Distributions
  • Conclusion
  • Reference
  • Conclusion
  • General References
  • Index
  • EULA.

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