Financial Risk Management From Metrics to Human Conduct
"This book is not a comprehensive review or catalogue of financial risk management tools and methods; instead, it focuses on the core methods that are actually used by professionals, such as historical Value-at-Risk and Expected Shortfall. Without any knowledge of probabilities, the reader can...
| Otros Autores: | |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, NJ :
Wiley
[2024]
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| Edición: | First edition |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009828023406719 |
Tabla de Contenidos:
- Cover
- Title Page
- Copyright
- Brief Contents
- Foreword
- Acknowledgements
- List of Acronyms and Symbols
- Introduction
- Part I Navigating Banking Regulation
- Chapter 1 A Brief History of the Basel Framework
- Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio
- Capital Adequacy
- Worked Example 1: Computation of the Cooke Ratio
- Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks
- The Advent of Market Risk
- Computing the Capital Charge for Credit and Market Risks
- Worked Example 2: Computation of the Extended Cooke Ratio
- Chapter 4 Implementation of the Basel II Framework
- The Three Pillars
- Worked Example 3: Computation of the McDonough Solvency Ratio
- The Internal Ratings-Based Approach to Credit Risk
- Chapter 5 A Guided Tour of the Basel III Framework
- The Rationale for a New Regulatory Framework
- Strengthening the Regulatory Capital Framework
- A New Global Liquidity Standard
- Supplementing the Risk-Based Capital Requirement with a Leverage Ratio
- Capital Buffers
- Coping with Tail Risk
- Chapter 6 Climate-Related Financial Risks
- Part II The Financial Risk Measurement Landscape
- Chapter 7 Historical Approach to Risk
- Step-by-Step Calculation of Historical VaR
- Understanding a VaR Result
- The Worst Mistake You Can Make
- Do You Speak Mark-to-Market?
- Beyond VaR
- Chapter 8 The Gaussian Framework
- The Core Equation
- The Covariance Matrix
- The Quantile of the Standardized Gaussian Distribution
- The Expected Return Term
- The Gaussian VaR
- The Gaussian ES
- Chapter 9 A Brief Overview of Monte Carlo Simulation
- Chapter 10 Risk Contribution
- Risk Decomposition of the Gaussian VaR
- Risk Decomposition of the Gaussian ES
- Risk Decomposition of the Historical VaR
- Risk Decomposition of the Historical ES.
- Chapter 11 Shortcomings of Risk Metrics
- The Problem of Stationarity
- Volatility Modelling
- The Gaussian Assumption is Seductive but Dangerous
- Taming Fat Tails and Skewness
- Chapter 12 Ex-Post Evaluation of a Risk Model: Backtesting
- Chapter 13 A Forward-Looking Evaluation of Risk: Stress Testing
- The Return Period
- Historical Stress Scenarios
- Part III Getting Conduct Risk to Scale
- Chapter 14 The Big Picture of Conduct Risk
- Chapter 15 Markers of Conduct Risk
- Chapter 16 Worked Example 7: Building a Conduct Risk Score
- Matching Risk Markers with Conduct Risk Pillars
- Setting Thresholds
- Calculation and Customization of the CRS
- Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes
- Conduct Risk Culture and Behaviours
- Clarifying Good and Bad Behaviours
- Measuring How Far a Risk-Taker is From Good Conduct
- Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index
- Overview
- Calculation of a Negative Conduct Risk Marker Score
- Scores Aggregation and Full Offsetting
- Positive Conduct Risk Marker Scores
- Calculation of the Overall Scores
- Calculation of the Conduct Risk Index
- Chapter 19 Hot Questions Still Pending
- Chapter 20 Understanding the Root Causes of Poor Conduct
- Clustering Risk-Takers
- In-Depth Analysis of Bad Apples
- Putting a Tangible Value on Diversity and Inclusiveness
- Appendix
- References
- Contents
- List of Figures
- List of Tables
- Index
- EULA.
