Risk Management (Photocopy)

Author: (Canada) M. Crouhy, et al.
Publisher:
Publication Date: 2005-01-01
Features: The explosive growth of global competition, the increasing regulation, the ever-changing portfolio of innovative products, complex derivatives, and securitization of assets have brought risk management to the forefront of today's financial activities. Managers of companies and banks who strive to understand this environment often find themselves wasting valuable time searching for relevant details, yet ignorant misinterpretations or misguided hedging strategies can actually create risks. The authors of this book integrate the entire field of risk management, from policy to methodology, as well as the data and technical infrastructure. Risk Management covers investment and hedging strategies, including innovative derivatives, credit risk, and securitization techniques—making it a comprehensive reference that is indispensable for quick reference. The three authors are experienced financial experts with unparalleled comprehensive experience in the application of risk management in banking, corporate, and academic settings. They guide readers through key issues in risk management, emphasizing specific and effective techniques and analyses. This book will help readers quickly and thoroughly understand the challenges of today's complex financial risk management. Specifically, the expert analysis and proven recommendations provided in this book include:
- Integrated Risk Management: How to understand and develop the necessary tools to measure and manage the full range of enterprise risks.
- Regulatory Environment: Introduces the policy recommendations of the G-30, the regulations of the Bank for International Settlements (BIS), and how to determine eligibility to use internal models in place of the standard methods proposed by the Basel Committee.
- Capital Adequacy: How to allocate economic capital as a function of risk.
- Practical Measurement Issues: Using historical, implied, and stochastic models to measure volatility, as well as a useful review of measuring correlations and capturing yield curves.
- Future Considerations: Comments on the potential impact of the Bank for International Settlements (BIS) 2000 rules and provides an in-depth analysis of the future evolution of risk management practices.
Risk management issues in banking and corporate sectors have never been as complex as they are today, and the stakes are high. As we enter the unknown realms of the 21st century, this book serves as either a fundamental guide to financial risk management for institutions in August, or as a textbook focused on bank risk management, or simply as a pioneering reference that covers every important aspect of the field. It offers readers the most up-to-date analysis of risk management, a field that is destined to grow increasingly critical.