Risk Books, 2013. — 340 p. — ISBN: 1782720146, 9781782720140.The global financial crisis uncovered an important gap in the risk assessment of institutions operating in the supervised and shadow financial systems. Namely, risk assessments, either in private or policy making institutions, centered on the risk of a financial institution in isolation, abstracting from its risks to and exposure from the overall financial system. By overlooking systemic risk, a majority of analysts missed the severity of the 2007 2009 financial crisis, the extent of the contagion across institutions, and the magnitude of the losses incurred in the financial system, resulting in larger and preventable losses. An understanding and analysis of systemic risk is now more important than ever for navigating the fluctuations of and interactions between financial institutions in a post-crisis world. Systemic Risk Assessment and Oversight provides you with analytical tools for measuring systemic risk and conducting surveillance to address the analytical gaps uncovered by the financial crisis. It places practical tools and methods in the hands of market practitioners and policy analysts. Establishing a bottom-up portfolio approach to systemic risk, Jorge A. Chan-Lau of the IMF provides you with a multitude of ready-to-implement methods and tools for analysing systemic risk. Whilst they can each be used independently, Systemic Risk Assessment and Oversight outlines a unified framework so you can understand how risk flows from individual institutions to the system and vice-versa.Key topics examined include: - CoRisk. - Quantile regressions. - Balance-sheet network analysis. - Z-scores. - Tail dependence. - Dynamic conditional correlation. The output of the tools presented in this key text will facilitate communication to senior management and guide strategy and policy decisions in financial institutions entwined in the system. Systemic Risk Assessment and Oversight is a how-to manual on systemic risk, illustrated with key cases and examples for risk managers, analysts, CROs, regulators, supervisors and strategists.
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John Wiley & Sons, 2008. — 494 p. — (Market Risk Analysis, Vol. IV).
Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
Wiley, 2013. — 579 p. — 2nd ed. — ISBN: 111817545X, 9781118175453
A top risk management practitioner addresses the essential aspects of modern financial risk management
In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques...
New York: Wiley, 2010. — 821 p.
Never before has risk management been so important.
Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management.
Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, credit models based on...
Wiley, 2012. — 676 p. — 2nd ed. — ISBN: 1119989973, 9781119989974
The range of business threats is evolving rapidly but your organization can thrive and gain a competitive advantage with your business vision for enterprise risk management. Trends affecting markets—events in the global financial markets, changing technologies, environmental priorities, dependency on intellectual...
Risk Books, 2010. — 537 p. — ISBN: 1906348251, 9781906348250
Over the past decade the financial service industry has spent tremendous resources on building models to measure financial risks. Generally, these models predictions were used without acknowledging that reality may or may not reflect the assumptions made and thus the predictions. The book aims to provide solutions on...
Wiley, 2009. — 360 p. — ISBN 978-0-470-41346-3.
"The recent global economic crisis has brought home the need for realistic operational risk management as an important element of an organization's survival strategy in turbulent times. In Risk Management in Finance Dr. Tarantino and his coauthors provide an operational risk framework for the twenty-first-century organization by...