Verfügbarkeit: Modern risk management

Modern risk management: a history

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Bibliographische Detailangaben
Format:	Buch
Sprache:	English
Veröffentlicht:	London Risk Books 2003
Schlagworte:	Geschichte Risk management > History Derivat > Wertpapier Risikomanagement
Online-Zugang:	Inhaltsverzeichnis
Beschreibung:	XXXVII, 611 S.
ISBN:	1904339050

Internformat

MARC


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Datensatz im Suchindex

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adam_text	Contents Authors Introduction Peter Field Timeline Risk magazine IX xxv PART I: THE RATIONALE OF RISK MANAGEMENT 1 Risk Management as a Process David Mengle 2 An Overview of the Evolution of the Over-the-counter Derivatives Market Carola von Schenk 11 PART II: THE ROOTS AND DEVELOPMENT OF MODERN FINANCIAL MODELLING TECHNIQUES 3 Option Pricing Models and Stochastic Methods in Finance, 1900-1990 27 William Margrabe 4 Markowitz Mean-Variance Portfolio Theory 45 Neil D. Pearson 5 Equilibrium Asset Pricing and Discount Factors: Overview and Implications for Derivatives Valuation and Risk Management 57 John H. Cochrane ană Christopher L. Culp 6 The Modigliani-Miller Propositions 93 Christopher L. Culp 7 The Past, Present and Future of Term Structure Modelling 107 Lane Hughston PART III: THE DEVELOPMENT OF RISK MANAGEMENT SOFTWARE 8 The Development of Risk Management Software Dan Rosen 135 MODERN RISK MANAGEMENT: A HISTORY PART IV: THE DEVELOPMENT OF RISK MEASURES AND METHODOLOGIES 9 The Origin and Development of Value-at-Risk 151 Olivier Scaillet 10 Stress Testing in Risk Management 159 Vineer Bhansali 11 Extreme Value Theory and Statistics for Heavy Tail Data 169 Silvia Casería and Casper G. de Vries 12 The Copula 179 David A. Chapman 13 Modelling Volatility 189 Jin-Chuan Duan 14 The Evolution of Counterparty Credit Risk Management 205 David M. Rowe 15 Theory and Practice of Model Risk Management 223 Riccardo Rebonato PART V: THE DEVELOPMENT OF FINANCIAL RISK IDENTIFICATION 16 A Retrospective Look at Market Risk 251 Barbara Kavanagh 17 Credit Risk from a Bank s Perspective 261 Arnaud de Servigny and Olivier Renault 18 Operational Risk: Past, Present and Future 271 Marcelo Cruz 19 Enterprise-wide Risk Management 287 James Lam 20 Endogenous Risk 297 Jon Danielsson and Hyun Song Shin PART VI: THE USE OF RISK MANAGEMENT 21 Multi-National Corporate Risk Management Practice 317 Arnold Miyamoto and Ramon Espinosa 22 The Use of Risk Management by Corporations 331 Rohan Williamson 23 Risk in US Energy Markets 341 Edward N. Krapels 24 Risk Management in Asset Management 369 Gregory Connor and Robert A. Korajczyk vi CONTENTS 25 Risk Management for Hedge Funds and Funds of Hedge Funds 383 Virginia Reynolds Parker 26 Evolution of the Global Weather Derivatives Market 395 Jeffrey Porter PART VII: REGULATORY ISSUES AND BANKING SUPERVISION 27 Regulatory Origins of Risk Management 417 David Mengte 28 Regulatory Capital Treatment of Counterparty Credit Risk: the Need for a Reform 427 Emmanuelle Sebton 29 Operational Risk - The Empiricists Strike Back? 435 Richard Metcalfe PART VIII: FUTURE PERSPECTIVES 30 Use of Price Derivatives in Commodity Producing Developing Countries 447 Panos Varangis, John Nash and Funke Oyewole PART IX: DERIVATIVES DISASTERS - CASE STUDIES 31 No Surprises 465 Yana O Sullwan and Geoff Kates 32 Medium-Term Risk Management Lessons from Long-Term Capital Management Philippe Jorion 475 33 Metallgesellschaft Christopher L. Culp 485 34 Analysis of the Orange County Disaster Alan C. Shapiro 497 35 Allied Irish Bank Nikki Marmery 511 36 Scenes from a Tragedy - Bankers Trust and Procter & Gamble William Falloon and Richard Irving 515 37 Singapore Sting - Barings Mark Nicholls 527 38 A Question of Authority - Hammersmith and Fulham Mark Nicholls 531 VII MODERN RISK MANAGEMENT: A HISTORY 39 Full Metal Racket - Sumitomo Corporation 535 Mark Nidiolls APPENDIX: FINANCE AND RISKTHINKERS 40 Remembering Fischer Black (1938-1995) 539 Emanuel Derman 41 John Cox - Improving on Black-Scholes 543 Navroz Patel 42 The Worlds of Yesterday 545 Emanuel Derman 43 Perspectives on Risk Management 549 John Hull 44 Jonathan Ingersoll - Driven to Simplicity 553 Paul Lyon 45 Mathematics and Finance: A Fruitful Relationship 555 Robert ¡arrow 46 Adventures in Portfolio Theory 559 Harry M. Markowitz 47 Unexpected Roads, Happily Travelled 563 Robert C. Merton 48 Remembering Merton Miller (1923-2000) 569 John Ferry 49 Inspired by America 571 Franco Modigliani 50 Stephen Ross - Dedicated to the Real World 577 Navroz Patel 51 All in All, it s been a Good Life 581 Mark Rubinstein 52 Memoirs of an Early Finance Theorist 587 Paul A. Samuelson 53 Myron Scholes - From Theory to Practice 591 Keith Brody 54 William Sharpe - A Career-defining Risk 595 Dwight Cass 55 Reflections on a Revolution 597 Oldřich Vasicek Index 601 VIII
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spellingShingle	Modern risk management a history Geschichte Risk management History Derivat Wertpapier (DE-588)4381572-8 gnd Risikomanagement (DE-588)4121590-4 gnd
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title	Modern risk management a history
title_auth	Modern risk management a history
title_exact_search	Modern risk management a history
title_full	Modern risk management a history [managing ed.: Sarah Jenkins]. Introd. by Peter Field
title_fullStr	Modern risk management a history [managing ed.: Sarah Jenkins]. Introd. by Peter Field
title_full_unstemmed	Modern risk management a history [managing ed.: Sarah Jenkins]. Introd. by Peter Field
title_short	Modern risk management
title_sort	modern risk management a history
title_sub	a history
topic	Geschichte Risk management History Derivat Wertpapier (DE-588)4381572-8 gnd Risikomanagement (DE-588)4121590-4 gnd
topic_facet	Geschichte Risk management History Derivat Wertpapier Risikomanagement
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