Modern risk management: a history
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
London
Risk Books
2003
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XXXVII, 611 S. |
| ISBN: | 1904339050 |
Staff View
MARC
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| 245 | 1 | 0 | |a Modern risk management |b a history |c [managing ed.: Sarah Jenkins]. Introd. by Peter Field |
| 264 | 1 | |a London |b Risk Books |c 2003 | |
| 300 | |a XXXVII, 611 S. | ||
| 336 | |b txt |2 rdacontent | ||
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| 648 | 7 | |a Geschichte |2 gnd |9 rswk-swf | |
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Record in the Search Index
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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 |
| subject_GND | (DE-588)4381572-8 (DE-588)4121590-4 |
| 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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