Risk and financial catastrophe:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Basingstoke, Hampshire [u.a.]
Palgrave Macmillan
2009
|
| Edition: | 1. publ. |
| Series: | Palgrave Macmillan finance and capital markets series
|
| Subjects: | |
| Online Access: | http://www.palgraveconnect.com/pc/doifinder/10.1057/9780230243323 Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | VII, 213 S. |
| ISBN: | 9780230577312 |
Staff View
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Record in the Search Index
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| adam_text | Titel: Risk and financial catastrophe
Autor: Banks, Erik
Jahr: 2009
Contents
List of Illustrations vi
PART I THE NATURE OF CATASTROPHE
1 Taxonomy of Risk 3
2 Catastrophes 21
3 Financial Catastrophe 43
PART II THE RISK FRAMEWORK
4 The Risk Management Process 77
5 Models, Metrics, and Limitations 97
PART III PRACTICAL MANAGEMENT
6 Past Catastrophes 2
7 Lessons Learned and Prescriptive Measures 165
8 The Future of Risk Management 86
Notes 193
Selected References 209
Index 2U
«•¦•
llustrations
FIGURES
1.1 The risk management framework 8
1.2 Summary of risk classifications 18
1.3 The financial catastrophe focus 19
2.1 Descriptors of catastrophic events 23
2.2 Catastrophic occurrence classifications 26
2.3 Loss frontiers 29
2.4 Frequency and severity, fitted and with observations 30
2.5 Catastrophic and noncatastrophic frequency and severity 31
2.6 Components of catastrophic losses 31
2.7 Major class of natural catastrophes 33
2.8 Man-made catastrophes 37
2.9 Financial catastrophes 42
3.1 (a) S P Volatility index 46
3.1 (b) S P500 Equity index 46
3.1 (c) US 10-year Treasury yield 47
3.1 (d) Gold index 47
3.2 Normally distributed student results 48
3.3 Normal distribution and fat-tailed distribution 49
3.4 Causes and amplifiers of financial catastrophes 61
3.5 Financial crises, # by type, 1970-2007 73
3.6 Financial crises, # of events per year, 1970-2007 73
4.1 Risk management goals 79
4.2 Common risk management strategies 89
5.1 (a) Exceedance probability curve (1) 104
5.1 (b) Exceedance probability curve (2) 105
5.2 Loss-return period curve 105
5.3 Impact of catastrophe on gross domestic product 107
ILLUSTRATIONS i vii I
5.4 Sample Frechet and Gumbel distributions 108
5.5 Generalized extreme value loss distribution 108
5.6 Excess loss distribution 108
5.7 Impairment curves 111
5.8 Exceedance curves and underpricing/overpricing 114
5.9 Limitations of quantitative methods 117
6.1 Dow Jones Industrials, October 1929 124
6.2 Dow Jones Industrials, 1928-34 125
6.3 Dow Jones Industrials, 1983-89 135
6.4 (a) Dow Jones Industrials, August-December 1987 136
6.4 (b) Nikkei 225, August-December 1987 136
6.4 (c) FTSE 100, August-December 1987 137
6.5 Nikkei 225 Index, 1984-2000 142
6.6 USD/THB exchange rate, 1997 146
6.7 USD/IDR exchange rate, 1997 147
6.8 USD/PHP exchange rate, 1997 147
6.9 USD/KRW exchange rate, 1997 148
6.10 USD/RUR exchange rate, 1998 151
6.11 US$ Libor/Overnight Index Swap,
January 2007-December 2008, bps 158
6.12 (a) US Investment Grade CDS Index, bps spread 160
6.12 (b) European Investment Grade CDS Index, bps spread 160
6.12 (c) European Crossover CDS Index, bps spread 161
6.12 (d) European Financials Index, bps spread 161
TABLES
3.1 Government response to financial crises
6.1 Global equity market performance, October 1987
6.2 Asian currency depreciations, 1997-98
70
137
149
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| language | English |
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| publishDate | 2009 |
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| spelling | Banks, Erik 1965- Verfasser (DE-588)171578902 aut Risk and financial catastrophe Erik Banks 1. publ. Basingstoke, Hampshire [u.a.] Palgrave Macmillan 2009 VII, 213 S. txt rdacontent n rdamedia nc rdacarrier Palgrave Macmillan finance and capital markets series Includes bibliographical references and index Risikomanagement (DE-588)4121590-4 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Katastrophenmanagement (DE-588)4447164-6 gnd rswk-swf Finanzmanagement (DE-588)4139075-1 s Risikomanagement (DE-588)4121590-4 s Katastrophenmanagement (DE-588)4447164-6 s DE-188 http://www.palgraveconnect.com/pc/doifinder/10.1057/9780230243323 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018666456&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Banks, Erik 1965- Risk and financial catastrophe Risikomanagement (DE-588)4121590-4 gnd Finanzmanagement (DE-588)4139075-1 gnd Katastrophenmanagement (DE-588)4447164-6 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4139075-1 (DE-588)4447164-6 |
| title | Risk and financial catastrophe |
| title_auth | Risk and financial catastrophe |
| title_exact_search | Risk and financial catastrophe |
| title_full | Risk and financial catastrophe Erik Banks |
| title_fullStr | Risk and financial catastrophe Erik Banks |
| title_full_unstemmed | Risk and financial catastrophe Erik Banks |
| title_short | Risk and financial catastrophe |
| title_sort | risk and financial catastrophe |
| topic | Risikomanagement (DE-588)4121590-4 gnd Finanzmanagement (DE-588)4139075-1 gnd Katastrophenmanagement (DE-588)4447164-6 gnd |
| topic_facet | Risikomanagement Finanzmanagement Katastrophenmanagement |
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