Financial enterprise risk management:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2011
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | International series on actuarial science
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdrucke |
| Beschreibung: | XII, 551 S. Ill., graph. Darst. |
| ISBN: | 9780521111645 |
Internformat
MARC
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| 300 | |a XII, 551 S. |b Ill., graph. Darst. | ||
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Datensatz im Suchindex
| _version_ | 1804148572624519168 |
|---|---|
| adam_text | Titel: Financial enterprise risk management
Autor: Sweeting, Paul
Jahr: 2011
Contents
Preface page xi
1 An introduction to enterprise risk management 1
1.1 Definitions and concepts of risk 1
1.2 Why manage risk? 3
1.3 Enterprise risk management frameworks 5
1.4 Corporate governance 6
1.5 Models of risk management 8
1.6 The risk management time horizon 9
1.7 Further reading 10
2 Types of financial institution 11
2.1 Introduction 11
2.2 Banks 11
2.3 Insurance companies 14
2.4 Pension schemes 16
2.5 Foundations and endowments 18
2.6 Further reading 18
3 Stakeholders 20
3.1 Introduction 20
3.2 Principals 20
3.3 Agents 31
3.4 Controlling 41
3.5 Advisory 48
3.6 Incidental 51
3.7 Further reading 53
vi Contents
The internal environment 54
4.1 Introduction 54
4.2 Internal stakeholders 54
4.3 Culture 55
4.4 Structure 57
4.5 Capabilities 60
4.6 Further reading 60
The external environment 61
5.1 Introduction 61
5.2 External stakeholders 61
5.3 Political environment 62
5.4 Economic environment 62
5.5 Social and cultural environment 64
5.6 Competitive environment 65
5.7 Regulatory environment 66
5.8 Professional environment 85
5.9 Industry environment 88
5.10 Further reading 90
Process overview 91
Definitions of risk 93
7.1 Introduction 93
7.2 Market and economic risk 93
7.3 Interest rate risk 94
7.4 Foreign exchange risk 94
7.5 Credit risk 95
7.6 Liquidity risk 96
7.7 Systemic risk 97
7.8 Demographic risk 99
7.9 Non-life insurance risk 101
7.10 Operational risks 102
7.11 Residual risks 110
7.12 Further reading 111
Risk identification 112
8.1 Introduction 112
8.2 Risk identification tools 112
8.3 Risk identification techniques 115
Contents vii
8.4 Assessment of risk nature 119
8.5 Risk register 119
8.6 Further reading 120
9 Some useful statistics 121
9.1 Location 121
9.2 Spread 122
9.3 Skew 124
9.4 Kurtosis 125
9.5 Correlation 126
9.6 Further reading 132
10 Statistical distributions 134
10.1 Univariate discrete distributions 134
10.2 Univariate continuous distributions 137
10.3 Multivariate distributions 171
10.4 Copulas 195
10.5 Further reading 220
11 Modelling techniques 221
11.1 Introduction 221
11.2 Fitting data to a distribution 223
11.3 Fitting data to a model 228
11.4 Smoothing data 237
11.5 Using models to classify data 245
11.6 Uncertainty 259
11.7 Credibility 262
11.8 Model validation 270
11.9 Further reading 271
12 Extreme value theory 272
12.1 Introduction 272
12.2 The generalised extreme value distribution 272
12.3 The generalised Pareto distribution 275
12.4 Further reading 279
13 Modelling time series 280
13.1 Introduction 280
13.2 Deterministic modelling 280
13.3 Stochastic modelling 281
13.4 Time series processes 285
viii Contents
13.5 Data frequency 305
13.6 Discounting 306
13.7 Further reading 310
14 Quantifying particular risks 311
14.1 Introduction 311
14.2 Market and economic risk 311
14.3 Interest rate risk 325
14.4 Foreign exchange risk 337
14.5 Credit risk 338
14.6 Liquidity risk 360
14.7 Systemic risks 362
14.8 Demographic risk 363
14.9 Non-life insurance risk 372
14.10 Operational risks 379
14.11 Further reading 381
15 Risk assessment 382
15.1 Introduction 382
15.2 Risk appetite 383
15.3 Upside and downside risk 386
15.4 Risk measures 387
15.5 Unquantifiable risks 401
15.6 Return measures 403
15.7 Optimisation 404
15.8 Further reading 411
16 Responses to risk 413
16.1 Introduction 413
16.2 Market and economic risk 416
16.3 Interest rate risk 430
16.4 Foreign exchange risk 434
16.5 Credit risk 435
16.6 Liquidity risk 442
16.7 Systemic risk 442
16.8 Demographic risk 444
16.9 Non-life insurance risk 446
16.10 Operational risks 447
16.11 Further reading 456
Contents ix
17 Continuous considerations 457
17.1 Introduction 457
17.2 Documentation 457
17.3 Communication 458
17.4 Audit 460
17.5 Further reading 461
18 Economic capital 462
18.1 Introduction 462
18.2 Definition of economic capital 462
18.3 Economic capital models 463
18.4 Designing an economic capital model 464
18.5 Running an economic capital model 465
18.6 Calculating economic capital 466
18.7 Economic capital and risk optimisation 467
18.8 Capital allocation 469
18.9 Further reading 471
19 Risk frameworks 472
19.1 Mandatory risk frameworks 472
19.2 Advisory risk frameworks 483
19.3 Proprietary risk frameworks 499
19.4 Further reading 504
20 Case studies 505
20.1 Introduction 505
20.2 The 2007-2011 global financial crisis 505
20.3 Barings Bank 511
20.4 Equitable Life 514
20.5 Korean Air 517
20.6 Long Term Capital Management 519
20.7 Bernard Madoff 521
20.8 Robert Maxwell 522
20.9 Space Shuttle Challenger 523
20.10 Conclusion 525
20.11 Further reading 525
References 527
Index 540
|
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| indexdate | 2024-07-10T00:09:16Z |
| institution | BVB |
| isbn | 9780521111645 |
| language | English |
| lccn | 2011025050 |
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| spelling | Sweeting, Paul Verfasser (DE-588)1023633183 aut Financial enterprise risk management Paul Sweeting 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2011 XII, 551 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier International series on actuarial science Hier auch später erschienene, unveränderte Nachdrucke Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 s DE-604 DE-601 pdf/application http://www.gbv.de/dms/zbw/655706577.pdf Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024548405&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Financial enterprise risk management |
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| title_full | Financial enterprise risk management Paul Sweeting |
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