Risk Management:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English German |
| Published: |
Berlin ; Boston
De Gruyter Oldenbourg
[2017]
|
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XVIII, 360 Seiten Illustrationen, Diagramme 240 mm x 170 mm |
| ISBN: | 9783110440522 3110440520 |
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MARC
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Record in the Search Index
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| adam_text |
Table of content
Foreword----V
List of Figures-XI
List of Tables--XIII
List of Abbreviations--XV
List of Symbols---XVII
1 Fundamentals------1
1.1 The definition and reasons for risk management---1
1.2 Risk management as a process------4
1.3 Risk identification and risk types-5
1.4 References----8
2 Risk measurement and risk analysis----9
2.1 Simple loss measurements------10
2.1.1 Maximum loss-----10
2.1.2 Expected loss----12
2.2 Key indicators---13
2.2.1 Volatility-14
2.2.2 Sensitivity---24
2.3 Value at Risk (VaR)---25
2.3.1 Statistical foundations--26
2.3.2 VaR of an individual risk position-30
2.3.3 VaR of portfolios--34
2.3.4 Additional calculation methods----52
2.3.5 Backtesting---57
2.3.6 Lower partial moments (LPM)----60
2.3.7 Critiques of the VaR concept--64
2*4 Stress tests, scenario analysis and worst case scenarios
2.5 Qualitative risk measurement techniques----70
2.6 Risk analysis----74
2-7 References----81
2*8 Technical appendix----83
3 Risk control---89
3.1 Risk provision---90
3.2 Risk avoidance and risk limitation-
91
VIII
Table of content
3.3
3.4
3.4.1
3.4.2
3.4.3
3.4.4
3.5
4
4.1
4.1.1
4.1.1.1
4.1.1.2
4.1.1.3
4.1.1.4
4.1.1.5
4.1.1.6
4.1.1.7
4.1.1.8
4.1.2
4.1.2.1
4.1.2.2
4.1.2.3
4.1.2.4
4.1.2.5
4.1.3
4.1.3.1
4.1.3.2
4.1.4
4.2
4.2.1
4.2.2
4.2.3
4.2.4
4.2.5
4.2.6
4.3
4.3.1
4.3.2
4.3.3
4.4
4.4.1
Risk distribution (diversification) and risk shifting-94
Risk transfer and risk compensation---96
Insurance — 98
Options----101
Futures----108
Swaps------111
References----114
Financial risks---115
Market price risks--116
interest rate risk--117
Basics of interest rate change risk-117
Duration---123
Convexity-----125
VaR calculation of interest positions-128
Immunization of bond portfolios-----135
Interest rate swaps----139
Interest rate options--142
Interest rate futures--144
Exchange rate risk-----146
Foundations of exchange rate risk---146
Currency swaps------150
Currency forward transactions----151
Currency options----155
VaR calculation of foreign exchange positions---157
Stock price risk----158
Portfolio theory----159
Capital Asset Pricing Model (CAPM)----163
Real estate price risk--167
Default risk--169
Measurement of individual transaction default risk----170
Analysis of individual transaction default risk-172
Risk-adjusted lending rates---176
Control of individual transaction default risk--181
Measurement and management of credit portfolios —188
Country risk--191
Liquidity risks--194
Types of liquidity risk-195
Measurement of the liquidity risks----197
Control of liquidity risks-202
The financial crisis (since) 2008---203
Dangers and causes of the financial crisis-204
Table of content — IX
4.4.2 Solution approaches to avoiding and redressing financial crises-207
4.4.2.1 Laws and regulations----207
4.4.2.2 Human misconduct-------216
4.4.2.3 Market failure---216
4.4.2.4 Mistaken decisions by politicians and regulators — 220
4.4.2.5 Riskmanagement---------224
4.4.3 Basel III---226
4.4.4 Appraisal and outlook-----232
4.5 References----237
4.6 Technical appendix-----245
5 Performance risks---249
5.1 Operational risks---249
5.1.1 Measurement of operational risks---250
5.1.2 Internal operational risks---259
5.1.2.1 Personnel risks--259
5.1.2.2 Process risks----259
5.1.2.3 System risks (IT risks)---260
5.1.3 External operational risks---260
5.1.3.1 Legal risks---261
5.1.3.2 Natural risks----261
5.1.4 Management of climate change risks — 262
5.2 Procurement and sales risks----266
5.2.1 Procurement risks------267
5.2.2 Sales risks---272
5.2.3 Cash Flow at Risk---279
5.3 References----287
5.4 Technical appendix-----290
6 Risk controlling-292
6.1 Duties of risk controlling-292
6.2 Organization of risk controlling and risk management--294
6.3 Company-wide profit and risk aggregation — 302
6.4 The external risk report---311
6.5 References----313
6.6 Technical appendix-----315
7 Profit-risk-based company management using a case study—317
7.1 Description of the case study--317
7.2 Risk identification and risk measurement—323
7.3 Risk analysis----335
List of References--344
Glossary----351
Index----353 |
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| author | Wolke, Thomas 1963- |
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| classification_rvk | QP 300 QP 360 |
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| discipline | Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-09-10T02:16:45Z |
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| physical | XVIII, 360 Seiten Illustrationen, Diagramme 240 mm x 170 mm |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | De Gruyter Oldenbourg |
| record_format | marc |
| spelling | Wolke, Thomas 1963- Verfasser (DE-588)114433690 aut Risikomanagement Risk Management Thomas Wolke Berlin ; Boston De Gruyter Oldenbourg [2017] © 2017 XVIII, 360 Seiten Illustrationen, Diagramme 240 mm x 170 mm txt rdacontent n rdamedia nc rdacarrier Unternehmen (DE-588)4061963-1 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Fachhochschul-/Hochschulausbildung (DE-588)4123623-3 Lehrbuch gnd-content Unternehmen (DE-588)4061963-1 s Risikomanagement (DE-588)4121590-4 s 1\p DE-604 De Gruyter Oldenbourg (DE-588)1065492103 pbl Erscheint auch als Online-Ausgabe ePub 978-3-11-043245-9 Erscheint auch als Online-Ausgabe PDF 978-3-11-044053-9 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=5289125&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029868596&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Wolke, Thomas 1963- Risk Management Unternehmen (DE-588)4061963-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4061963-1 (DE-588)4121590-4 (DE-588)4123623-3 |
| title | Risk Management |
| title_alt | Risikomanagement |
| title_auth | Risk Management |
| title_exact_search | Risk Management |
| title_full | Risk Management Thomas Wolke |
| title_fullStr | Risk Management Thomas Wolke |
| title_full_unstemmed | Risk Management Thomas Wolke |
| title_short | Risk Management |
| title_sort | risk management |
| topic | Unternehmen (DE-588)4061963-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Unternehmen Risikomanagement Lehrbuch |
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