Financial enterprise risk management:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2017
|
| Edition: | Second edition |
| Series: | International series on actuarial science
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Previous edition: 2011. - Includes bibliographical references and index |
| Physical Description: | ix, 601 Seiten Diagramme 23 cm |
| ISBN: | 9781107184619 |
Staff View
MARC
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| 245 | 1 | 0 | |a Financial enterprise risk management |c Paul Sweeting, University of Kent |
| 250 | |a Second edition | ||
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Record in the Search Index
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| adam_text | Contents
Preface page xi
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
Types of Financial Institution 11
2.1 Introduction 11
2.2 Banks 12
2.3 Insurance Companies 14
2.4 Pension Schemes 16
2.5 Foundations and Endowments 18
2.6 Further Reading 19
Stakeholders 20
3.1 Introduction 20
3.2 Principals 20
3.3 Agents 31
3.4 Controlling 42
3.5 Advisory 48
3.6 Incidental 51
3.7 Further Reading 53
The Internal Environment 54
4.1 Introduction 54
4.2 Internal Stakeholders 54
55
57
60
60
62
62
62
63
63
65
66
67
88
92
99
101
103
103
103
104
104
105
106
107
109
111
112
113
117
124
125
125
126
126
126
129
132
133
133
Contents
4.3 Culture
4.4 Structure
4.5 Capabilities
4.6 Further Reading
The External Environment
5.1 Introduction
5.2 External Stakeholders
5.3 Political Environment
5.4 Economic Environment
5.5 Social and Cultural Environment
5.6 Competitive Environment
5.7 Regulatory Environment
5.8 Professional Environment
5.9 Industry Environment
5.10 Further Reading
Process Overview
Definitions of Risk
7.1 Introduction
7.2 Market and Economic Risk
7.3 Interest Rate Risk
7.4 Foreign Exchange Risk
7.5 Credit Risk
7.6 Liquidity Risk
7.7 Systemic Risk
7.8 Demographic Risk
7.9 Non-life Insurance Risk
7.10 Environmental Risk
7.11 Operational Risks
7.12 Different Definitions of Operational Risk
7.13 Residual Risks
7.14 Basis Risk
7.15 Further Reading
Risk Identification
8.1 Introduction
8.2 Risk Identification Tools
8.3 Risk Identification Techniques
8.4 Assessment of Risk Nature
8.5 Risk Register
8.6 Further Reading
Contents
vii
9 Some Useful Statistics 134
9.1 Location 134
9.2 Spread 135
9.3 Skew 137
9.4 Kurtosis 137
9.5 Correlation 139
9.6 Further Reading 145
10 Statistical Distributions 146
10.1 Univariate Discrete Distributions 146
10.2 Univariate Continuous Distributions 149
10.3 Multivariate Distributions 180
10.4 Copulas 204
10.5 Further Reading 225
11 Modelling Techniques 228
11.1 Introduction 228
11.2 Fitting Data to a Distribution 230
11.3 Fitting Data to a Model 235
11.4 Smoothing Data 243
11.5 Using Models to Classify Data 249
11.6 Uncertainty 264
11.7 Credibility 267
11.8 Bayesian Networks 275
11.9 Model Validation 280
11.10 Further Reading 281
12 Extreme Value Theory 286
12.1 Introduction 286
12.2 The Generalised Extreme Value Distribution 286
12.3 Generalised Pareto Distribution 290
12.4 Further Reading 292
13 Modelling Time Series 294
13.1 Introduction 294
13.2 Deterministic Modelling 294
13.3 Stochastic Modelling 295
13.4 Time Series Processes 298
13.5 Data Frequency 318
13.6 Discounting 319
13.7 Further Reading 322
326
326
326
339
351
351
372
374
375
384
391
391
392
397
397
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401
402
415
417
418
425
429
429
432
446
450
450
457
457
459
461
463
463
465
473
476
476
476
Contents
Quantifying Particular Risks
14.1 Introduction
14.2 Market and Economic Risk
14.3 Interest Rate Risk
14.4 Foreign Exchange Risk
14.5 Credit Risk
14.6 Liquidity Risk
14.7 Systemic Risks
14.8 Demographic Risk
14.9 Non-life Insurance Risk
14.10 Environmental Risk
14.11 Operational Risks
14.12 Further Reading
Risk Assessment
15.1 Introduction
15.2 Risk Appetite
15.3 Upside and Downside Risk
15.4 Risk Measures
15.5 Unquantifiable Risks
15.6 Return Measures
15.7 Optimisation
15.8 Further Reading
Responses to Risk
16.1 Introduction
16.2 Market and Economic Risk
16.3 Interest Rate Risk
16.4 Foreign Exchange Risk
16.5 Credit Risk
16.6 Liquidity Risk
16.7 Systemic Risk
16.8 Demographic Risk
16.9 Non-life Insurance Risk
16.10 Environmental Risk
16.11 Operational Risks
16.12 Different Definitions of Operational Risk
16.13 Further Reading
Continuous Considerations
17.1 Introduction
17.2 Documentation
ix
477
479
480
481
481
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483
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491
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546
548
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573
586
Contents
17.3 Communication
17.4 Audit
17.5 Further Reading
Economie Capital
18.1 Introduction
18.2 Définition of Economie Capital
18.3 Economie Capital Models
18.4 Designing an Economie Capital Model
18.5 Running an Economie Capital Model
18.6 Calculating Economie Capital
18.7 Economie Capital and Risk Optimisation
18.8 Capital Allocation
18.9 Further Reading
Risk Frameworks
19.1 Mandatory Risk Frameworks
19.2 Advisory Risk Frameworks
19.3 Proprietary Risk Frameworks
19.4 Further Reading
Case Studies
20.1 Introduction
20.2 The 2008 Global Financial Crisis
20.3 Barings Bank
20.4 Equitable Life
20.5 Korean Air
20.6 Long Term Capital Management
20.7 Bernard Madoff
20.8 Robert Maxwell
20.9 Space Shuttle Challenger
20.10 Heartland Payment Systems
20.11 KimPhilby
20.12 Conclusion
20.13 Further Reading
■ Solutions to Questions
References
Index
|
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| author | Sweeting, Paul |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | Second edition |
| format | Book |
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| indexdate | 2024-07-10T07:54:00Z |
| institution | BVB |
| isbn | 9781107184619 |
| language | English |
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| publishDate | 2017 |
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| series2 | International series on actuarial science |
| spelling | Sweeting, Paul Verfasser (DE-588)1023633183 aut Financial enterprise risk management Paul Sweeting, University of Kent Second edition Cambridge Cambridge University Press 2017 ix, 601 Seiten Diagramme 23 cm txt rdacontent n rdamedia nc rdacarrier International series on actuarial science Previous edition: 2011. - Includes bibliographical references and index Financial services industry / Risk management Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 s DE-604 Digitalisierung UB Passau - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029876631&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Sweeting, Paul Financial enterprise risk management Financial services industry / Risk management Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4121590-4 |
| title | Financial enterprise risk management |
| title_auth | Financial enterprise risk management |
| title_exact_search | Financial enterprise risk management |
| title_full | Financial enterprise risk management Paul Sweeting, University of Kent |
| title_fullStr | Financial enterprise risk management Paul Sweeting, University of Kent |
| title_full_unstemmed | Financial enterprise risk management Paul Sweeting, University of Kent |
| title_short | Financial enterprise risk management |
| title_sort | financial enterprise risk management |
| topic | Financial services industry / Risk management Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Financial services industry / Risk management Risikomanagement |
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