Corporate risk management: theories and applications
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, New Jersey
Wiley
[2019]
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| Series: | Wiley finance series
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xxi, 394 Seiten Diagramme |
| ISBN: | 9781119583127 1119583128 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents Foreword by Denis Kessler bitroductlon XUI xvll General Presentation Contents of the Book Acknowledgments General References СНАРТ0П Risk Management: Definition and Historical Development History of Risk Management 1.1 Milestones in Financial Risk Management 1.2 Current Definition of Corporate Risk Management 1.3 1.4 Conclusion References xvii xix XX xxi 1 2 3 7 S 9 CHAPTER Z Theoretical Determinants of Risk Management In ПІоп-ñnanclal Firms Value of Risk Management 2.1 2.2 Comparative Advantages in Risk Taking 2.3 Risk Management and Capital Structure 2.4 Risk Management and Managerial Incentives 2.5 Conclusion References 11 12 16 17 18 19 19 CHAPTER 3 Risk Management and Investment Financing 3.1 Basic Model 3.2 Illustration with the Standard Debt Contract 3.3 Model with Two Random Variables 3.4 Conclusion References Appendix A: Value of dlVdw Appendix B: Standard Debt Dcontract 21 21 27 28 31 31 31 32 vll
vid CONTENTS CHAPTER 4 Significant Determinants ol Risk Management of Non-HnancM Firms 4.1 4.2 4.3 4.4 Rationale for the Research Significant Determinants Governance and Endogeneity of Debt Conclusion References Appendix: Construction of the Tax-Save Variable CHAPTER 6 Vabe at Risk 5.1 5.2 5.3 5.4 5.5 5.6 5.7 Example of VaR Numerical Method Parametric Method Taking Time Periods into Consideration Confidence Interval of the VaR CVaR Conclusion References CHAPTER 8 Choice of Portfolio and VaR Constraint 6.1 6.2 6.3 Optimal Benchmark Portfolio of the Firm Optimal Portfolio of a Constrained Manager Conclusion References CHAPTER 7 VaR № Portfolios of Assots and Options 7.1 7.2 7.3 7.4 7.5 7.6 7.7 7.8 VaR as a Risk Measure Models without Derivatives VaR with Options Black and Scholes Model and Risk Management Delta-Gamma VaR VaR of a General Portfolio Application Conclusion References CHAPTER 8 Conditional VaR 8.1 8.2 8.3 8.4 8.5 8.6 Motivation for CVaR and Coherence in Risk Measures Notation and VaR Definition of CVaR Another Way to Derive CVaR with a Return Distribution Example with Student’s ¿-Distribution and Other Examples Conclusion: CVaR in Basel Regulation References 8S 35 36 50 60 61 62 68 63 65 66 67 68 69 70 71 78 73 75 77 77 78 79 80 85 88 90 90 92 97 97 88 99 101 104 107 108 111 111
ІХ Contents CHAPTERS Regulation of Bank №sk and Use of VaR 9.1 9.2 9.3 9.4 9.5 9.6 9.7 Basel Accords Market Risk Regulation of 1996 Specific Risks Total Required Capital Tests Comparison between Standard and Internal Methods with Interest Rate Risk Conclusion References МАРТЕН 10 Optimal Financial Compacts ami Incentivas imdm· Moral Hazard 10.1 10.2 10.3 10.4 Optimal Financial Contracts and Moral Hazard Theoretical Model Empirical Application to Air Accident Risk Conclusion References Appendix A: Synthesis of Forms of Financial Contracts Appendix B: Definitions of Variables CHAPTER 11 Venture Capital Risk with Optimal Financing structure 11.1 11.2 11.3 11.4 11.5 11.6 Some Statistics about Venture Capital Role of Venture Capital Firms Venture Capital Firms and Added Value Role of Convertible Debt Information Asymmetry and Venture Capital Conclusion References CHAPTER 12 Bank Credit Risk: Scorine of Individual Risks 12.1 12.2 12.3 12.4 Theoretical Model Empirical Analysis Credit Line and Loan Default Conclusion References СНАРТВИЅ Portfolio Management of Credit Risk 13.1 13.2 13.3 13.4 13.5 CreditMetrics Review of Chapters 2 and 3 of CreditMetrics KMV Approach Calculation of Correlations Conclusion References 118 114 120 120 122 124 124 133 134 186 136 140 144 148 148 149 150 168 154 155 156 156 158 163 164 187 169 171 180 182 182 186 185 186 193 196 202 202
x CONTENTS CHAPTER 14 Quantificatimi of Banks Operational Risk 14.1 Context and Presentation of Operational Risk 14.2 Measurement of Regulatory Capital 14.3 Calculation of Regulatory Capital for Losses of over $1 Million (LDA) 14.4 Conclusion References 210 227 228 CHAPTBI16 Liquidity Risk 15.1 Theoretical Modeling of CDSs 15.2 Bond Yield Spread’s Default Portion 15.3 Empirical Measurement of Yield Spreads’ Default Portion 15.4 Non-Default Portion of Yield Spreads 15.5 Illiquidity Index 15.6 Illiquidity Premium 15.7 Data 15.8 Principal Component Analysis of Liquidity Risk 15.9 Empirical Analysis of Credit Cycles 15.10 Regime Detection Model 15.11 Detection of Default and Liquidity Regimes 15.12 Conclusion References 281 232 233 235 237 242 244 244 245 246 248 250 251 252 CHAPTBI IB Long-Term Capital Management 16.1 Brief History of the Fund 16.2 Risk Management, VaR, and Required Capital 16.3 Portfolio Optimization and Leverage Effect 16.4 Conclusion References 2S5 256 258 260 261 262 CHAPTB117 Structured Finance and the Financial Crisis of 2007-2008 17.1 Structured Finance 17.2 Poor Risk Management Linked to the Structured Finance Market 17.3 Conclusion References Appendix: How to Create an AAA CDO Tranche from BBB Loans CHAPTB118 Risk Management and Corporate Bovarnanca 18.1 Enron and Corporate Governance 18.2 Financial Crisis and Corporate Governance 206 205 208 288 263 264 266 268 269 271 271 273
xi Contents 18.3 18.4 18.5 18.6 18.7 18.8 New 2002 Governance Rules Risk Management and Governance Administrative Competence of Board Members New Regulation for Financial Institutions Economic Analysis of Governance Effect Conclusion References Appendix A: Governance of Canadian Federal Financial Institutions Appendix B: Details on the Construction of the Governance Indexes Appendix C: Variables CHAPTER 18 Risk Management and Industrial Organization 19.1 19.2 19.3 Entry, Production, and Hedging Commitment to Hedging Conclusion References CHAPTBI20 Real Implications ol Corporate Risk Management 20.1 20.2 20.3 20.4 20.5 Real Implications of Corporate Risk Management: A Review Methodology US Oil Producers Multivariate Results Conclusion References Appendix: Estimated MTEs CHAPTER 21 Exercises 290 291 293 286 295 297 297 299 801 302 303 309 316 324 324 326 881 Exercise 1 Portfolio Choice and the Notion of Value at Risk (VaR) Exercise 2 Backtesting of VaR Models Exercise 3 Calculation of VaR with Different Distributions and Accuracy of VaR Exercise 4 VaR for an Equity Portfolio with Options Exercise 5 CVaR Conditional Value at Risk Conclusion Reference Conclusion 331 345 351 359 369 376 376 877 General References Index 273 274 276 276 277 288 288 378 878
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| physical | xxi, 394 Seiten Diagramme |
| publishDate | 2019 |
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| spelling | Dionne, Georges 1950- Verfasser (DE-588)170189856 aut Corporate risk management theories and applications Georges Dionne Hoboken, New Jersey Wiley [2019] xxi, 394 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Wiley finance series Unternehmen (DE-588)4061963-1 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Risk management Unternehmen (DE-588)4061963-1 s Risikomanagement (DE-588)4121590-4 s Finanzierung (DE-588)4017182-6 s b DE-604 Erscheint auch als Online-Ausgabe, EPUB 978-1-119-58315-8 Erscheint auch als Online-Ausgabe, PDF 978-1-119-58317-2 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030927746&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| subject_GND | (DE-588)4061963-1 (DE-588)4017182-6 (DE-588)4121590-4 |
| title | Corporate risk management theories and applications |
| title_auth | Corporate risk management theories and applications |
| title_exact_search | Corporate risk management theories and applications |
| title_full | Corporate risk management theories and applications Georges Dionne |
| title_fullStr | Corporate risk management theories and applications Georges Dionne |
| title_full_unstemmed | Corporate risk management theories and applications Georges Dionne |
| title_short | Corporate risk management |
| title_sort | corporate risk management theories and applications |
| title_sub | theories and applications |
| topic | Unternehmen (DE-588)4061963-1 gnd Finanzierung (DE-588)4017182-6 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Unternehmen Finanzierung Risikomanagement |
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