Financial Risk Management: From Metrics to Human Conduct
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Newark
John Wiley & Sons, Incorporated
2024
|
| Edition: | 1st ed |
| Series: | The Wiley Finance Series
|
| Subjects: | |
| Online Access: | DE-2070s |
| Item Description: | Description based on publisher supplied metadata and other sources |
| Physical Description: | 1 Online-Ressource (219 Seiten) |
| ISBN: | 9781119885313 |
Staff View
MARC
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| 505 | 8 | |a Cover -- Title Page -- Copyright -- Brief Contents -- Foreword -- Acknowledgements -- List of Acronyms and Symbols -- Introduction -- Part I Navigating Banking Regulation -- Chapter 1 A Brief History of the Basel Framework -- Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio -- Capital Adequacy -- Worked Example 1: Computation of the Cooke Ratio -- Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks -- The Advent of Market Risk -- Computing the Capital Charge for Credit and Market Risks -- Worked Example 2: Computation of the Extended Cooke Ratio -- Chapter 4 Implementation of the Basel II Framework -- The Three Pillars -- Worked Example 3: Computation of the McDonough Solvency Ratio -- The Internal Ratings-Based Approach to Credit Risk -- Chapter 5 A Guided Tour of the Basel III Framework -- The Rationale for a New Regulatory Framework -- Strengthening the Regulatory Capital Framework -- A New Global Liquidity Standard -- Supplementing the Risk-Based Capital Requirement with a Leverage Ratio -- Capital Buffers -- Coping with Tail Risk -- Chapter 6 Climate-Related Financial Risks -- Part II The Financial Risk Measurement Landscape -- Chapter 7 Historical Approach to Risk -- Step-by-Step Calculation of Historical VaR -- Understanding a VaR Result -- The Worst Mistake You Can Make -- Do You Speak Mark-to-Market? -- Beyond VaR -- Chapter 8 The Gaussian Framework -- The Core Equation -- The Covariance Matrix -- The Quantile of the Standardized Gaussian Distribution -- The Expected Return Term -- The Gaussian VaR -- The Gaussian ES -- Chapter 9 A Brief Overview of Monte Carlo Simulation -- Chapter 10 Risk Contribution -- Risk Decomposition of the Gaussian VaR -- Risk Decomposition of the Gaussian ES -- Risk Decomposition of the Historical VaR -- Risk Decomposition of the Historical ES. | |
| 505 | 8 | |a Chapter 11 Shortcomings of Risk Metrics -- The Problem of Stationarity -- Volatility Modelling -- The Gaussian Assumption is Seductive but Dangerous -- Taming Fat Tails and Skewness -- Chapter 12 Ex-Post Evaluation of a Risk Model: Backtesting -- Chapter 13 A Forward-Looking Evaluation of Risk: Stress Testing -- The Return Period -- Historical Stress Scenarios -- Part III Getting Conduct Risk to Scale -- Chapter 14 The Big Picture of Conduct Risk -- Chapter 15 Markers of Conduct Risk -- Chapter 16 Worked Example 7: Building a Conduct Risk Score -- Matching Risk Markers with Conduct Risk Pillars -- Setting Thresholds -- Calculation and Customization of the CRS -- Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes -- Conduct Risk Culture and Behaviours -- Clarifying Good and Bad Behaviours -- Measuring How Far a Risk-Taker is From Good Conduct -- Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index -- Overview -- Calculation of a Negative Conduct Risk Marker Score -- Scores Aggregation and Full Offsetting -- Positive Conduct Risk Marker Scores -- Calculation of the Overall Scores -- Calculation of the Conduct Risk Index -- Chapter 19 Hot Questions Still Pending -- Chapter 20 Understanding the Root Causes of Poor Conduct -- Clustering Risk-Takers -- In-Depth Analysis of Bad Apples -- Putting a Tangible Value on Diversity and Inclusiveness -- Appendix -- References -- Contents -- List of Figures -- List of Tables -- Index -- EULA. | |
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| contents | Cover -- Title Page -- Copyright -- Brief Contents -- Foreword -- Acknowledgements -- List of Acronyms and Symbols -- Introduction -- Part I Navigating Banking Regulation -- Chapter 1 A Brief History of the Basel Framework -- Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio -- Capital Adequacy -- Worked Example 1: Computation of the Cooke Ratio -- Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks -- The Advent of Market Risk -- Computing the Capital Charge for Credit and Market Risks -- Worked Example 2: Computation of the Extended Cooke Ratio -- Chapter 4 Implementation of the Basel II Framework -- The Three Pillars -- Worked Example 3: Computation of the McDonough Solvency Ratio -- The Internal Ratings-Based Approach to Credit Risk -- Chapter 5 A Guided Tour of the Basel III Framework -- The Rationale for a New Regulatory Framework -- Strengthening the Regulatory Capital Framework -- A New Global Liquidity Standard -- Supplementing the Risk-Based Capital Requirement with a Leverage Ratio -- Capital Buffers -- Coping with Tail Risk -- Chapter 6 Climate-Related Financial Risks -- Part II The Financial Risk Measurement Landscape -- Chapter 7 Historical Approach to Risk -- Step-by-Step Calculation of Historical VaR -- Understanding a VaR Result -- The Worst Mistake You Can Make -- Do You Speak Mark-to-Market? -- Beyond VaR -- Chapter 8 The Gaussian Framework -- The Core Equation -- The Covariance Matrix -- The Quantile of the Standardized Gaussian Distribution -- The Expected Return Term -- The Gaussian VaR -- The Gaussian ES -- Chapter 9 A Brief Overview of Monte Carlo Simulation -- Chapter 10 Risk Contribution -- Risk Decomposition of the Gaussian VaR -- Risk Decomposition of the Gaussian ES -- Risk Decomposition of the Historical VaR -- Risk Decomposition of the Historical ES. Chapter 11 Shortcomings of Risk Metrics -- The Problem of Stationarity -- Volatility Modelling -- The Gaussian Assumption is Seductive but Dangerous -- Taming Fat Tails and Skewness -- Chapter 12 Ex-Post Evaluation of a Risk Model: Backtesting -- Chapter 13 A Forward-Looking Evaluation of Risk: Stress Testing -- The Return Period -- Historical Stress Scenarios -- Part III Getting Conduct Risk to Scale -- Chapter 14 The Big Picture of Conduct Risk -- Chapter 15 Markers of Conduct Risk -- Chapter 16 Worked Example 7: Building a Conduct Risk Score -- Matching Risk Markers with Conduct Risk Pillars -- Setting Thresholds -- Calculation and Customization of the CRS -- Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes -- Conduct Risk Culture and Behaviours -- Clarifying Good and Bad Behaviours -- Measuring How Far a Risk-Taker is From Good Conduct -- Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index -- Overview -- Calculation of a Negative Conduct Risk Marker Score -- Scores Aggregation and Full Offsetting -- Positive Conduct Risk Marker Scores -- Calculation of the Overall Scores -- Calculation of the Conduct Risk Index -- Chapter 19 Hot Questions Still Pending -- Chapter 20 Understanding the Root Causes of Poor Conduct -- Clustering Risk-Takers -- In-Depth Analysis of Bad Apples -- Putting a Tangible Value on Diversity and Inclusiveness -- Appendix -- References -- Contents -- List of Figures -- List of Tables -- Index -- EULA. |
| ctrlnum | (ZDB-30-PQE)EBC31093709 (ZDB-30-PAD)EBC31093709 (ZDB-89-EBL)EBL31093709 (OCoLC)1420636218 (DE-599)BVBBV049871697 |
| dewey-full | 658.155 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.155 |
| dewey-search | 658.155 |
| dewey-sort | 3658.155 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| edition | 1st ed |
| format | Electronic eBook |
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| id | DE-604.BV049871697 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-05T17:02:42Z |
| institution | BVB |
| isbn | 9781119885313 |
| language | English |
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| physical | 1 Online-Ressource (219 Seiten) |
| psigel | ZDB-30-PQE ZDB-30-PQE HWR_PDA_PQE |
| publishDate | 2024 |
| publishDateSearch | 2024 |
| publishDateSort | 2024 |
| publisher | John Wiley & Sons, Incorporated |
| record_format | marc |
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| spelling | Maurer, Frantz Verfasser aut Financial Risk Management From Metrics to Human Conduct 1st ed Newark John Wiley & Sons, Incorporated 2024 ©2024 1 Online-Ressource (219 Seiten) txt rdacontent c rdamedia cr rdacarrier The Wiley Finance Series Description based on publisher supplied metadata and other sources Cover -- Title Page -- Copyright -- Brief Contents -- Foreword -- Acknowledgements -- List of Acronyms and Symbols -- Introduction -- Part I Navigating Banking Regulation -- Chapter 1 A Brief History of the Basel Framework -- Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio -- Capital Adequacy -- Worked Example 1: Computation of the Cooke Ratio -- Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks -- The Advent of Market Risk -- Computing the Capital Charge for Credit and Market Risks -- Worked Example 2: Computation of the Extended Cooke Ratio -- Chapter 4 Implementation of the Basel II Framework -- The Three Pillars -- Worked Example 3: Computation of the McDonough Solvency Ratio -- The Internal Ratings-Based Approach to Credit Risk -- Chapter 5 A Guided Tour of the Basel III Framework -- The Rationale for a New Regulatory Framework -- Strengthening the Regulatory Capital Framework -- A New Global Liquidity Standard -- Supplementing the Risk-Based Capital Requirement with a Leverage Ratio -- Capital Buffers -- Coping with Tail Risk -- Chapter 6 Climate-Related Financial Risks -- Part II The Financial Risk Measurement Landscape -- Chapter 7 Historical Approach to Risk -- Step-by-Step Calculation of Historical VaR -- Understanding a VaR Result -- The Worst Mistake You Can Make -- Do You Speak Mark-to-Market? -- Beyond VaR -- Chapter 8 The Gaussian Framework -- The Core Equation -- The Covariance Matrix -- The Quantile of the Standardized Gaussian Distribution -- The Expected Return Term -- The Gaussian VaR -- The Gaussian ES -- Chapter 9 A Brief Overview of Monte Carlo Simulation -- Chapter 10 Risk Contribution -- Risk Decomposition of the Gaussian VaR -- Risk Decomposition of the Gaussian ES -- Risk Decomposition of the Historical VaR -- Risk Decomposition of the Historical ES. Chapter 11 Shortcomings of Risk Metrics -- The Problem of Stationarity -- Volatility Modelling -- The Gaussian Assumption is Seductive but Dangerous -- Taming Fat Tails and Skewness -- Chapter 12 Ex-Post Evaluation of a Risk Model: Backtesting -- Chapter 13 A Forward-Looking Evaluation of Risk: Stress Testing -- The Return Period -- Historical Stress Scenarios -- Part III Getting Conduct Risk to Scale -- Chapter 14 The Big Picture of Conduct Risk -- Chapter 15 Markers of Conduct Risk -- Chapter 16 Worked Example 7: Building a Conduct Risk Score -- Matching Risk Markers with Conduct Risk Pillars -- Setting Thresholds -- Calculation and Customization of the CRS -- Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes -- Conduct Risk Culture and Behaviours -- Clarifying Good and Bad Behaviours -- Measuring How Far a Risk-Taker is From Good Conduct -- Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index -- Overview -- Calculation of a Negative Conduct Risk Marker Score -- Scores Aggregation and Full Offsetting -- Positive Conduct Risk Marker Scores -- Calculation of the Overall Scores -- Calculation of the Conduct Risk Index -- Chapter 19 Hot Questions Still Pending -- Chapter 20 Understanding the Root Causes of Poor Conduct -- Clustering Risk-Takers -- In-Depth Analysis of Bad Apples -- Putting a Tangible Value on Diversity and Inclusiveness -- Appendix -- References -- Contents -- List of Figures -- List of Tables -- Index -- EULA. Finanzdienstleistung (DE-588)4212226-0 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Finanzdienstleistung (DE-588)4212226-0 s Risikomanagement (DE-588)4121590-4 s DE-604 Erscheint auch als Druck-Ausgabe Maurer, Frantz Financial Risk Management Newark : John Wiley & Sons, Incorporated,c2024 9781119885290 |
| spellingShingle | Maurer, Frantz Financial Risk Management From Metrics to Human Conduct Cover -- Title Page -- Copyright -- Brief Contents -- Foreword -- Acknowledgements -- List of Acronyms and Symbols -- Introduction -- Part I Navigating Banking Regulation -- Chapter 1 A Brief History of the Basel Framework -- Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio -- Capital Adequacy -- Worked Example 1: Computation of the Cooke Ratio -- Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks -- The Advent of Market Risk -- Computing the Capital Charge for Credit and Market Risks -- Worked Example 2: Computation of the Extended Cooke Ratio -- Chapter 4 Implementation of the Basel II Framework -- The Three Pillars -- Worked Example 3: Computation of the McDonough Solvency Ratio -- The Internal Ratings-Based Approach to Credit Risk -- Chapter 5 A Guided Tour of the Basel III Framework -- The Rationale for a New Regulatory Framework -- Strengthening the Regulatory Capital Framework -- A New Global Liquidity Standard -- Supplementing the Risk-Based Capital Requirement with a Leverage Ratio -- Capital Buffers -- Coping with Tail Risk -- Chapter 6 Climate-Related Financial Risks -- Part II The Financial Risk Measurement Landscape -- Chapter 7 Historical Approach to Risk -- Step-by-Step Calculation of Historical VaR -- Understanding a VaR Result -- The Worst Mistake You Can Make -- Do You Speak Mark-to-Market? -- Beyond VaR -- Chapter 8 The Gaussian Framework -- The Core Equation -- The Covariance Matrix -- The Quantile of the Standardized Gaussian Distribution -- The Expected Return Term -- The Gaussian VaR -- The Gaussian ES -- Chapter 9 A Brief Overview of Monte Carlo Simulation -- Chapter 10 Risk Contribution -- Risk Decomposition of the Gaussian VaR -- Risk Decomposition of the Gaussian ES -- Risk Decomposition of the Historical VaR -- Risk Decomposition of the Historical ES. Chapter 11 Shortcomings of Risk Metrics -- The Problem of Stationarity -- Volatility Modelling -- The Gaussian Assumption is Seductive but Dangerous -- Taming Fat Tails and Skewness -- Chapter 12 Ex-Post Evaluation of a Risk Model: Backtesting -- Chapter 13 A Forward-Looking Evaluation of Risk: Stress Testing -- The Return Period -- Historical Stress Scenarios -- Part III Getting Conduct Risk to Scale -- Chapter 14 The Big Picture of Conduct Risk -- Chapter 15 Markers of Conduct Risk -- Chapter 16 Worked Example 7: Building a Conduct Risk Score -- Matching Risk Markers with Conduct Risk Pillars -- Setting Thresholds -- Calculation and Customization of the CRS -- Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes -- Conduct Risk Culture and Behaviours -- Clarifying Good and Bad Behaviours -- Measuring How Far a Risk-Taker is From Good Conduct -- Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index -- Overview -- Calculation of a Negative Conduct Risk Marker Score -- Scores Aggregation and Full Offsetting -- Positive Conduct Risk Marker Scores -- Calculation of the Overall Scores -- Calculation of the Conduct Risk Index -- Chapter 19 Hot Questions Still Pending -- Chapter 20 Understanding the Root Causes of Poor Conduct -- Clustering Risk-Takers -- In-Depth Analysis of Bad Apples -- Putting a Tangible Value on Diversity and Inclusiveness -- Appendix -- References -- Contents -- List of Figures -- List of Tables -- Index -- EULA. Finanzdienstleistung (DE-588)4212226-0 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4212226-0 (DE-588)4121590-4 |
| title | Financial Risk Management From Metrics to Human Conduct |
| title_auth | Financial Risk Management From Metrics to Human Conduct |
| title_exact_search | Financial Risk Management From Metrics to Human Conduct |
| title_full | Financial Risk Management From Metrics to Human Conduct |
| title_fullStr | Financial Risk Management From Metrics to Human Conduct |
| title_full_unstemmed | Financial Risk Management From Metrics to Human Conduct |
| title_short | Financial Risk Management |
| title_sort | financial risk management from metrics to human conduct |
| title_sub | From Metrics to Human Conduct |
| topic | Finanzdienstleistung (DE-588)4212226-0 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Finanzdienstleistung Risikomanagement |
| work_keys_str_mv | AT maurerfrantz financialriskmanagementfrommetricstohumanconduct |