Risk: The New Management Imperative In Finance
商品資訊
商品簡介
- Identifying risk: the spectrum of risks faced by market participants
- Measuring and quantifying risk: ways to track and value market and credit risks
- Managing risk: a practical framework for financial risk management implementation
Also includes "The Ten Commandments of Financial Risk Management," how and when to use the latest financial instruments and derivatives, and setting up a trackable risk management initiative.
作者簡介
目次
How This Book Is Organized.
Risk Management Transparency.
The Spectrum of Risks Chart.
Section I THE RISKS AND THEIR CONTOURS.
1. Global Risk Management's Emergence.
Technology and Communications.
Quantitative Models.
Dealers in Flux, Too.
Major Messages in This Book.
Wrap-Up.
2. The Full Spectrum of Risks.
Operational Risk.
Other Nonfinancial Risks.
Wrap-Up.
3.The Contours of Financial Risk.
Funding Risk: The Primal Arc.
Markets and Risk.
Basis Risk.
Alternative Views an Insights.
New Measurement Tools and Management Techniques.
Credit Risk.
The Contours of Credit Risk.
Portfolio Risk.
Our Journey
Wrap-Up
Section II MARKET RISK MANAGEMENT.
4. Market Risk: Tools and Uses.
Hedge Example.
Arbitrage.
Speculation.
Wrap-Up.
5. Commodity Market Risk Management.
Case Study: Big Auto Co.
Case Study: Innovative Enron.
Commodity Market Features.
Wrap-Up.
6. Currency Market Risk Management.
Market Dynamics.
Valuation and Risk Mechanics.
Risk Illustrations.
End Users.
Intermediaries.
Wrap-Up.
7. Fixed-Income Market Risk Management.
Market Dynamics.
Time Matters.
Valuation.
Risk Mechanics.
Risk Illustrations.
Corporate Users.
Dealers.
The Investors.
Wrap-Up.
8. Equity Market Risk Management.
Valuation and Risk Mechanics.
Risk Illustration.
Equity Derivatives.
Dealers and End Users.
Wrap-Up.
Market Risk Summary.
Section III CREDIT RISK MANAGEMENT.
9.The Schism in Credit Risk Management.
Credit Risk Management Difficulties.
Wrap-Up.
10.Credit Risk Management for Trading.
The Variable Exposure Problem.
Pre-Settlement and Settlement Risk.
Monte Carlo Simulation.
Credit Risk versus Exposure.
Credit Limit Problems.
Charging for Credit.
Systemic Concerns.
Wrap-Up.
11. Credit Risk Management for Traditional Lending.
The Traditional Credit Process: Commercial Loans.
Competition and Change to the Process.
Summary of Changes to the Process.
The Prior Models for Credit Risk.
The New Models for Credit Risk.
Case Study: Bank of Montreal.
Credit Market Trends.
Wrap-Up.
Section IV RISK IN PORTFOLIOS
12. Market Risk in Portfolios.
Portfolio Risk Measures: Their Evolution.
Forecasting for VaR.
VaR Summary.
Stress Testing.
The Lessons of 1998.
Wrap-Up.
13. Simulation.
Case Study: Global Oil Co.
Wrap-Up.
Section V DEVELOPING A GLOBAL RISK MANAGEMENT PROCESS.
14. Risk Management: The Vision and the Reality.
The Vision for Risk Management: Go Global.
The Reality at Global Financial Institutions.
Wrap-Up.
15. The Global Risk Management Development Model.
Management Direction.
Risk Management Development Projects.
Integrating with the Operating.
Infrastructure.
Wrap-Up
16.Developing GRM: What Works, What Doesn't.
The Chase Example.
Features of Success.
Pitfalls to Avoid.
Wrap-Up.
Conclusion.
The Ten Commandments for Going Global with Risk.
Appendix: Financial Risk Definitions.
Notes.
Index.
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