Risk, value and default / Oliviero Roggi, University of Florence, Italy & New York University, USA.

Format:

Book

Author/Creator:

Roggi, Oliviero, author.

Series:

World Scientific series in finance ; vol. 8.

World scientific series in finance ; volume 8

Language:

English

Subjects (All):

Risk management.

Value.

Default (Finance).

Physical Description:

1 online resource (166 p.)

Place of Publication:

New Jersey : World Scientific, [2016]

Language Note:

English

Summary:

"Scholars and practitioners have known for a long time that risk plays an important, indeed central, role in determining the appropriate discount rate to be used in a sophisticated valuation model. In today's world, however, the very risk of survival, especially for financial institutions, is essential to the health of the world's capital markets and their impact on the global economy. Risk, Value and Default is a vital text for understanding the interaction between enterprise risk management with corporate valuation and corporate default. The book seeks to explore the interaction between the risk of default and enterprise risk, and their joint impact on firm valuation. It aims to address the problem of how corporations should deal with risk and how they can maximize shareholder value. It also examines various conceptual ways to measure risk, thereby bridging the gap between theoretical concepts and pragmatic application. The book combines sound conceptual analytics and empirical tools to provide useful information and tangible guidelines for firms, risk managers and financial analysts and advisors. Scholars and professionals with an interest in risk management, and managers, owners, creditors and potential investors in enterprises will find Risk, Value and Default a particularly useful guide to understanding the relationship between risk generation, risk management and corporate value and default from an interdisciplinary perspective."-- Provided by publisher.

Contents:

CONTENTS; Foreword; About the Contributors; Introduction; Part 1. The Concept of Risk and the Enterprise Risk Management; Chapter 1. The Corporate Risk; Definition of Risk and Uncertainty for Business Purposes; Risk and Uncertainty Concepts at Work in Finance; Risk Measurement: Sigma and Beta General Indicators; The Sigma Factor and the Characteristics of Frequency Distribution of Corporate Earnings; The Beta Coefficient; Enterprise Definition and Risk; Enterprise Risks: A Classification by Nature; Operating Risks; Financial Risks (Market Risks); Market Risks

Enterprise Risks: Business and Leverage Risk8Adequacy of Sources and Financial Structure Risk; Risk and Life Cycle Stages of an Enterprise; Risk and Enterprise Value; Inclusion of Risk in the Discount Rate; Inclusion of Risk in Cash Flows; Inclusion of Risk in Cash Flows at Risk (CFaR); Chapter 2. Risk Management: Analysis of Risk, Endowment Capital, and Suppliers of Finance; Evolution of Risk Management (RM) Studies and Treatment of Pure Risks; RM and Typical Intervention Areas; Traditional Risk Management (TRM); Project Risk Management (PRM); Financial Risk Management (FRM); The RM Process

Identification of the Enterprise's Goals in Term of RMRisk Assessment; Enterprise Value and Risk Evaluation: The Economic Value Model; The Economic-Value Model; The Effects of Imperfections; Strategies and Tools for Managing Uncertainty (Risk Treatment); Risk Avoidance; Risk Transfer; Risk Retention; Risk Reduction, Diversification, and Other Policies; Monitoring of Incurred Risks; Retained Risk and the Role of Equity as Guarantee Fund for Fighting Against Uncertainty; Equity, Risk and Legal Guarantee; How much Capital the Firm Needs to Raise?

The Classical Model: All Risks are Transferred to the Suppliers of FinanceThe Insurance Model; Recipients of Enterprise Risk, Seniority and Insolvency; Loss for the period < market value of endowment capital; Part 2. Estimating Default Risk in Practice: Methodologies and Discriminant Variables; Chapter 3. Credit Risk, Default, and Borrowing Costs; Definition of Default/Credit Risk from the Perspective of the Bank; Components of Credit Risk; Estimating EL; The Relationship between EL and Borrowing Cost: Loan Pricing; The Estimate of UL and VaR: Outline

The Enterprise and the "Challenge" of Basel II as an External Stimulus for Risk MeasurementNew Concepts Introduced by Basel II; Measurement of Credit Risk in Accordance with Basel II Standardized Approach and IRB Approach; The Impact of Basel II on the Loans Pricing for Enterprises; The Response to the 2008 Financial Crisis: Basel III and the New Capital Requirements; Basel III: The Genesis; The New Capital Requirements under Basel III; Liquidity Standards under Basel III; CCR and Banks' Leverage under Basel III; Chapter 4. Company Default and Discriminant Variables for SME; Introduction

Default Prediction Methodologies

Notes:

Description based upon print version of record.

Includes bibliographical references (pages 135-149) and index.

Description based on print version record.

ISBN:

981-4641-72-3