Financial Risk Management : From Metrics to Human Conduct / Frantz Maurer.

Format:

Book

Author/Creator:

Maurer, Frantz, 1964- author.

Series:

Wiley finance series.

The Wiley Finance Series

Language:

English

Subjects (All):

Financial risk management.

Basel II (2004 June 26).

Basel II.

Physical Description:

1 online resource (219 pages)

Edition:

First edition.

Place of Publication:

Hoboken, NJ : Wiley, [2024]

Summary:

"This book is not a comprehensive review or catalogue of financial risk management tools and methods; instead, it focuses on the core methods that are actually used by professionals, such as historical Value-at-Risk and Expected Shortfall. Without any knowledge of probabilities, the reader can fully understand the meaning of these risk indicators and how to use them when faced with real life situations that require risk analysis and decision-making. The authors then show how to marry this simple approach to financial risk with a conduct risk index designed to benchmark the conduct of natural risk-takers like traders, and measure how far these risk-takers are from a responsible behavior. A ready-to-use version of this conduct risk index calculator is provided as an Excel add-in on the book's companion website"-- Provided by publisher.

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.

Notes:

Description based on publisher supplied metadata and other sources.

Description based on print version record.

Includes bibliographical references and index.

ISBN:

1-119-88531-0

1-119-88530-2

OCLC:

1412503115