The Handbook Of Risk Management - Implementing A Post-Crisis Corporate Culture 9780470681756

当前位置:首页 > 经济 > 英文原版书-经济 > The Handbook Of Risk Management - Implementing A Post-Crisis Corporate Culture 9780470681756

  • 版 次：1
  • 页 数：266
  • 字 数：
  • 印刷时间：2010年05月01日
  • 开 本：16开
  • 纸 张：胶版纸
  • 包 装：精装
  • 是否套装：否
  • 国际标准书号ISBN：9780470681756
作者:Philippe Carrel 　著出版社:Wiley出版时间:2010年05月 
内容简介
This handbook shows a firm how to repurpose its risk management in order to design and implement a corporate culture which involves all business units and individuals at each level of the hierarchy, how to analyse its risk appetite, translate it into risk policies and risk targets and distribute responsibilities and capabilities accordingly. The book explains how to identify risk exposure across the enterprise; how to empower each business unit with risk management capabilities; how to create an information workflow for preventative decision making; how to align funding strategies and liquidity management tactics with corporate risk policies and finally, how to deal with risk management in external communications. Philippe Carrel (Geneva, Switzerland) is Executive Vice President, Global Head of Business Development in Risk Management, at Thomson Reuters. Specialist of derivatives valuations and regulatory compliance, he was previously Head of Alternative Investments Strategies at Reuters in New York and Director of Risk and Trade Management at Reuters head office in London.
作者简介

Philippe Carrel (Geneva, Switzerland) is Executive Vice President, Global Head of Business Development in Risk Management, at Thomson Reuters. Specialist of derivatives valuations and regulatory compliance, he was previously Head of Alternative Investments Strategies at Reuters in New York and Director of Risk and Trade Management at Reuters head office in London.

目　　录
Preface. Acknowledgements. 1 Introduction: Risk is People'sBusiness. 1.1 The Essence of Capitalism. 1.2 The Move to Models;when Risk Ceased to be Managed. 1.3 The Decade of Risk Management.1.4 Risk Intelligence Precedes Risk Management. 1.5 Risk Managementand the Human Dimension of Capitalism. 1.5.1 Risk scales andbalances. 1.5.2 A risk culture is corporate DNA. PART 1DISTRIBUTING RISK EXPOSURE AND SENSITIVITY ACROSS THE ENTERPRISE. 2Identifying Risk Factors. 2.1 Specific Risk Factors. 2.1.1 Thesearch for risk factors. 2.1.2 Root-risk factors. 2.1.3 Identifyingvaluation risk. 2.1.4 Identifying liquidity risk. 2.2 SystematicRisk Factors. 2.2.1 Portfolios of external risks. 2.2.2 Systematicrisk and factors correlation. 3 Working with Risk Factors. 3.1Approaching Risk Through Sensitivity and Scenarios. 3.2 Root-RiskFactors and Conduits of Sensitivity. 3.3 Back-Testing andMaintaining the Factors. 4 Working with Scenarios. 4.1 ScenarioDefinition. 4.2 High-Severity and Worst Case Scenarios. 4.3Aggregating Firm-wide Risk Sensitivity. 4.4 Aggregating Scenarios.5 From Aggregated Risks to Distributed Risks. 5.1 The TraditionalApproach to Risk Management has Led to the Modelling of Exposure byBusiness Lines. 5.2 Distributing Risk by Risk Factors Leads toCreation of a Culture. 5.3 Distributed Risk Implies Data Analysis.6 Creating an Adaptive Information Workflow. 6.1 Getting the Systemto Evolve. 6.2 Moving on to the Next Step. PART 2 EMPOWERINGBUSINESS AND RISK UNITS WITH RISK MANAGEMENT CAPABILITIES. 7Allocating Risk Management Capabilities. 7.1 Business Managers areRisk Managers. 7.2 The Role of Executive Risk Committees. 7.3 TheRole of Audit and Control Units. 8 Mitigation Strategies andHedging Tactics. 8.1 Front-line Business Units. 8.2 OperationalUnits. 8.3 Management. 8.4 Risk Committees and Audit Controls. 9Risk Independence or Indifference to Risk? 9.1 Role of theShareholders and Nonexecutive Directors. 9.2 Responsibility andAccountability. 9.3 Control and Report Hierarchy. 10 Risk-WeightedPerformance. 10.1 Principles of Risk-weighted Measurements. 10.1.1Mark to time-weighted volatility. 10.1.2 Business resilience andcountercyclical approaches. PART 3 CREATING AN INFORMATION WORKFLOWFOR CONTINUOUS FEEDBACK AND PREVENTIVE DECISION MAKING. 11 FromRisk Appetite to Risk Policies. 11.1 Risk: The New Bond. 11.2Dynamic Two-way Information Workflow. 11.3 Preventive Rules for aPre-Emptive Course of Action. 11.4 The Dynamic Assessments of RiskFactor Sensitivities. 11.4.1 Risk factor appropriateness tests.11.5 Sensitivity Rules and Stress Tests. 11.5.1 Triggers. 11.5.2Dynamic, swappable mitigation tactics. 12 Bottom-Up ActivityFeedback. 12.1 Keeping a Finger on the Pulse. 12.1.1 Continuousefficiency monitoring. 12.1.2 Test and result certification. 12.2Aggregating Scenarios: The Actual Risk Appetite of the Firm. 12.3Towards a Risk Information Bus for IT Purposes. 13 Enterprise-WideAggregation. 13.1 Cross-asset Sensitivity Aggregation. 13.2Cross-division Aggregation Potential Pitfalls. 13.2.1 Cross-marketeffects and correlations. 13.2.2 Of correlation and liquidity.13.2.3 Model and valuation risks. 13.2.4 Technology risks. 14Top-Down Decisions and Feedback. 14.1 Risk Dashboards. 14.2Pre-emptive Decision Frameworks. 14.3 An Interactive and AdaptiveWorkflow. 14.4 Hierarchy, Decisions, Overruling. 15 Deriving aFirm's Actual Observed Risk Appetite. 15.1 Modelling Worst CaseScenarios. 15.1.1 Aggregating figures. 15.1.2 Aggregatingqualitative assessments. 15.2 Risk Policies Reconciliation. 15.2.1Quantitative: risk factors, sensitivity, scenarios. 15.2.2Qualitative: implied assumptions, distributions, correlations,market evolutions, back-testing. 15.2.3 Solvency and liquiditymanagement. 15.2.4 Systematic risks. 15.2.5 Regulatory risks. PART4 ALIGNING FUNDING STRATEGIES AND LIQUIDITY MANAGEMENT TACTICS WITHCORPORATE RISK POLICIES. 16 Liquidity, the Ultimate OperationalRisk. 16.1 Maintaining the Internal Balance. 16.2 Internal Sourcesof Liquidity Risks. 16.3 External Sources of Liquidity Risk. 17Analysing and Measuring Liquidity Risks. 17.1 Valuation-drivenLiquidity Risks. 17.2 Market Depth. 17.3 Over-the-counter Markets.18 Funding Risk. 18.1 Asset Liability Risks. 18.2 SystematicSources of Liquidity Risks. 18.3 Concentration Risks. 18.3.1Dynamic concentrations. 18.3.2 Concentration risk measurements.18.3.3 Counterparty interdependence. 18.3.4 Regulatory-drivenliquidity risk. 19 Managing and Mitigating Liquidity Risks. 19.1Laying Down the Foundations of a Corporate Strategy. 19.1.1 Chosenrisk factors and appetite for risk. 19.2 Monitoring Concentrations.19.3 Working with Risk Concentrations. 19.3.1 Reconciliations orrisk concentrations and risk policies. 19.3.2 Managingconcentrations. 19.4 ALM Analyses and Liquidity Management. 19.4.1Margin and business risk analysis. 19.4.2 Sensitivity of durationgaps. 19.4.3 Convexity gaps. 19.5 Valuation Risks. 19.5.1 Marketdepth. 19.5.2 Counterparty-related liquidity risks. 19.5.3Corporate governance. 19.6 Regulatory Risk. 19.7 Of Liquidity Riskand Correlation. 19.8 Funding Strategy is a Risk Profile. PART 5EXTERNAL COMMUNICATIONS, DISCLOSURE POLICIES AND TRANSPARENCY. 20External Communications. 20.1 Risk, the New Media. 20.2 DisclosurePolicies. 20.2.1 Communications directed at regulators and industryrepresentatives. 20.2.2 Communications directed at shareholders andfunding partners. 20.2.3 Communications directed at the public.20.2.4 Public relations and disclosure policies. 21 EnhancingTransparency. 21.1 Prices and Valuations Transparency. 21.2Transparency of Internal Processes and Procedures. 21.3Transparency of Corporate Governance Rules and ExternalCommunications. 22 Information Exchange for Risk Intelligence. 22.1Proposal for a Global Credit and Collateral Exposure SurveillanceScheme. 22.2 Proposal for a Taxonomy of Path-dependent Derivativesand Retail Structured Products. 22.3 Risk Intelligence Ratings.22.3.1 Valuation risk ratings. 22.3.2 Risk-based pricing frequency.PART 6 THE REGULATORY UPHEAVAL OF THE 2010s. 23 The Great Unwind.23.1 Regulatory Reshuffle. 23.1.1 How risks have evolved. 23.1.2From risk regulation to regulatory risks. 24 Propositions for aRegulatory Upheaval. 24.1 Propositions Relating to IdiosyncraticRisks. 24.1.1 Risk concentration benchmarks. 24.1.2 Departure fromthe generalized assumption of normality. 24.1.3 Benchmarks of riskexposure and liquidity concentrations. 24.2 Propositions Relatingto Systematic Risks. 24.2.1 Required Disclosure of Term Structuresof Assets and Liabilities in Foreign Currencies. 24.2.2 Dynamiccapital adequacy requirements. 24.2.3 Preserving diversity. 24.3Propositions Relating to Systemic Risks. 24.3.1 Establish controlsfor cross-industry transactions and exposure netting. 24.3.2Simulations involvingmultiple sectors and regulators. Index.
显示全部信息
媒体评论

This "handbook" shows a firm how to repurpose its risk management in order to design and implement a corporate culture which involves all business units and individuals at each level of the hierarchy, how to analyse its risk appetite, translate it into risk policies and risk targets and distribute responsibilities and capabilities accordingly. The book explains how to identify risk exposure across the enterprise; how to empower each business unit with risk management capabilities; how to create an information workflow for preventative decision making; how to align funding strategies and liquidity management tactics with corporate risk policies and finally, how to deal with risk management in external communications.

 The Handbook Of Risk Management - Implementing A Post-Crisis Corporate Culture 9780470681756下载


发布书评

　
　
 

PDF图书网 

PDF图书网 @ 2017