Investment Risk Management provides an overview of developments in risk management and a synthesis of research on the subject. The chapters examine ways to alter exposures through measuring and managing risk exposures and provide an understanding of the latest strategies and trends within risk management.
Investment Risk Management provides an overview of developments in risk management and a synthesis of research on the subject. The chapters examine ways to alter exposures through measuring and managing risk exposures and provide an understanding of the latest strategies and trends within risk management.
H. Kent Baker is a University Professor of Finance in the Kogod School of Business at American University. Professor Baker is an author or editor of 22 books including Investor Behavior - The Psychology of Financial Planning and Investing, Market Microstructure of Emerging and Developed Markets, Behavioral Finance - Investors, Corporations, and Markets, Portfolio Theory and Management, and Survey Research in Corporate Finance. As one of the most prolific finance academics, he has published more than 150 refereed articles in such journals as the Journal of Finance, Journal of Financial and Quantitative Analysis, Financial Management, Financial Analysts Journal, and Journal of Portfolio Management. Greg Filbeck holds the Samuel P. Black III Professor of Insurance and Risk Management at Penn State Erie, the Behrend College and serves as Area Chair for Finance, Accounting, and Business Economics. He formerly served as Senior Vice-President of Kaplan Schweser and held academic appointments at Miami University (Ohio) and the University of Toledo, where he served as the Associate Director of the Center for Family Business. Professor Filbeck is an author or editor of four books and has published more than 75 refereed academic journal articles that have appeared in journals such as Financial Analysts Journal, Financial Review, and Journal of Business, Finance, and Accounting.
Inhaltsangabe
SECTION ONE FOUNDATIONS OF RISK MANAGEMENT 1. Investment Risk Management: An Overview H. Kent Baker and Greg Filbeck 2. Measuring and Managing Risk Raimund M. Kovacevic, Georg Ch. Pflug, and Alois Pichler 3. How Risk Management Adds Value M. Martin Boyer and Monica Marin 4. Accounting and Risk Management Mark Bradshaw and Bjorn Jorgensen SECTION TWO TYPES OF RISK 5. Market Risk Ramon P. Degennaro and Chanaka P. Edirisinghe 6. Credit Risk Measurement and Management Norbert J. Jobst 7. Operational Risk Pavel V. Shevchenko 8. Liquidity Risk Kose John, Samir Saadi, and Hui Zhu 9. Country Risk: Determinants, Measures, and Implications Aswath Damodaran 10. Systemic Risk Andreas Krause 11. Behavioral Risk M. Martin Boyer, Franca Glenzer, and Samuel Ouzan 12. Governance Risk: A Guide for Investors Didier Cossin 13. Inflation Risk: Causes and Instruments for Protection Claus Huber, Felix Gasser, and Nicolas Bürkler 14. Risk Aggregation and Capital Management Sumit Mathur SECTION THREE QUANTITATIVE ASSESSMENT OF RISK 15. Value-at-Risk and Other Risk Measures Markus Lieppold 16. Stress Testing Martin ?ihák 17. Risk Management and Regulation David E. Allen, Robert J. Powell, and Abhay K. Singh 18. Risk Budgeting Gregg Fisher, Tim Nguyen, and Cristian I. Tiu 19. Risk-Adjusted Performance Measurement Pilar Grau Carles 20. Risk Attribution Analysis Philippe Bertrand SECTION FOUR RISK AND ASSET CLASSES 21. Risk and Mortgage-Backed Securities in a Time of Transition Harold C. Barnett 22. Credit Value Adjustment James T. Moser 23. Risk Management and Hedge Funds Razvan Pascalau SECTION FIVE HEDGING RISK 24. Options Kit Pong Wong, Greg Filbeck, and H. Kent Baker 25. Trading Futures to Manage Risk Ludwig B. Chincarini 26. Swaps Dimitris Tsouknidis and Elias Boukrami 27. The Economics of Credit Derivatives Udo Broll, Simone Raab, and Peter Welzel 28. Foreign Exchange Derivatives in Frontier Markets Othmane Boukrami and Bert van Lier SECTION SIX GOING FORWARD 29. Risk Management and Financial Disasters Gabriele Sabato 30. The Future of Risk Management Hunter M. Holzhauer
SECTION ONE FOUNDATIONS OF RISK MANAGEMENT 1. Investment Risk Management: An Overview H. Kent Baker and Greg Filbeck 2. Measuring and Managing Risk Raimund M. Kovacevic, Georg Ch. Pflug, and Alois Pichler 3. How Risk Management Adds Value M. Martin Boyer and Monica Marin 4. Accounting and Risk Management Mark Bradshaw and Bjorn Jorgensen SECTION TWO TYPES OF RISK 5. Market Risk Ramon P. Degennaro and Chanaka P. Edirisinghe 6. Credit Risk Measurement and Management Norbert J. Jobst 7. Operational Risk Pavel V. Shevchenko 8. Liquidity Risk Kose John, Samir Saadi, and Hui Zhu 9. Country Risk: Determinants, Measures, and Implications Aswath Damodaran 10. Systemic Risk Andreas Krause 11. Behavioral Risk M. Martin Boyer, Franca Glenzer, and Samuel Ouzan 12. Governance Risk: A Guide for Investors Didier Cossin 13. Inflation Risk: Causes and Instruments for Protection Claus Huber, Felix Gasser, and Nicolas Bürkler 14. Risk Aggregation and Capital Management Sumit Mathur SECTION THREE QUANTITATIVE ASSESSMENT OF RISK 15. Value-at-Risk and Other Risk Measures Markus Lieppold 16. Stress Testing Martin ?ihák 17. Risk Management and Regulation David E. Allen, Robert J. Powell, and Abhay K. Singh 18. Risk Budgeting Gregg Fisher, Tim Nguyen, and Cristian I. Tiu 19. Risk-Adjusted Performance Measurement Pilar Grau Carles 20. Risk Attribution Analysis Philippe Bertrand SECTION FOUR RISK AND ASSET CLASSES 21. Risk and Mortgage-Backed Securities in a Time of Transition Harold C. Barnett 22. Credit Value Adjustment James T. Moser 23. Risk Management and Hedge Funds Razvan Pascalau SECTION FIVE HEDGING RISK 24. Options Kit Pong Wong, Greg Filbeck, and H. Kent Baker 25. Trading Futures to Manage Risk Ludwig B. Chincarini 26. Swaps Dimitris Tsouknidis and Elias Boukrami 27. The Economics of Credit Derivatives Udo Broll, Simone Raab, and Peter Welzel 28. Foreign Exchange Derivatives in Frontier Markets Othmane Boukrami and Bert van Lier SECTION SIX GOING FORWARD 29. Risk Management and Financial Disasters Gabriele Sabato 30. The Future of Risk Management Hunter M. Holzhauer
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