Georges Dionne

Corporate Risk Management (eBook, ePUB)

Theories and Applications

• Format: ePub

Produktbeschreibung

An updated review of the theories and applications of corporate risk management After the financial crisis of 2008, issues concerning corporate risk management arose that demand new levels of oversight. Corporate Risk Management is an important guide to the topic that puts the focus on the corporate finance dimension of risk management. The author--a noted expert on the topic--presents several theoretical models appropriate for various industries and empirically verifies theoretical propositions. The book also proposes statistical modeling that can evaluate the importance of different risks and their variations according to economic cycles. The book provides an analysis of default, liquidity, and operational risks as well as the failures of LTCM, ENRON, and financial institutions that occurred during the financial crisis. The author also explores Conditional Value at Risk (CVaR), which is central to the debate on the measurement of market risk under Basel III. This important book: * Includes a comprehensive review of the aspects of corporate risk management * Presents statistical modeling that addresses recent risk management issues * Contains an analysis of risk management failures that lead to the 2008 financial crisis * Offers a must-have resource from author Georges Dionne the former editor of The Journal of Risk and Insurance Corporate Risk Management provides a modern empirical analysis of corporate risk management across industries. It is designed for use by risk management professionals, academics, and graduate students.

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Produktdetails

• Verlag: Wiley-Blackwell
• Seitenzahl: 416
• Erscheinungstermin: 22. April 2019
• Englisch
• ISBN-13: 9781119583158
• Artikelnr.: 56888106

Autorenporträt

GEORGES DIONNE is Professor and Canada Research Chair in Risk Management, Department of Finance, HEC Montréal, Quebec, Canada. He was Editor of The Journal of Risk and Insurance from 2007 to 2013, and member of the HEC Montréal Board of Directors from 2009 to 2015. He received the Innis-Gérin Medal in 2011 for his contribution to social sciences in Canada.

Inhaltsangabe

Foreword by Denis Kessler xiii

Introduction xvii

General Presentation xvii

Contents of the Book xix

Acknowledgments xx

General References xxi

Chapter 1 Risk Management: Definition and Historical Development 1

1.1 History of Risk Management 2

1.2 Milestones in Financial Risk Management 3

1.3 Current Definition of Corporate Risk Management 7

1.4 Conclusion 8

References 9

Chapter 2 Theoretical Determinants of Risk Management in Non-Financial Firms 11

2.1 Value of Risk Management 12

2.2 Comparative Advantages in Risk Taking 16

2.3 Risk Management and Capital Structure 17

2.4 Risk Management and Managerial Incentives 18

2.5 Conclusion 19

References 19

Chapter 3 Risk Management and Investment Financing 21

3.1 Basic Model 21

3.2 Illustration with the Standard Debt Contract 27

3.3 Model with Two Random Variables 28

3.4 Conclusion 31

References 31

Appendix A: Value of dI*/dw 31

Appendix B: Standard Debt Dcontract 32

Chapter 4 Significant Determinants of Risk Management of Non-Financial Firms 35

4.1 Rationale for the Research 35

4.2 Significant Determinants 36

4.3 Governance and Endogeneity of Debt 50

4.4 Conclusion 60

References 61

Appendix: Construction of the Tax-Save Variable 62

Chapter 5 Value at Risk 63

5.1 Example of VaR 63

5.2 Numerical Method 65

5.3 Parametric Method 66

5.4 Taking Time Periods into Consideration 67

5.5 Confidence Interval of the VaR 68

5.6 CVaR 69

5.7 Conclusion 70

References 71

Chapter 6 Choice of Portfolio and VaR Constraint 73

6.1 Optimal Benchmark Portfolio of the Firm 73

6.2 Optimal Portfolio of a Constrained Manager 75

6.3 Conclusion 77

References 77

Chapter 7 VaR in Portfolios of Assets and Options 79

7.1 VaR as a Risk Measure 79

7.2 Models without Derivatives 80

7.3 VaR with Options 85

7.4 Black and Scholes Model and Risk Management 88

7.5 Delta-Gamma VaR 90

7.6 VaR of a General Portfolio 90

7.7 Application 92

7.8 Conclusion 97

References 97

Chapter 8 Conditional VaR 99

8.1 Motivation for CVaR and Coherence in Risk Measures 99

8.2 Notation and VaR 101

8.3 Definition of CVaR 104

8.4 Another Way to Derive CVaR with a Return Distribution 107

8.5 Example with Student's t-Distribution and Other Examples 108

8.6 Conclusion: CVaR in Basel Regulation 111

References 111

Chapter 9 Regulation of Bank Risk and Use of VaR 113

9.1 Basel Accords 114

9.2 Market Risk Regulation of 1996 120

9.3 Specific Risks 120

9.4 Total Required Capital 122

9.5 Tests 124

9.6 Comparison between Standard and Internal Methods with Interest Rate Risk 124

9.7 Conclusion 133

References 134

Chapter 10 Optimal Financial Contracts and Incentives under Moral Hazard 135

10.1 Optimal Financial Contracts and Moral Hazard 136

10.2 Theoretical Model 140

10.3 Empirical Application to Air Accident Risk 144

10.4 Conclusion 148

References 148

Appendix A: Synthesis of Forms of Financial Contracts 149

Appendix B: Definitions of Variables 150

Chapter 11 Venture Capital Risk with Optimal Financing S