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Risk management / Michel Crouhy, Dan Galai, Robert Mark.

By: Crouhy, Michel [autor]
Contributor(s): Galai, Dan [autor] | Mark, Robert (Robert M.) [autor]
Publisher: New York : Mc Graw Hill, ©2001Description: xxiii, 717 páginas : ilustraciones, tablas ; 24 cmContent type: texto Media type: no mediado Carrier type: volumenISBN: 0071357319Subject(s): Administracion de creditos | Administracion de Riesgos | Evaluacion de Riesgos Ambientales | Gestion de riesgo | Riesgo (Economia ) | Riesgo (Finanzas)DDC classification: 658.15
Contents:
The Need for Risk Management Systems. -- The New Regulatory and Corporate Environment.. -- Structuring and Managing the Risk Management Function in a Bank.. -- The New BIS Capital Requirements for Financial Risks.. -- Measuring Market Risk: The VaR Approach.. -- Measuring Market Risk: Extensions of the VaR Approach and Testing the Models.. -- Credit Rating Systems.. -- Credit Migration Approach to Measuring Credit Risk.. -- The Contingent Claim Approach to Measuring Credit Risk.. -- Other Approaches: The Actuarial and Reduced-form Approaches to Measuring Credit Risk.. -- Comparison of Industry-sponsored Credit Models and Associated Back-Testing Issues.. -- Hedging Credit Risk.. -- Managing Operational Risk.. -- Capital Allocation and Performance Measurement.. -- Model Risk.. -- Risk Management in Nonbank Corporations.. -- Risk Management in the Future.
Summary: This is the all-in-one banker's and financial manager's guide for implementing and using an effective risk management program. In today's world of multibillion-dollar credit losses and bailouts, it has become increasingly imperative for corporate and banking leaders to monitor and manage risk on all fronts.Risk Management" introduces and explores the latest financial and hedging techniques in use around the world, and provides the foundation for creating an integrated, consistent, and effective risk management strategy.The tested and comprehensive analysis and insights in "Risk Management" give bankers and financial managers all the necessary information for: Risk Management Overview - from the history of risk management to the new regulatory and trading environment, a look at risk management past and present; Risk Management Program Design - techniques to organize the risk management function, and design a system to cover your organization's many risk exposures; and, Risk Management Implementation - how to use the myriad systems and products value at risk (VaR), stress-testing, derivatives, and more for measuring and hedging risk in today's marketplace. In the financial world, the need for a dedicated risk management framework is a relatively recent phenomenon. But as the Long-Term Capital Management and BankAmerica crises attest, lack of up-to-date knowledge concerning its many components can be devastating.For financial managers in both the banking and business environments, "Risk Management" will introduce and illustrate the many aspects of modern risk management and strengthen every financial risk management program.
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Item type Current location Collection Call number Vol info Copy number Status Date due Barcode Item holds
Book Book B. Posgrados
Colección general
Colección general 658.15 C952 (Browse shelf) 2001 1 Available 0000041213
Total holds: 0

Enhanced descriptions from Syndetics:

Risk Management introduces and explores the latest financial and hedging techniques in use around the world, and provides the foundation for creating an integrated, consistent, and effective risk management strategy.

Include bibliography and index

The Need for Risk Management Systems. -- The New Regulatory and Corporate Environment.. -- Structuring and Managing the Risk Management Function in a Bank.. -- The New BIS Capital Requirements for Financial Risks.. -- Measuring Market Risk: The VaR Approach.. -- Measuring Market Risk: Extensions of the VaR Approach and Testing the Models.. -- Credit Rating Systems.. -- Credit Migration Approach to Measuring Credit Risk.. -- The Contingent Claim Approach to Measuring Credit Risk.. -- Other Approaches: The Actuarial and Reduced-form Approaches to Measuring Credit Risk.. -- Comparison of Industry-sponsored Credit Models and Associated Back-Testing Issues.. -- Hedging Credit Risk.. -- Managing Operational Risk.. -- Capital Allocation and Performance Measurement.. -- Model Risk.. -- Risk Management in Nonbank Corporations.. -- Risk Management in the Future.

This is the all-in-one banker's and financial manager's guide for implementing and using an effective risk management program. In today's world of multibillion-dollar credit losses and bailouts, it has become increasingly imperative for corporate and banking leaders to monitor and manage risk on all fronts.Risk Management" introduces and explores the latest financial and hedging techniques in use around the world, and provides the foundation for creating an integrated, consistent, and effective risk management strategy.The tested and comprehensive analysis and insights in "Risk Management" give bankers and financial managers all the necessary information for: Risk Management Overview - from the history of risk management to the new regulatory and trading environment, a look at risk management past and present; Risk Management Program Design - techniques to organize the risk management function, and design a system to cover your organization's many risk exposures; and, Risk Management Implementation - how to use the myriad systems and products value at risk (VaR), stress-testing, derivatives, and more for measuring and hedging risk in today's marketplace. In the financial world, the need for a dedicated risk management framework is a relatively recent phenomenon. But as the Long-Term Capital Management and BankAmerica crises attest, lack of up-to-date knowledge concerning its many components can be devastating.For financial managers in both the banking and business environments, "Risk Management" will introduce and illustrate the many aspects of modern risk management and strengthen every financial risk management program.

Table of contents provided by Syndetics

  • The Need for Risk Management Systems
  • The New Regulatory and Corporate Environment
  • Structuring and Managing the Risk Management Function in a Bank
  • The New BIS Capital Requirements for Financial Risks
  • Measuring Market Risk: The VaR Approach
  • Measuring Market Risk: Extensions of the VaR Approach and Testing the Models
  • Credit Rating Systems
  • Credit Migration Approach to Measuring Credit Risk
  • The Contingent Claim Approach to Measuring Credit Risk
  • Other Approaches: The Actuarial and Reduced-form Approaches to Measuring Credit Risk
  • Comparison of Industry-sponsored Credit Models and Associated Back-Testing Issues
  • Hedging Credit Risk
  • Managing Operational Risk
  • Capital Allocation and Performance Measurement
  • Model Risk
  • Risk Management in Nonbank Corporations
  • Risk Management in the Future

Author notes provided by Syndetics

Michel Crouhy, Ph.D., is senior vice president, Global Analytics, Risk Management Division at Canadian Imperial Bank of Commerce (CIBC), where he is in charge of market and credit risk analytics. He has published extensively in academic journals, is currently associate editor of both Journal of Derivatives and Journal of Banking and Finance, and is on the editorial board of Journal of Risk. <p>Dan Galai, Ph.D., is the Abe Gray Professor of Finance and Business Administration at the Hebrew University and a principal of Sigma P.C.M. Dr. Galai has consulted for the Chicago Board Options Exchange and the American Stock Exchange and published numerous articles in leading journals. He was the winner of the First Annual Pomeranze Prize for excellence in options research presented by the CBOE.</p> <p>Robert Mark, Ph.D., is senior executive vice president at the Canadian Imperial Bank of Commerce. Dr. Mark is the chief risk officer at CIBC and is a member of the senior executive team of the bank. In 1998, he was named Financial Risk Manager of the Year by the Global Association of Risk Professionals (GARP).</p>

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