Risk Management (Hardcover)

~ (Author), (Author), (Author) "The international banking system has experienced many significant structural changes over the last 25 years..." (more)
Key Phrases: credit migration approach, operational failure risk, net unmatched position, Monte Carlo, United States, Federal Reserve (more...)

Editorial Reviews

Product Description

Last year's headline-grabbing stories of the notorious bailout of Long-Term Capital Management and the 1.4 billion credit loss for BankAmerica opened the eyes of the investment world. These turbulent times have meant increased awareness of risk management and have lead to late breaking developments in new research, techniques, and theories in the field. Given the high stakes in today's business world with financial dealings in the billions (e.g., derivatives), it's easy to see why risk management has become the key buzzword on Wall Street. While Jorion focuses strictly on market risk, today's financial professionals are also evaluating credit risk and operational risk. Managing Risk provides a comprehensive description and analysis of modern risk management, including the regulatory aspects, organizational issues, potential problem areas, and tools to control and manage the many different kinds of risks: market risk, credit risk, and operational risk. It also discusses: structuring and managing the risk management function in a firm; practical measurement issues in the field; risk management in both financial and non-financial institutions.

From the Back Cover

The All-in-One Banker's and Financial Manager's Guide for Implementingaeand Usingaean 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 riskaeon 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 analyses 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 * Risk Management Implementation--How to use the myriad systems and productsaevalue 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 managementaeand strengthen every financial risk management program.

Exploding global competition, increasing regulations, and the ever-changing product mix of innovative, intricate derivative and securitization products have pushed risk management to the forefront of today's financial landscape. Corporate and banking executives trying to make sense of this environment often find themselves wasting valuable time searching for detailsaeand actually creating risk through innocent misinterpretations or misguided hedging strategies.

Risk Management consolidates the entire field of corporate risk administrationaefrom data and technological infrastructure to investment and hedging strategies that include innovative derivatives credit risk securitization techniquesaeinto one all-inclusive, easily accessible reference. Michel Crouhy, Dan Galai, and Robert Markaeseasoned finance professionals with an unmatched breadth of experience covering banking, corporate, and academic risk management applicationsaewalk you through risk management with the focus on concrete, results-oriented tips and analysis.

The result is, quite frankly, the only reference you'll need for a quick, thorough understanding of today's complex financial risk management challenges. Look to the expert analysis and proven suggestions in Risk Management for a no-nonsense overview of: * Integrated Risk Management--How to understandaeand develop the necessary tools for measuring and managing all of your firm's risk in terms of a common unit * Regulatory Environment--Group of 30 (G-30) policy recommendations, BIS 1998 models, and the standardized approach proposed by the Basle Committee * Market Risk--New rules set by the SEC for traded companies to disclose their risk management policies and quantify their exposure to market risk * Practical Measurement Issues--Utilizing historical, implied, and stochastic models to measure volatility, plus helpful summaries of measuring correlations and the yield curve * Future Considerations--Expected conditions and effects of the BIS 2000+ Accord, with review of the G-12 recommendations to improve counterparty risk management practices

Never before have the fields of banking and corporate financial risk management been as complicatedaeand the stakes as unyielding. Whether used as an essential resource for institutional financial risk management, a comprehensive text for courses concentrating on bank risk management, or simply as an unprecedented reference covering every important aspect of the discipline, Risk Management will bring you up-to-date on an area that promises to increase in importance as we enter the uncharted waters of the 21st century.

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Product Details

• Hardcover: 752 pages
• Publisher: McGraw-Hill; 1 edition (October 30, 2000)
• Language: English
• ISBN-10: 0071357319
• ISBN-13: 978-0071357319
• Product Dimensions: 9 x 6.4 x 2.2 inches
• Shipping Weight: 2.6 pounds (View shipping rates and policies)
• Average Customer Review: 4.1 out of 5 stars  See all reviews (7 customer reviews)
• Amazon.com Sales Rank: #363,844 in Books (See Bestsellers in Books)

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Customer Reviews

Most Helpful Customer Reviews

50 of 53 people found the following review helpful:

3.0 out of 5 stars Good book on risk management, February 4, 2002, February 4, 2002

By	Aaron F. De la Rosa (Mexico City) - See all my reviews

I bought this book because some readers highly recommended it. I'm a financial derivatives strategist and risk management consultant. When a reviewed the book I disappointed in five main particular points: 1) The chapter on VaR is unsatisfactory and insufficient. The authors discuss this subject in a general approach. From my view point I have a preference for Jorion's Value At Risk. 2) There is no discussion about GARCH models, which decrease the importance of this book. I recognise "Risk Management" is a great book. It's a vast encyclopaedia of risk. 3) There's a great discussion of all types of risk, but without any practical solved case. This particular point demerit the seriousness and greatness of the book. 4) The level of mathematics in the book is a little advanced and without any support en practical cases, these poor numerical exercises and calculus tools are useless. 5) Montecarlo simulation approach is bad. There is a great discussion on this subject in Hull's Options, Futures and other derivatives, where the theme is practical, objective and concise. Finally and taking into account these five particular disadvantages, I'll give my rating to this book: 3 stars.

34 of 38 people found the following review helpful:

5.0 out of 5 stars Very interesting and highly recommended., December 24, 2000

By	Zvi Wiener (Jerusalem, Israel) - See all my reviews

This book is a most systematic and comprehensive overview of modern financial risk management with an emphasis on banking. It is an encyclopedia of risk, including both regulatory and practitioner viewpoints. The book is based on the rich experience of the team of authors, who are well known in both the academic world and Wall Street. It provides an inside look at many aspects of financial risks including market, credit, liquidity and operational risks. The book is mainly oriented toward banks, but it also includes a very interesting chapter on risk management in nonbank corporations. The book is well suited to be a textbook for a course as well as a handbook for a market professional. Very interesting and highly recommended.

2 of 2 people found the following review helpful:

4.0 out of 5 stars Covers a lot; hard to read, December 17, 2007

By	A. V. Benos (Athens, Greece) - See all my reviews (REAL NAME)

I work in the area of Risk Management for over 8 years and I find this book still covers a lot of what someone in the area needs to know. I think it is rather a reference book, better written than the Bessis book on RM in banking and covering more things on Credit Risk, but still ... it is not a book one can read from start to end. It is good to keep on the shelf and read a chapter on a specific topic when necessary.