Financial risk management : from metrics to human conduct / Frantz Maurer.

By:

Mauren, Frantz [Auhtor]

Material type: Text

TextPublication details: Hoboken : John Wiley & Sons, Inc., c2024.Description: xx, 194 pages : illustrations ; 23 cmISBN:

9781119885290

Subject(s):

FINANCIAL RISK MANAGEMENT

LOC classification:

RA 972 .M38 2024 c.1

Contents:

Part 1. Navigating banking regulation.--Chapter 1. A brief history of the basel framework.--Chapter 2. The basel I regulatory framework and cooke ratio.--Chapter 3. Amendment to the basel I framework to incorporate market risks.--Chapter 4. Implementation of the basel II framework.--Chapter 5. A guided tour of the basel III framework.--Chapter 6. Climate-related financial risks.--Part 2. The financial risk measurement landscape.--Chapter 7. Historical approach to risk.--Chapter 8. The guassian framework.--Chapter 9. The brief overview of monte Carlo simulation.--Chapter 10. Risk contribution.--Chapter 11. Shortcomings of rish metrics.--Chapter 12. Ex-post evolution of a risk model: backtestinfg.--Chapter 13. A forward-looking evaluation of rish: stress testing.--Part 3. Getting conduct risk to scale.--Chapter 14. The picture of conduct risk.--Chapter 15. Markers of conduct risk.--Chapter 16. Worked example 7. Building a conduct risk score.--Chapter 17. Fostering a culture of appropriate conduct outcomes.--Chapter 18. Worked example 8: calclating a risk-taker's conduct risk index.--Chapter 19. Hot questions still pending.--Chapter 20. Understanding the root causes of poor conduct.

Summary: This book is not a comprehensive review or catalogue of financial risk management tools and methods; instead, it focuses on the core methods that are actually used by professionals, such as historical Value-at-Risk and Expected Shortfall. Without any knowledge of probabilities, the reader can fully understand the meaning of these risk indicators and how to use them when faced with real life situations that require risk analysis and decision-making. The authors then show how to marry this simple approach to financial risk with a conduct risk index designed to benchmark the conduct of natural risk-takers like traders, and measure how far these risk-takers are from a responsible behavior. A ready-to-use version of this conduct risk index calculator is provided as an Excel add-in on the book's companion website

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Holdings
Item type	Current library	Home library	Collection	Shelving location	Call number	Copy number	Status	Date due	Barcode
Books	NU BALIWAG	NU BALIWAG	Financial Management	General Circulation	GC RA 972 .M38 2024 c.1 (Browse shelf(Opens below))	c.1	Available		NUBUL000005271

Includes index.

This book is not a comprehensive review or catalogue of financial risk management tools and methods; instead, it focuses on the core methods that are actually used by professionals, such as historical Value-at-Risk and Expected Shortfall. Without any knowledge of probabilities, the reader can fully understand the meaning of these risk indicators and how to use them when faced with real life situations that require risk analysis and decision-making. The authors then show how to marry this simple approach to financial risk with a conduct risk index designed to benchmark the conduct of natural risk-takers like traders, and measure how far these risk-takers are from a responsible behavior. A ready-to-use version of this conduct risk index calculator is provided as an Excel add-in on the book's companion website

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