Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk

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9780273654360: Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk

Every company is exposed to financial risk, but some are more exposed than others. This book will help you understand and control the financial risk for your institution.

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Carol Alexander is Professor of Finance and Chair of Risk Management at the ISMA Centre, University of Reading and formerly a Director and Head of Market Risk Modelling for Nikko Global Holdings and Academic Director of Algorithmics Inc. She has published over 30 papers in international journals and was the founding Editor-in-Chief of NetExposure, the electronic journal of financial risk, sponsored by Algorithmics. Her editorial experience includes 12 books on mathematics and finance, most recently two volumes on Measuring and Modelling Financial Risk and New Markets and Products (Wiley, 1998) and Visions of Risk (Financial Times Prentice Hall, 2000).

Carol has developed many models of risk management and investment analysis through consulting, training and research. She has given numerous training courses, seminars and conference presentations on measurement of market, credit and operational risk and on quantitative investment techniques. Carol Alexander also designs commercial software for risk management, portfolio management and trading. Her price prediction model won the first international non-linear financial forecasting competition in 1996.

Excerpt. Reprinted by permission. All rights reserved.:

Introduction

Mastering Risk Volume 1: Concepts provides a comprehensive overview of important concepts in risk management, including: risk measurement and management; risk strategy; operational risk; regulation; political risk; insurance and systemic risk. These concepts touch on a wide range of disciplines, such as psychology, law, marketing, and statistics. There are many short articles that are written at a non-technical level by leading academics and specialist practitioners working in the field of risk management.

Mastering Risk Volume 2: Models also contains contributions from leading academics and top industry practitioners working in the field of risk management. However each of the 14 chapters are written at an advanced level that assumes readers are somewhat familiar with the area. Several chapters have a high mathematical content; these aim to provide an in-depth understanding of the latest issues and the most important practical problems in risk measurement and management. The book has been divided into three parts, covering market, credit and operational risks. Detailed summaries of each chapter are given in the part introductions.

Market risks have been the subject of extensive research for many years, with option pricing and risk measurement being the main focus of theoretical and quantitative analysis. As market become more liquid and open, much data are available for this analysis. The net result is that huge progress has been made towards our understanding of market risks during the last two decades. We now view the Black-Scholes formula as only a crude approximation to reality in many cases and the same could be said of the standard "historical" statistical measures of risk. This has been a driving force behind a vast international research effort into better pricing models and better risk models.

The chapters in the first part of the book represent some of the most important recent contributions towards an advanced understanding of market risks. Each has been written by acknowledged experts in their field. Two chapters examine the pricing of options under more realistic assumptions for price processes, showing how they may be mispriced if traditional methods are used. Three of the chapters introduce new and more effective methods for measuring market risk. The last chapter focuses on model risk, which concerns both option pricing and risk management.

The second part of the book contains four chapters on credit risks. During the last few years there has been an enormous resurgence of interest in this area, driven in part by the imminent changes by regulators for credit risk requirements in the Basel 2 Accord. Many different theoretical models for pricing the risks of default have been proposed during the last few years, but data that are relevant for modeling credit default and credit migration are relatively difficult to obtain; consequently it is not yet clear which models perform best.

The first chapter in Part 2 provides a general framework for credit risk measurement by portfolio models. Portfolio models of credit risks are still at an early stage of development and more work is essential before credit VaR type models will be acceptable for the measurement of credit risk capital. The other three chapters focus on the estimation of default and migration probabilities and the pricing of credit risky products: new models for pricing collateralized bond obligations; an extensive and critical survey of the many different models for pricing default risk; and a clear explanation of the difference between real-world and risk-neutral default probabilities and the circumstances in which each should be applied.

The last part of the book is about "operational risk," a term that has become a catch-all for financial risks that are not market or credit risks. Last year it became clear that the Basel committee will introduce minimum capital requirements to cover operational risks in the Basel 2 amendment that is due for implementation in 2004. Naturally this has been a catalyst for an intense research effort into this area. However there are many different types of operational risks and they have quite diverse characteristics; consequently a rather wide variety of financial and mathematical models are currently under consideration. Several aspects of measuring and managing operational risks are surveyed in this book: the response to the proposed changes in regulations; the insurance and securitization of operational risks; the design of an operational risk system; and an introduction to Bayesian methods and how they may be applied to the measurement and management of operational risks.

This book brings together recent cutting-edge research in financial risk measurement and management by some of the leading experts in their field. I would like to thank all the authors for their excellent contributions, and the editorial staff at Pearson Education for brining the book to publication. I would also like to thank Rosalind Oxley and Julian T. Kirby of ICBI, a leading producer of finance conference forums in Europe. Every year ICBI host several large summits on risk management and financial derivatives and this book began as a collection of papers that were presented at ICBI forums in 1999 and 2000. For many years ICBI have provided a forum for leading experts to show case their latest research and this book is a testimony to the extremely high calibre of speakers and presentations at their events.Carol Alexander
Professor of Risk Management,
ISMA Centre, University of Reading, UK

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