Financial Risk Management
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Financial Risk Management
From Metrics to Human Conduct
Maurer, Frantz
John Wiley & Sons Inc
01/2024
224
Dura
Inglês
9781119885290
15 a 20 dias
Descrição não disponível.
Foreword ix
Acknowledgements xi
List of Acronyms and Symbols xiii
Introduction xvii
Part One Navigating Banking Regulation
Chapter 1 A Brief History of the Basel Framework 3
Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio 7
Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks 15
Chapter 4 Implementation of the Basel II Framework 21
Chapter 5 A Guided Tour of the Basel III Framework 29
Chapter 6 Climate- Related Financial Risks 41
Part Two The Financial Risk Measurement Landscape
Chapter 7 Historical Approach to Risk 47
Chapter 8 The Gaussian Framework 61
Chapter 9 A Brief Overview of Monte Carlo Simulation 75
Chapter 10 Risk Contribution 79
Chapter 11 Shortcomings of Risk Metrics 93
Chapter 12 Ex- Post Evaluation of a Risk Model: Backtesting 103
Chapter 13 A Forward- Looking Evaluation of Risk: Stress Testing 109
Part Three Getting Conduct Risk to Scale
Chapter 14 The Big Picture of Conduct Risk 119
Chapter 15 Markers of Conduct Risk 123
Chapter 16 Worked Example 7: Building a Conduct Risk Score 127
Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes 137
Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index 143
Chapter 19 Hot Questions Still Pending 159
Chapter 20 Understanding the Root Causes of Poor Conduct 163
Appendix 173
References 181
Contents 183
List of Figures 187
List of Tables 189
Index 191
Acknowledgements xi
List of Acronyms and Symbols xiii
Introduction xvii
Part One Navigating Banking Regulation
Chapter 1 A Brief History of the Basel Framework 3
Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio 7
Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks 15
Chapter 4 Implementation of the Basel II Framework 21
Chapter 5 A Guided Tour of the Basel III Framework 29
Chapter 6 Climate- Related Financial Risks 41
Part Two The Financial Risk Measurement Landscape
Chapter 7 Historical Approach to Risk 47
Chapter 8 The Gaussian Framework 61
Chapter 9 A Brief Overview of Monte Carlo Simulation 75
Chapter 10 Risk Contribution 79
Chapter 11 Shortcomings of Risk Metrics 93
Chapter 12 Ex- Post Evaluation of a Risk Model: Backtesting 103
Chapter 13 A Forward- Looking Evaluation of Risk: Stress Testing 109
Part Three Getting Conduct Risk to Scale
Chapter 14 The Big Picture of Conduct Risk 119
Chapter 15 Markers of Conduct Risk 123
Chapter 16 Worked Example 7: Building a Conduct Risk Score 127
Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes 137
Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index 143
Chapter 19 Hot Questions Still Pending 159
Chapter 20 Understanding the Root Causes of Poor Conduct 163
Appendix 173
References 181
Contents 183
List of Figures 187
List of Tables 189
Index 191
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Financial misconduct risk; financial misconduct; financial risk management; trader misconduct; trader misconduct risk; operational risk management; operational risk; financial operational risk; compliance; risk and compliance; expected shortfall
Foreword ix
Acknowledgements xi
List of Acronyms and Symbols xiii
Introduction xvii
Part One Navigating Banking Regulation
Chapter 1 A Brief History of the Basel Framework 3
Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio 7
Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks 15
Chapter 4 Implementation of the Basel II Framework 21
Chapter 5 A Guided Tour of the Basel III Framework 29
Chapter 6 Climate- Related Financial Risks 41
Part Two The Financial Risk Measurement Landscape
Chapter 7 Historical Approach to Risk 47
Chapter 8 The Gaussian Framework 61
Chapter 9 A Brief Overview of Monte Carlo Simulation 75
Chapter 10 Risk Contribution 79
Chapter 11 Shortcomings of Risk Metrics 93
Chapter 12 Ex- Post Evaluation of a Risk Model: Backtesting 103
Chapter 13 A Forward- Looking Evaluation of Risk: Stress Testing 109
Part Three Getting Conduct Risk to Scale
Chapter 14 The Big Picture of Conduct Risk 119
Chapter 15 Markers of Conduct Risk 123
Chapter 16 Worked Example 7: Building a Conduct Risk Score 127
Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes 137
Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index 143
Chapter 19 Hot Questions Still Pending 159
Chapter 20 Understanding the Root Causes of Poor Conduct 163
Appendix 173
References 181
Contents 183
List of Figures 187
List of Tables 189
Index 191
Acknowledgements xi
List of Acronyms and Symbols xiii
Introduction xvii
Part One Navigating Banking Regulation
Chapter 1 A Brief History of the Basel Framework 3
Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio 7
Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks 15
Chapter 4 Implementation of the Basel II Framework 21
Chapter 5 A Guided Tour of the Basel III Framework 29
Chapter 6 Climate- Related Financial Risks 41
Part Two The Financial Risk Measurement Landscape
Chapter 7 Historical Approach to Risk 47
Chapter 8 The Gaussian Framework 61
Chapter 9 A Brief Overview of Monte Carlo Simulation 75
Chapter 10 Risk Contribution 79
Chapter 11 Shortcomings of Risk Metrics 93
Chapter 12 Ex- Post Evaluation of a Risk Model: Backtesting 103
Chapter 13 A Forward- Looking Evaluation of Risk: Stress Testing 109
Part Three Getting Conduct Risk to Scale
Chapter 14 The Big Picture of Conduct Risk 119
Chapter 15 Markers of Conduct Risk 123
Chapter 16 Worked Example 7: Building a Conduct Risk Score 127
Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes 137
Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index 143
Chapter 19 Hot Questions Still Pending 159
Chapter 20 Understanding the Root Causes of Poor Conduct 163
Appendix 173
References 181
Contents 183
List of Figures 187
List of Tables 189
Index 191
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
