de Gruyter Textbook Risk Management Bearbeitet von Thomas Wolke

Transkript

1 de Gruyter Textbook Risk Management Bearbeitet von Thomas Wolke 1. Auflage Buch. XVIII, 360 S. Softcover ISBN Format (B x L): 17 x 24 cm Wirtschaft > Management > Risikomanagement schnell und portofrei erhältlich bei Die Online-Fachbuchhandlung beck-shop.de ist spezialisiert auf Fachbücher, insbesondere Recht, Steuern und Wirtschaft. Im Sortiment finden Sie alle Medien (Bücher, Zeitschriften, CDs, ebooks, etc.) aller Verlage. Ergänzt wird das Programm durch Services wie Neuerscheinungsdienst oder Zusammenstellungen von Büchern zu Sonderpreisen. Der Shop führt mehr als 8 Millionen Produkte.

2 Foreword V List of Figures List of Tables XI XIII List of Abbreviations XV List of Symbols XVII 1 Fundamentals The definition and reasons for risk management Risk management as a process Risk identification and risk types References 8 2 Risk measurement and risk analysis Simple loss measurements Maximum loss Expected loss Key indicators Volatility Sensitivity Value at Risk (VaR) Statistical foundations VaR of an individual risk position VaR of portfolios Additional calculation methods Backtesting Lower partial moments (LPM) Critiques of the VaR concept Stress tests, scenario analysis and worst case scenarios Qualitative risk measurement techniques Risk analysis References Technical appendix 83 3 Risk control Risk provision Risk avoidance and risk limitation 91

3 VIII 3.3 Risk distribution (diversification) and risk shifting Risk transfer and risk compensation Insurance Options Futures Swaps References Financial risks Market price risks Interest rate risk Basics of interest rate change risk Duration Convexity VaR calculation of interest positions Immunization of bond portfolios Interest rate swaps Interest rate options Interest rate futures Exchange rate risk Foundations of exchange rate risk Currency swaps Currency forward transactions Currency options VaR calculation of foreign exchange positions Stock price risk Portfolio theory Capital Asset Pricing Model (CAPM) Real estate price risk Default risk Measurement of individual transaction default risk Analysis of individual transaction default risk Risk-adjusted lending rates Control of individual transaction default risk Measurement and management of credit portfolios Country risk Liquidity risks Types of liquidity risk Measurement of the liquidity risks Control of liquidity risks The financial crisis (since) Dangers and causes of the financial crisis 204

4 IX Solution approaches to avoiding and redressing financial crises Laws and regulations Human misconduct Market failure Mistaken decisions by politicians and regulators Risk management Basel III Appraisal and outlook References Technical appendix Performance risks Operational risks Measurement of operational risks Internal operational risks Personnel risks Process risks System risks (IT risks) External operational risks Legal risks Natural risks Management of climate change risks Procurement and sales risks Procurement risks Sales risks Cash Flow at Risk References Technical appendix Risk controlling Duties of risk controlling Organization of risk controlling and risk management Company-wide profit and risk aggregation The external risk report References Technical appendix Profit-risk-based company management using a case study Description of the case study Risk identification and risk measurement Risk analysis 335

5 List of References 344 Glossary 351 Index 353