The essentials of risk management

Suitable for risk professionals and non-risk professionals alike, this.

Foreword xiIntroduction to the Second Edition:Reforming Risk Management for the Post-Crisis Era xv1. Risk Management: A Helicopter View 11.1 Typology of Risk Exposures 232. Corporate Risk Management: A Primer 453. Banks and Their Regulators:The Post-Crisis Regulatory Framework 673.1 Basel I 1173.2 The 1996 Market Risk Amendment 1253.3 Basel II and Minimum Capital Requirements for Credit Risk 1313.4 Basel 2.5: Enhancements to the Basel II Framework 1373.5 Contingent Convertible Bonds 1434. Corporate Governance and Risk Management 1515. A User-Friendly Guide to the Theory of Risk and Return 1836. Interest Rate Risk and Hedging with Derivative Instruments 2037. Measuring Market Risk: Value-at-Risk,Expected Shortfall, and Similar Metrics 2338. Asset/Liability Management 2659. Credit Scoring and Retail Credit Risk Management 30510. Commercial Credit Risk and the Ratingof Individual Credits 33310.1 Definitions of Key Financial Ratios 36311. Quantitative Approaches to CreditPortfolio Risk and Credit Modeling 36511.1 The Basic Idea of the Reduced Form Model 40712. The Credit Transfer Markets-and Their Implications 41112.1 Why the Rating of CDOs byRating Agencies Was Misleading 46713. Counterparty Credit Risk: CVA, DVA, and FVA 47114. Operational Risk 49915. Model Risk 52916. Stress Testing and Scenario Analysis 55516.1 The 2013 Dodd-Frank Severely Adverse Scenarios 58117. Risk Capital Attribution andRisk-Adjusted Performance Measurement 583Epilogue: Trends in Risk Management 609Index 619

"The definitive guide to quantifying risk vs. return--fully updated to reveal the newest, most effective innovations in financial risk management since the 2008 financial crisisWritten for risk professionals and non-risk professionals alike, this easy-to-understand guide helps you meet the increasingly insistent demand to make sophisticated assessments of companies' risk exposure. It provides the latest methods for: Measuring and transferring credit risk Increasing risk-management transparency Implementing an organization-wide Enterprise risk Management (ERM) approach Michel Crouhy is head of research and development at NATIXIS and the founder and president of the NATIXIS Foundation for Quantitative Research. Dan Galai is the Abe Gray Professor of Finance and Business Administration at the School of Business Administration, the Hebrew University in Jerusalem. Robert Mark is the Founding Chief Executive Officer of Black Diamond Risk which provides corporate governance, risk management consulting, risk software tools, and transaction services. "--