"A valuable and compelling overview of the practice of risk management which will benefit practitioners and policy makers alike." E. Gerald Corrigan
Developments in banking and finance over the past 25 years together with advances in technology and communication, have led to a huge surge of innovation in international finance. This innovation has brought vast benefits but also new and extraordinarily complex elements of risk and, with them, new challenges for risk managers and regulators alike.
Large losses incurred by major financial institutions have shown just how great these risks can be. Thus, The Practice of Risk Management: Implementing Processes for Managing Firmwide Market Risk could not have come at a more timely moment. This book provides a practical guide to implementing risk management on a day-to-day basis in financial firms, focusing particularly on managing market risk, where the techniques of modern risk management are currently most developed.
The Practice of Risk Management is a collaboration between Goldman, Sachs & Co. and SBC Warburg Dillon Read, two firms which have been very active in the development of risk management techniques. The book is designed to be accessible to both technical and non-technical readers. The Practice of Risk Management is unique in its presentation of information and techniques indispensible to any firm aspiring to efficient risk management.
Table of Contents
Section I: Risk management in context
1. A day in the life of a risk manager
2. The beginnings of risk management
3. The framework for firmwide risk management
4. A taxonomy of market risk
Section II: The Toolkit for Measuring Market Risk
5. The challenges of risk measurement
6. Stress testing
7. VaR
8. Scenario analysis
9. Specific risk
Section III: Risk Management in the Real World
10. The risk management function
11. Risk analysis and reporting
12. Backtesting
13. Inventory pricing and price verification
14. Derivatives models and variation
C15. The flow of risk information
16. Risk management for other users
Section IV The Changing World of Risk Management
17. The regulation of financial firms
18. Reporting and disclosure
19. Managing risk capital
20. Life in the year 2008
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