Details

Financial Risk Management

From Metrics to Human Conduct
The Wiley Finance Series 1. Aufl.

von: Frantz Maurer
40,99 €
Verlag:	Wiley
Format:	EPUB
Veröffentl.:	23.01.2024
ISBN/EAN:	9781119885313
Sprache:	englisch
Anzahl Seiten:	224

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Beschreibungen

Titelbeschreibung

Protect your organization against financial misconduct In Financial Risk Management: From Metrics to Human Conduct, Frantz Maurer delivers a thorough and practical review of the core methods used by professionals in the real world to reduce the risk of financial misconduct. Starting with the key points of banking regulation, the author then describes in simple terms the most extensively used risk metrics in the banking industry. Readers can fully grasp and implement the techniques discussed within without a strong background in probabilities or statistics. The last part of the book focuses on conduct risk markers and show how to implement a conduct risk index that benchmarks the conduct of natural risk-takers like traders. The author describes how to marry this simple approach to financial risk with a conduct risk index that benchmarks the conduct of natural risk-takers, like traders. Readers will also find: <ul> <li>Step-by-step guidance on how to apply common risk indicators to real-world situations</li> <li>Actionable advice for improving the resilience of financial institutions against individual misconduct and misbehavior</li> </ul> A holistic and non-quantitative approach to a subject of critical importance, Financial Risk Management: From Metrics to Human Conduct will earn a place in the libraries of risk managers, compliance professionals, and master's level students in business administration and finance.

Inhaltsverzeichnis

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

Autorenportrait

FRANTZ MAURER is a Professor of Finance and the head of the accounting, finance and economics department at KEDGE Business School. He has also taught at HEC Paris, the University of Bordeaux, ESCP Business School, and University Paris Saclay.

Back cover copy

PRAISE FOR FINANCIAL RISK MANAGEMENT “Frantz reviews Risk Management in the light of a number of recent events where ‘behavior risk’ was much more costly for the financial institution than any type of model misspecification. An intelligent book offering a new and necessary avenue to think about financial risks.” —Helyette Geman, Department of Applied Mathematics, Johns Hopkins University “Frantz experience and views on conduct are really refreshing. The book provides a good mix of lessons learned from real life examples and robust approaches to deal effectively with one of the bigggest challenges in financial services: ensuring that people behave and conduct themselves appropriately by finding the right balance between personal, clients and firm interests.” —Pierre Pourquery, Partner at EY, UK Head of Capital Markets, European lead of the digital assets solution for Banking Capital Markets “A book every aspiring manager and risk taker in bank should have read and re-read.” —Pascal Quiry, active investor and BNP Paribas professor of finance, HEC Paris