Risk Management by Michel Crouhy

Risk Management

byMichel Crouhy, Dan Galai, Robert Mark

Hardcover | November 20, 2000

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The All-in-One Banker's and Financial Manager's Guide for Implementing andUsing an Effective Risk Management Program In today's world of multibillion-dollar credit losses and bailouts, it has become increasinglyimperative for corporate and banking leaders to monitor and manage risk onall fronts. Risk Management introduces and explores the latest financial and hedging techniques in use around the world, and provides the foundation for creating an integrated, consistent, and effective risk management strategy. The tested and comprehensive analyses and insights inRisk Management give bankers and financial managers all the necessary information for: * Risk Management Overview--From the history of risk management to the new regulatory and trading environment, a look at risk management past and present * Risk Management Program Design--Techniques to organize the risk management function, and design a system to cover your organization's many risk exposures * Risk Management Implementation--How to use the myriad systems and products value at risk (VaR), stress-testing, derivatives, and more for measuring and hedging risk in today's marketplace In the financial world, the need for a dedicated risk management framework is a relatively recent phenomenon. Butas the Long-Term Capital Management and BankAmerica crises attest, lack ofup-to-date knowledge concerning its many components can be devastating. For financial managers in both the banking and business environments, RiskManagement will introduce and illustrate the many aspects of modern risk management and strengthen every financial risk management program. Exploding global competition, increasing regulations, and the ever-changing product mix of innovative, intricate derivative and securitization products have pushed risk management to the forefront of today's financial landscape. Corporate and banking executives trying to make sense of this environment often find themselves wasting valuable timesearching for details and actually creating risk through innocent misinterpretations or misguided hedging strategies. Risk Management consolidates the entire field of corporate risk administration from data and technological infrastructure to investment and hedging strategies thatinclude innovative derivatives credit risk securitization techniques into one all-inclusive, easily accessible reference. Michel Crouhy, Dan Galai, and Robert Mark seasoned finance professionals with an unmatched breadth of experience covering banking, corporate, and academic risk management applications walk you through risk management with the focus on concrete, results-oriented tips and analysis. The result is, quite frankly, the onlyreference you'll need for a quick, thorough understanding of today's complex financial risk management challenges. Look to the expert analysis and proven suggestions in Risk Management for a no-nonsense overview of: *Integrated Risk Management--How to understand and develop the necessary tools for measuring and managing all of your firm's risk in terms of a common unit * Regulatory Environment--Group of 30 (G-30) policy recommendations, BIS 1998 models, and the standardized approach proposed by the Basle Committee * Market Risk--New rules set by the SEC for traded companies to disclose their risk management policies and quantify their exposure to market risk * Practical Measurement Issues--Utilizing historical, implied, and stochastic models to measure volatility, plus helpful summaries of measuring correlations and the yield curve * Future Considerations--Expected conditions and effects of the BIS 2000+ Accord, with review of the G-12 recommendations to improve counterparty risk management practices Never before have the fields of banking and corporatefinancial risk management been as complicated and the stakes as unyielding. Whether used as an essential resource for institutional financial risk management, a comprehensive text for courses concentrating on bank risk management, or simply as an unprecedented reference covering every important aspect of the discipline, Risk Management will bring you up-to-date on an area that promises to increase in importance as we enter the uncharted waters of the 21st century.

About The Author

Michel Crouhy, Ph.D., is senior vice president, Global Analytics, Risk Management Division at Canadian Imperial Bank of Commerce (CIBC), where he is in charge of market and credit risk analytics. He has published extensively in academic journals, is currently associate editor of both Journal of Derivatives and Journal of Banking and Fi...
The Essentials of Risk Management, Second Edition
The Essentials of Risk Management, Second Edition

by Michel Crouhy

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Title:Risk ManagementFormat:HardcoverDimensions:752 pages, 9.5 × 6.3 × 1.8 inPublished:November 20, 2000Language:English

The following ISBNs are associated with this title:

ISBN - 10:0071357319

ISBN - 13:9780071357319

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Table of Contents

The Need for Risk Management Systems.

The New Regulatory and Corporate Environment.

Structuring and Managing the Risk Management Function in a Bank.

The New BIS Capital Requirements for Financial Risks.

Measuring Market Risk: The VaR Approach.

Measuring Market Risk: Extensions of the VaR Approach and Testing the Models.

Credit Rating Systems.

Credit Migration Approach to Measuring Credit Risk.

The Contingent Claim Approach to Measuring Credit Risk.

Other Approaches: The Actuarial and Reduced-form Approaches to Measuring Credit Risk.

Comparison of Industry-sponsored Credit Models and Associated Back-Testing Issues.

Hedging Credit Risk.

Managing Operational Risk.

Capital Allocation and Performance Measurement.

Model Risk.

Risk Management in Nonbank Corporations.

Risk Management in the Future.