Financial Risk Management (eBook)

From Metrics to Human Conduct

Frantz Maurer (Autor)

eBook Download: PDF

2024 | 1. Auflage
224 Seiten
John Wiley & Sons (Verlag)
978-1-119-88530-6 (ISBN)

Infos

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:

* Step-by-step guidance on how to apply common risk indicators to real-world situations

* Actionable advice for improving the resilience of financial institutions against individual misconduct and misbehavior

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.

Autor

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.

Inhalt

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

Produkt-Details

• Erscheint lt. Verlag: 23.1.2024
• Reihe/Serie: Wiley Finance Series
• Reihe/Serie: Wiley Finance Series
• Sprache: englisch
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management
• Schlagworte: Finance & Investments • Finanz- u. Anlagewesen • Geld u. Bankwesen • Institutional & Corporate Finance • Institutionelle Finanzplanung • Insurance & Risk Management • Money & Banking • Risikomanagement • Versicherungswesen u. Risikomanagement
• ISBN-10: 1-119-88530-2 / 1119885302
• ISBN-13: 978-1-119-88530-6 / 9781119885306