Quantitatives Risikomanagement In Banken
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Quantitatives Risikomanagement In Banken
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Author : Ulla-Christiane Kopp
language : de
Publisher: Springer-Verlag
Release Date : 2013-03-08
Quantitatives Risikomanagement In Banken written by Ulla-Christiane Kopp and has been published by Springer-Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-08 with Business & Economics categories.
Das Risikomanagement der Geschaftsrisiken stellt fUr Banken, wie auch fUr international operierende Unternehmungen, einzunehmend bedeutungsvollerwerdendes Problemfeld dar. Die optimale Bewirtschaftung von Risiken - insbesondere das integrierte Management unterschiedlicher Risikokategorien - wird fUr Banken in den nachsten lahren zu einem wettbewerbsbestimrnenden Faktor werden. wie Banken Mit der vorliegenden Arbeit wird erstmals ein Ansatz vorgestellt, der zeigt, die verschiedenartigen Risiken (Zinsanderungsrisiko, Wechselkursrisiko und Ausfallrisiko) zusammengefasst als Gesamtrisiko der Unternehmung bewirtschaften konnen. Die Beriicksichtigung von Ausserbilanzgeschaften in dem dazu entwickelten Entscheidungsmodell gewahrleistet die praktische Einsatzfiihigkeit des LOsungsansatzes sowohl fUr strategische als auch operationelle Belange. Der Leser findet in diesem Buch dariiberhinaus eine Ubersicht fiber Verfahren zur Messung der oben genannten unterschiedlichen Risiken sowie eine Einfiihrung in die Bewertung moderner Finanzmarktinstrumente. Ein Uberblick fiber bisher publizierte Entscheidungsmodelle fUr das Risikomanagement rondet die Arbeit ab und ermoglicht eine Einordnung des hier entwickelten Modells in den aktuellen Stand von Wissenschaft und Praxis. Prof. Dr. P. Stahly v Vorwort Die Idee zu der vorliegenden Dissertation entstand bei der Bearbeitung eines Projekts, das vom lnstitut fiir Untemehmensforschung (Operations Research) - Hochschule St. Gallen (lfU) gemeinsam mit der schweizerischen Bankgesellschaft durchgeftihrt wurde. Ziel dieses Projekts war die ldentifikation und Messung der wesentlichen Geschiiftsrisiken von Banken unter Zuhilfenahme eines Erkliirungsmodells, urn damit Entscheidungsgrundlagen fiir die Vergabe von Risikolimiten und den Abschluss von Ausserbilanzgeschiiften zu liefem. Die anschliessende Uberlegung, das Erkliirungsmodell in ein Entscheidungsmodell zu iiberfiihren, erschien logisch zwingend und reifte zu der vorliegenden Arbeit.
Handbook Of Quantitative Finance And Risk Management
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Author : Cheng-Few Lee
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-14
Handbook Of Quantitative Finance And Risk Management written by Cheng-Few Lee and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-06-14 with Business & Economics categories.
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Handbook Of Quantitative Finance And Risk Management
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Author :
language : en
Publisher:
Release Date : 2010
Handbook Of Quantitative Finance And Risk Management written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Finance categories.
Quantitative Modeling Of Operational Risk In Finance And Banking Using Possibility Theory
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Author : Arindam Chaudhuri
language : en
Publisher: Springer
Release Date : 2015-10-31
Quantitative Modeling Of Operational Risk In Finance And Banking Using Possibility Theory written by Arindam Chaudhuri and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-31 with Technology & Engineering categories.
This book offers a comprehensive guide to the modelling of operational risk using possibility theory. It provides a set of methods for measuring operational risks under a certain degree of vagueness and impreciseness, as encountered in real-life data. It shows how possibility theory and indeterminate uncertainty-encompassing degrees of belief can be applied in analysing the risk function, and describes the parametric g-and-h distribution associated with extreme value theory as an interesting candidate in this regard. The book offers a complete assessment of fuzzy methods for determining both value at risk (VaR) and subjective value at risk (SVaR), together with a stability estimation of VaR and SVaR. Based on the simulation studies and case studies reported on here, the possibilistic quantification of risk performs consistently better than the probabilistic model. Risk is evaluated by integrating two fuzzy techniques: the fuzzy analytic hierarchy process and the fuzzy extension of techniques for order preference by similarity to the ideal solution. Because of its specialized content, it is primarily intended for postgraduates and researchers with a basic knowledge of algebra and calculus, and can be used as reference guide for research-level courses on fuzzy sets, possibility theory and mathematical finance. The book also offers a useful source of information for banking and finance professionals investigating different risk-related aspects.
Basel Iii Credit Rating Systems
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Author : L. Izzi
language : en
Publisher: Palgrave Macmillan
Release Date : 2011-12-19
Basel Iii Credit Rating Systems written by L. Izzi and has been published by Palgrave Macmillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-19 with Business & Economics categories.
More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.
Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds
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Author : A. Berkelaar
language : en
Publisher: Springer
Release Date : 2009-11-30
Interest Rate Models Asset Allocation And Quantitative Techniques For Central Banks And Sovereign Wealth Funds written by A. Berkelaar and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-11-30 with Political Science categories.
This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.
The Validation Of Risk Models
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Author : S. Scandizzo
language : en
Publisher: Palgrave Macmillan
Release Date : 2016-04-27
The Validation Of Risk Models written by S. Scandizzo and has been published by Palgrave Macmillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-27 with Business & Economics categories.
This book is a one-stop-shop reference for risk management practitioners involved in the validation of risk models. It is a comprehensive manual about the tools, techniques and processes to be followed, focused on all the models that are relevant in the capital requirements and supervisory review of large international banks.
Consistent Quantitative Operational Risk Measurement And Regulation Challenges Of Model Specification Data Collection And Loss Reporting
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Author : Andreas Jobst
language : en
Publisher:
Release Date : 2007-11-01
Consistent Quantitative Operational Risk Measurement And Regulation Challenges Of Model Specification Data Collection And Loss Reporting written by Andreas Jobst and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-01 with Banks and banking categories.
Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital Accord with a view to inform a critical debate about the influence of varying loss profiles and different methods of data collection, loss reporting, and model specification on the reliability of operational risk estimates and the consistency of risk-sensitive capital rules. The presented findings offer guidance on enhanced market practice and more effective prudential standards for operational risk measurement.
Basel Iii Credit Rating Systems
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Author : L. Izzi
language : en
Publisher: Springer
Release Date : 2011-12-19
Basel Iii Credit Rating Systems written by L. Izzi and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-19 with Business & Economics categories.
More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.
Operational Risk Assessment
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Author : Brendon Young
language : en
Publisher: John Wiley & Sons
Release Date : 2010-12-03
Operational Risk Assessment written by Brendon Young and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-03 with Business & Economics categories.
Operational risk assessment The Commercial Imperative of a More Forensic and Transparent Approach Brendon Young and Rodney Coleman “Brendon Young and Rodney Coleman's book is extremely timely. There has never been a greater need for the financial industry to reassess the way it looks at risk. [...] They are right to draw attention to the current widespread practices of risk management, which [...] have allowed risk to become underpriced across the entire industry.” Rt Hon John McFall MP, Chairman, House of Commons Treasury Committee Failure of the financial services sector to properly understand risk was clearly demonstrated by the recent 'credit crunch'. In its 2008 Global Stability Report, the IMF sharply criticised banks and other financial institutions for the failure of risk management systems, resulting in excessive risk-taking. Financial sector supervision and regulation was also criticised for lagging behind shifts in business models and rapid innovation. This book provides investors with a sound understanding of the approaches used to assess the standing of firms and determine their true potential (identifying probable losers and potential longer-term winners). It advocates a 'more forensic' approach towards operational risk management and promotes transparency, which is seen as a facilitator of competition and efficiency as well as being a barrier to fraud, corruption and financial crime. Risk assessment is an integral part of informed decision making, influencing strategic positioning and direction. It is fundamental to a company’s performance and a key differentiator between competing management teams. Increasing complexity is resulting in the need for more dynamic, responsive approaches to the assessment and management of risk. Not all risks can be quantified; however, it remains incumbent upon management to determine the impact of possible risk-events on financial statements and to indicate the level of variation in projected figures. To begin, the book looks at traditional methods of risk assessment and shows how these have developed into the approaches currently being used. It then goes on to consider the more advanced forensic techniques being developed, which will undoubtedly increase understanding. The authors identify 'best practice' and address issues such as the importance of corporate governance, culture and ethics. Insurance as a mitigant for operational risk is also considered. Quantitative and qualitative risk assessment methodologies covered include: Loss-data analysis; extreme value theory; causal analysis including Bayesian Belief Networks; control risk self-assessment and key indicators; scenario analysis; and dynamic financial analysis. Views of industry insiders, from organisations such as Standard & Poors, Fitch, Hermes, USS, UN-PRI, Deutsche Bank, and Alchemy Partners, are presented together with those from experts at the FSA, the International Accounting Standards Board (IASB), and the Financial Reporting Council. In addition to investors, this book will be of interest to actuaries, rating agencies, regulators and legislators, as well as to the directors and risk managers of financial institutions in both the private and public sectors. Students requiring a comprehensive knowledge of operational risk management will also find the book of considerable value.