Description
Book SynopsisThis edited volume presents the most recent achievements in risk measurement and management, as well as regulation of the financial industry, with contributions from prominent scholars and practitioners such as Robert Engle, 2003 Nobel Laureate in Economics, Viral Acharya, Torben Andersen, Zvi Bodie, Menachem Brenner, Aswath Damodaran, Marti Subrahmanyam, William Ziemba and others. The book provides a comprehensive overview of recent emerging standards in risk management from an interdisciplinary perspective. Individual chapters expound on the theme of standards setting in this era of financial crises where new and unseen global risks have emerged. They are organized in a such a way that allows the reader a broad perspective of the new emerging standards in macro, systemic and sovereign risk before zooming into the micro perspective of how risk is conceived and treated within a corporation. A section is dedicated to credit risk and to the increased importance of liquidity both in financial systems and at the firm's level.
Table of ContentsThe Evolution of Risk Management: New Standards for Risk Measurement and Measurement. An Evolutionary Perspective of the Risk Management Discipline during the Financial Crisis (Oliviero Roggi); Sovereign and Systemic Risk: Toward A Bottom-Up Approach to Assessing Sovereign Default Risk: An Update (Edward Altman); Measuring Systemic Risk (Robert Engle et al.); Taxing Systemic Risk (Viral Acharya et al.); Liquidity: Liquidity and Efficiency in Three Related Foreign Exchange Options Markets (Menachem Brenner and Ben Schreiber); Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (Marti Subrahmanyam et al.); Risk Management: Integrated Wealth and Risk Management: First Principles (Zvi Bodie); Analyzing the Impact of Effective Risk Management: Innovation and Capital Structure Effects (Torben Andersen); Credit Risk: Modelling Credit Risk for SMEs: Evidence from the US Market (Edward Altman and Gabriele Sabato); Predicting SME Default Risk. Does A Regional Model Make Sense? (Oliviero Roggi and Alessandro Giannozzi); Credit Loss and Systematic Loss Given Default (Jon Frye and Michael Jacobs Jr.); Equity Risk and Market Crashes: Equity Risk Premiums (ERP): Determinants, Estimation and Implications - The 2012 Edition (Aswath Damodaran); Stock Market Crashes in 2007 - 2009: Were We Able to Predict Them? (Sebastien Lleoyz and William Ziemba).
