Risk Management in Turbulent Times

摘要: INTRODUCTION I RISK MANAGEMENT: WHAT MUST BE CHANGED 1 Lessons From recent Financial Crises 1.1 The Basic Goals of Risk Management 1.2 When Fails 1.3 What Should Be Done? 2 Living in Turbulent Times 2.1 New and Larger Risks 2.2 Increased Accountability 2.3 Need for a Global Approach 3 Proper Methodology 3.1 Necessary Ingredients 3.2 Mapping 3.3 Loss Control 3.4 Allocation II IS BEHIND MODELING 4 Tools Modeling 4.1 Assessing Probabilities: Frequentist Subjective Approaches 4.2 Bayesian updating 4.3 Estimating Distributions 4.4 Combining Event Trees Monte Carlo Methods 4.5 Dangers the Stationarity Assumption 5 Statistical Measures 5.1 Expectation or Mean 5.2 Variance 5.3 Linear Correlation 5.4 Copulas 5.5 Value at 5.6 Mutualization Diversification 5.7 Using Simple Appendix: Extreme Theory 6 Leverage Ruin 6.1 Return on Equity 6.2 Economic Capital Bank 6.3 an Insurance Company 6.4 Limits III THE PERFECT MARKETS HYPOTHESIS AND ITS DANGERS 7 Neutral Valuation 7.1 Expected Present Criterion 7.2 Magic Perfect Markets 7.3 Complete Absence Arbitrage Opportunities 7.4 A Binomial Example 7.5 Mirages World 8 Case Incomplete Markets: Relating Premiums to Fundamentals 8.1 Solving St Petersburg Paradox 8.2 Certainty Equivalent 8.3 Exchanging 8.4 Equilibrium 9 Normal 9.1 Mean-Variance 9.2 Portfolio Choice 9.3 Principle 9.4 Efficient Portfolios Sharpe Ratio 9.5 Asset Pricing Model (CAPM) 9.6 Futures Contracts Hedging 9.7 RaRoc 9.8 Viewing as " Appendix 1: with Several Risky Assets 2: Deriving CAPM Formula IV MANAGEMENT SHAREHOLDER VALUE 10 Why Market Imperfections Matter Shareholder 10.1 Standards 10.2 is Function Likely Non Linear: 10.3 Incentive Problems Generate Frictions 11 11.1 Target Level Cash 11.2 Optimizing Liquidity 11.3 Stochastic Differential Calculus Derivation Shareholders 12 12.1 How Much Take? 12.2 Which Insure? 12.3 Keep Reserves? 12.4 hedging Perform? V TO DO IN PRACTICE? 13 Different Steps Implementation 13.1 13.2 Unifying Metric Mapping: 13.3 Instruments 14 Learning from 14.1 Presentation Med Corp 14.2 Analysis 14.3 RM 14.4 Transfer Policy 15 Conclusion: Some Messages 15.1 Message # Quantitative models are needed but they have be used precaution 15.2 creates value shareholders 15.3 3: Things do practice 15.4 4: Key successful approach Index