Investment Risk Management.pdf
All investments carry with them some degree of risk. In the financial world, individuals, professional money managers, financial institutions, and many others encounter and must deal with risk. Risk management is a process of determining what risks exist in an investment and then handling those risks in the best-suited way. This is important because it can reduce or augment risk depending on the goals of investors and portfolio managers. The main purpose of Investment Risk Management is to provide an overview of developments in risk management and a synthesis of research involving these developments. The book examines ways to alter exposures through measuring and managing those exposures and provides an understanding of the latest strategies and trends within risk management. The scope of the coverage is broad and encompasses the most important aspects of investment risk management. Its 30 chapters are organized into six sections: (1) foundations of risk management, (2) types of risk, (3) quantitative assessment of risk, (4) risk and risk classes, (5) hedging risk and (6) going forward. The book should be of particular interest to sophisticated practitioners, investors, academics, and graduate finance students. Investment Risk Management provides a fresh look at this intriguing but complex subject.
Greg Filbeck holds the Samuel P. Black III Professor of Insurance and Risk Management at Penn State Erie, the Behrend College and serves as Area Chair for Finance, Accounting, and Business Economics. He formerly served as Senior Vice-President of Kaplan Schweser and held academic appointments at Miami University (Ohio) and the University of Toledo, where he served as the Associate Director of the Center for Family Business. Professor Filbeck is an author or editor of four books and has published more than 75 refereed academic journal articles that have appeared in journals such as Financial Analysts Journal, Financial Review, and Journal of Business, Finance, and Accounting.
SECTION ONE FOUNDATIONS OF RISK MANAGEMENT ; 1. Investment Risk Management: An Overview ; H. Kent Baker and Greg Filbeck ; 2. Measuring and Managing Risk ; Raimund M. Kovacevic, Georg Ch. Pflug, and Alois Pichler ; 3. How Risk Management Adds Value ; M. Martin Boyer and Monica Marin ; 4. Accounting and Risk Management ; Mark Bradshaw and Bjorn Jorgensen ; SECTION TWO TYPES OF RISK ; 5. Market Risk ; Ramon P. Degennaro and Chanaka P. Edirisinghe ; 6. Credit Risk Measurement and Management ; Norbert J. Jobst ; 7. Operational Risk ; Pavel V. Shevchenko ; 8. Liquidity Risk ; Kose John, Samir Saadi, and Hui Zhu ; 9. Country Risk: Determinants, Measures, and Implications ; Aswath Damodaran ; 10. Systemic Risk ; Andreas Krause ; 11. Behavioral Risk ; M. Martin Boyer, Franca Glenzer, and Samuel Ouzan ; 12. Governance Risk: A Guide for Investors ; Didier Cossin ; 13. Inflation Risk: Causes and Instruments for Protection ; Claus Huber, Felix Gasser, and Nicolas Burkler ; 14. Risk Aggregation and Capital Management ; Sumit Mathur ; SECTION THREE QUANTITATIVE ASSESSMENT OF RISK ; 15. Value-at-Risk and Other Risk Measures ; Markus Lieppold ; 16. Stress Testing ; Martin ?ihak ; 17. Risk Management and Regulation ; David E. Allen, Robert J. Powell, and Abhay K. Singh ; 18. Risk Budgeting ; Gregg Fisher, Tim Nguyen, and Cristian I. Tiu ; 19. Risk-Adjusted Performance Measurement ; Pilar Grau Carles ; 20. Risk Attribution Analysis ; Philippe Bertrand ; SECTION FOUR RISK AND ASSET CLASSES ; 21. Risk and Mortgage-Backed Securities in a Time of Transition ; Harold C. Barnett ; 22. Credit Value Adjustment ; James T. Moser ; 23. Risk Management and Hedge Funds ; Razvan Pascalau ; SECTION FIVE HEDGING RISK ; 24. Options ; Kit Pong Wong, Greg Filbeck, and H. Kent Baker ; 25. Trading Futures to Manage Risk ; Ludwig B. Chincarini ; 26. Swaps ; Dimitris Tsouknidis and Elias Boukrami ; 27. The Economics of Credit Derivatives ; Udo Broll, Simone Raab, and Peter Welzel ; 28. Foreign Exchange Derivatives in Frontier Markets ; Othmane Boukrami and Bert van Lier ; SECTION SIX GOING FORWARD ; 29. Risk Management and Financial Disasters ; Gabriele Sabato ; 30. The Future of Risk Management ; Hunter M. Holzhauer