Skip to main content
SpringerLink
Log in

Risk Management: The State of the Art

  • Book
  • © 2002

Overview

Editors:
  1. Stephen Figlewski

    1. Stern School of Business, New York University, USA

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

  2. Richard M. Levich

    1. Stern School of Business, New York University, USA

    View editor publications

    You can also search for this editor in PubMed   Google Scholar

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 129.00
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 169.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 169.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (17 chapters)

  1. Front Matter

    Pages i-xxi
    Download chapter PDF

  2. Identifying, Modeling and Hedging Risks

    1. Front Matter

      Pages 1-1
      Download chapter PDF

    2. Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management

      • Anil Bangia, Francis X. Diebold, Til Schuermann, John D. Stroughair
      Pages 3-13

    3. Credit Risk Capital: More than One Way to Guard a Guarantee

      • Paul Kupiec
      Pages 15-25

    4. Qualitative & Quantitative Derivatives Risk Management

      • Emanuel Derman
      Pages 27-34

    5. Remarks on the Legal Risks of Derivatives

      • Thomas A. Russo
      Pages 35-36

    6. The Evolving Market for Catastrophic Event Risk

      • Kenneth Froot
      Pages 37-65

    7. Industrial Risk Management with Weather Derivatives

      • Richard Jefferis
      Pages 67-78

    8. Designing and Pricing New Instruments for Insurance and Weather Risks

      • Joseph B. Cole
      Pages 79-85

    9. Measuring Credit Risk: The Credit Migration Approach Extended for Credit Derivatives

      • Michel Crouhy, John Im, Greg Nudelman
      Pages 87-110

    10. The Y2K Enigma

      • Menachem Brenner, Michel Crouhy, Dan Galai
      Pages 111-119

  3. Managing Risk in Financial Institutions

    1. Front Matter

      Pages 121-121
      Download chapter PDF

    2. Payment and Settlement Risks in International Financial Markets

      • Darryll Hendricks
      Pages 123-127

    3. Risk, Regimes, and Overconfidence

      • Mark Kritzman, Kenneth Lowry, Anne-Sophie Van Royen
      Pages 129-144

    4. The Bi-Currency Balance Sheet Model of Latent Currency Risk

      • Anthony C. Morris
      Pages 145-162

    5. Does Contagion Exist?

      • Roberto Rigobon
      Pages 163-166

    6. An Analysis and Critique of the BIS Proposal on Capital Adequacy and Ratings

      • Edward I. Altman, Anthony Saunders
      Pages 167-186

    7. Hedge Fund Transparency is no Silver Bullet!

      • Bruce Brittain
      Pages 187-200

    8. Capital Adequacy in Financial Institutions: Basel Proposals

      • Darryll Hendricks
      Pages 201-205

    9. Risk Management: Where Are We Heading? Where Have We Been?

      • Leslie Rahl
      Pages 207-213
Back to top

Keywords

About this book

Very often, we associate the dawn of modern financial theory with Harry Markowitz who in the 1950s introduced the formal mathematics of probability theory to the problem of managing risk in an asset portfolio. The 1970s saw the advent of formal models for pricing options and other derivative contracts, whose primary purpose was also financial risk management and hedging. But events in the 1990s made it clear that effective risk management is a critical element for success, and indeed, for long term survival, not only for financial institutions, but also for industrial firms, and even for nonprofit organizations and governmental bodies. These recent events vividly show that the world is filled with all manner of risks, and so risk management must extend far beyond the use of standard derivative instruments in routine hedging applications.
The articles in this volume cover two broad themes. One theme emphasizes methods for identifying, modeling, and hedging specific types of financial and business risks. Articles in this category consider the technology of risk measurement, such as Value at Risk and extreme value theory; new classes of risk, such as liquidity risk; new financial instruments and markets for risk management, such as derivative contracts based on weather and on catastrophic insurance risks; and finally, credit risk, which has become one of the most important areas of practical interest for risk management. The second theme stresses risk management from the perspective of the firm and the financial system as a whole. Articles in this category analyze risk management in the international arena, including payment and settlement risks and sovereign risk pricing, risk management from the regulator's viewpoint, and risk management for financial institutions. The articles in this volume examine the "State of the Art" in risk management from the standpoint of academic researchers, market analysts and practitioners, and government observers.

Editors and Affiliations

  • Stern School of Business, New York University, USA

    Stephen Figlewski, Richard M. Levich

Bibliographic Information

  • Book Title: Risk Management: The State of the Art

  • Editors: Stephen Figlewski, Richard M. Levich

  • Series Title: The New York University Salomon Center Series on Financial Markets and Institutions

  • DOI: https://doi.org/10.1007/978-1-4615-0791-8

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media New York 2002

  • Hardcover ISBN: 978-0-7923-7427-5Published: 30 November 2001

  • Softcover ISBN: 978-1-4613-5241-9Published: 26 October 2012

  • eBook ISBN: 978-1-4615-0791-8Published: 06 December 2012

  • Series ISSN: 1387-6899

  • Edition Number: 1

  • Number of Pages: XXI, 219

  • Topics: Finance, general

Publish with us

Policies and ethics

Back to top

Search

Navigation