Modern risk management : a history
著者
書誌事項
Modern risk management : a history
Risk Books, c2003
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
Published in celebration of the 15th anniversary of Risk magazine, this commemorative title chronicles the major historical developments within the derivatives industry whilst presenting a wealth of new insights, perspectives and case studies on assorted risk management issues It covers the theories, models, measures, applications, software and regulation issues that have shaped the industry and offers an abundance of realistic and considered future perspectives. It includes new perspectives on various risk related issues as well as new case studies on derivatives disasters and rogue trading. Each contributing author represents the pinnacle of their respective field including: John Hull, Mark Rubinstein and Robert Jarrow, Paul Samuelson and Robert Merton. It features anecdotal autobiographies from leading risk and finance figures in the field including, Nobel prize winners A single-source volume covering every major theory and model - the definitive reference tool for the risk management professional or academic
目次
Introduction Peter Field Timeline Risk magazine PART I: THE RATIONALE OF RISK MANAGEMENT 1 Risk Management as a Process David Mengle 2 An Overview of the Evolution of the Over-the-counter Derivatives Market Carola von Schenk PART II: THE ROOTS AND DEVELOPMENT OF MODERN FINANCIAL MODELLING TECHNIQUES 3 Option Pricing Models and Stochastic Methods in Finance, 1900-1990 William Margrabe 4 Markowitz Mean-Variance Portfolio Theory Neil D. Pearson 5 Equilibrium Asset Pricing and Discount Factors: Overview and Implications for Derivatives Valuation and Risk Management John H. Cochrane and Christopher L. Culp 6 The Modigliani-Miller Propositions Christopher L. Culp 7 The Past, Present and Future of Term Structure Modelling Lane Hughston PART III: THE DEVELOPMENT OF RISK MANAGEMENT SOFTWARE 8 The Development of Risk Management Software Dan Rosen PART IV: THE DEVELOPMENT OF RISK MEASURES AND METHODOLOGIES 9 The Origin and Development of Value-at-Risk Olivier Scaillet 10 Stress Testing in Risk Management Vineer Bhansali 11 Extreme Value Theory and Statistics for Heavy Tail Data Silvia Caserta and Casper G. de Vries 12 The Copula David A. Chapman 13 Modelling Volatility Jin-Chuan Duan 14 The Evolution of Counterparty Credit Risk Management David M. Rowe 15 Theory and Practice of Model Risk Management Riccardo Rebonato PART V: THE DEVELOPMENT OF FINANCIAL RISK IDENTIFICATION 16 A Retrospective Look at Market Risk Barbara Kavanagh 17 Credit Risk from a Bank's Perspective Arnaud de Servigny and Olivier Renault 18 Operational Risk: Past, Present and Future Marcelo Cruz 19 Enterprise-wide Risk Management James Lam 20 Endogenous Risk Jon Danielsson and Hyun Song Shin PART VI: THE USE OF RISK MANAGEMENT 21 Multi-National Corporate Risk Management Practice Arnold Miyamoto and Ramon Espinosa 22 The Use of Risk Management by Corporations Rohan Williamson 23 Risk in US Energy Markets Edward N. Krapels 24 Risk Management in Asset Management Gregory Connor and Robert A. Korajczyk 25 Risk Management for Hedge Funds and Funds of Hedge Funds Virginia Reynolds Parker 26 Evolution of the Global Weather Derivatives Market Jeffrey Porter PART VII: REGULATORY ISSUES AND BANKING SUPERVISION 27 Regulatory Origins of Risk Management David Mengle 28 Regulatory Capital Treatment of Counterparty Credit Risk: the Need for a Reform Emmanuelle Sebton 29 Operational Risk - The Empiricists Strike Back? Richard Metcalfe PART VIII: FUTURE PERSPECTIVES 30 Use of Price Derivatives in Commodity Producing Developing Countries Panos Varangis, John Nash and Funke Oyewole PART IX: DERIVATIVES DISASTERS - CASE STUDIES 31 No Surprises Yana O'Sullivan and Geoff Kates 32 Medium-Term Risk Management Lessons from Long-Term Capital Management Philippe Jorion 33 Metallgesellschaft Christopher L. Culp 34 Analysis of the Orange County Disaster Alan C. Shapiro 35 Allied Irish Bank Nikki Marmery 36 Scenes from a Tragedy - Bankers Trust and Procter & Gamble William Falloon and Richard Irving 37 Singapore Sting - Barings Mark Nicholls 38 A Question of Authority - Hammersmith and Fulham Mark Nicholls 39 Full Metal Racket - Sumitomo Corporation Mark Nicholls APPENDIX: FINANCE AND RISK THINKERS 40 Remembering Fischer Black (1938-1995) Emanuel Derman 41 John Cox - Improving on Black-Scholes Navroz Patel 42 The Worlds of Yesterday Emanuel Derman 43 Perspectives on Risk Management John Hull 44 Jonathan Ingersoll - Driven to Simplicity Paul Lyon 45 Mathematics and Finance: A Fruitful Relationship Robert Jarrow 46 Adventures in Portfolio Theory Harry M. Markowitz 47 Unexpected Roads, Happily Travelled Robert C. Merton 48 Remembering Merton Miller (1923-2000) John Ferry 49 Inspired by America Franco Modigliani 50 Stephen Ross - Dedicated to the Real World Navroz Patel 51 All in All, it's been a Good Life Mark Rubinstein 52 Memoirs of an Early Finance Theorist Paul A. Samuelson 53 Myron Scholes - From Theory to Practice Keith Brody 54 William Sharpe - A Career-defining Risk Dwight Cass 55 Reflections on a Revolution Oldrich Vasicek
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