Risk Management

Last year's headline-grabbing stories of the notorious bailout of Long-Term Capital Management and the $1.4 billion credit loss for BankAmerica opened the eyes of the investment world. These turbulent times have meant increased awareness of risk management and have lead to late breaking developments in new research, techniques, and theories in the field. Given the high stakes in today's business world with financial dealings in the billions (e.g., derivatives), it's easy to see why risk management has become the key buzzword on Wall Street. While Jorion focuses strictly on market risk, today's financial professionals are also evaluating credit risk and operational risk. Managing Risk provides a comprehensive description and analysis of modern risk management, including the regulatory aspects, organizational issues, potential problem areas, and tools to control and manage the many different kinds of risks: market risk, credit risk, and operational risk. It also discusses: structuring and managing the risk management function in a firm; practical measurement issues in the field; risk management in both financial and non-financial institutions.

Michel Crouhy, Ph.D., is senior vice president, Global Analytics, Risk Management Division at Canadian Imperial Bank of Commerce (CIBC), where he is in charge of market and credit risk analytics. He has published extensively in academic journals, is currently associate editor of both Journal of Derivatives and Journal of Banking and Finance, and is on the editorial board of Journal of Risk.

Dan Galai, Ph.D., is the Abe Gray Professor of Finance and Business Administration at the Hebrew University and a principal of Sigma P.C.M. Dr. Galai has consulted for the Chicago Board Options Exchange and the American Stock Exchange and published numerous articles in leading journals. He was the winner of the First Annual Pomeranze Prize for excellence in options research presented by the CBOE.

Robert Mark, Ph.D., is senior executive vice president at the Canadian Imperial Bank of Commerce. Dr. Mark is the chief risk officer at CIBC and is a member of the senior executive team of the bank. In 1998, he was named Financial Risk Manager of the Year by the Global Association of Risk Professionals (GARP).

The Need for Risk Management Systems.

The New Regulatory and Corporate Environment.

Structuring and Managing the Risk Management Function in a Bank.

The New BIS Capital Requirements for Financial Risks.

Measuring Market Risk: The VaR Approach.

Measuring Market Risk: Extensions of the VaR Approach and Testing the Models.

Credit Rating Systems.

Credit Migration Approach to Measuring Credit Risk.

The Contingent Claim Approach to Measuring Credit Risk.

Other Approaches: The Actuarial and Reduced-form Approaches to Measuring Credit Risk.

Comparison of Industry-sponsored Credit Models and Associated Back-Testing Issues.

Hedging Credit Risk.

Managing Operational Risk.

Capital Allocation and Performance Measurement.

Model Risk.

Risk Management in Nonbank Corporations.

Risk Management in the Future.

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Summary

Author Biography

Table of Contents

Supplemental Materials