Table of Contents
Introduction. How This Book Is Organized. Risk Management Transparency. The Spectrum of Risks Chart.
Section I THE RISKS AND THEIR CONTOURS. 1. Global Risk Management's Emergence. Technology and Communications. Quantitative Models. Dealers in Flux, Too. Major Messages in This Book. Wrap-Up.
2. The Full Spectrum of Risks. Operational Risk. Other Nonfinancial Risks. Wrap-Up.
3.The Contours of Financial Risk. Funding Risk: The Primal Arc. Markets and Risk. Basis Risk. Alternative Views an Insights. New Measurement Tools and Management Techniques. Credit Risk. The Contours of Credit Risk. Portfolio Risk. Our Journey Wrap-Up
Section II MARKET RISK MANAGEMENT.
4. Market Risk: Tools and Uses. Hedge Example. Arbitrage. Speculation. Wrap-Up.
5. Commodity Market Risk Management. Case Study: Big Auto Co. Case Study: Innovative Enron. Commodity Market Features. Wrap-Up.
6. Currency Market Risk Management. Market Dynamics. Valuation and Risk Mechanics. Risk Illustrations. End Users. Intermediaries. Wrap-Up.
7. Fixed-Income Market Risk Management. Market Dynamics. Time Matters. Valuation. Risk Mechanics. Risk Illustrations. Corporate Users. Dealers. The Investors. Wrap-Up.
8. Equity Market Risk Management. Valuation and Risk Mechanics. Risk Illustration. Equity Derivatives. Dealers and End Users. Wrap-Up. Market Risk Summary.
Section III CREDIT RISK MANAGEMENT.
9.The Schism in Credit Risk Management. Credit Risk Management Difficulties. Wrap-Up.
10.Credit Risk Management for Trading. The Variable Exposure Problem. Pre-Settlement and Settlement Risk. Monte Carlo Simulation. Credit Risk versus Exposure. Credit Limit Problems. Charging for Credit. Systemic Concerns. Wrap-Up.
11. Credit Risk Management for Traditional Lending. The Traditional Credit Process: Commercial Loans. Competition and Change to the Process. Summary of Changes to the Process. The Prior Models for Credit Risk. The New Models for Credit Risk. Case Study: Bank of Montreal. Credit Market Trends. Wrap-Up.
Section IV RISK IN PORTFOLIOS
12. Market Risk in Portfolios. Portfolio Risk Measures: Their Evolution. Forecasting for VaR. VaR Summary. Stress Testing. The Lessons of 1998. Wrap-Up.
13. Simulation. Case Study: Global Oil Co. Wrap-Up.
Section V DEVELOPING A GLOBAL RISK MANAGEMENT PROCESS.
14. Risk Management: The Vision and the Reality. The Vision for Risk Management: Go Global. The Reality at Global Financial Institutions. Wrap-Up.
15. The Global Risk Management Development Model. Management Direction. Risk Management Development Projects. Integrating with the Operating. Infrastructure. Wrap-Up
16.Developing GRM: What Works, What Doesn't. The Chase Example. Features of Success. Pitfalls to Avoid. Wrap-Up.
Conclusion. The Ten Commandments for Going Global with Risk. Appendix: Financial Risk Definitions. Notes. Index.