The Fundamentals of Risk Measurement

 
9780071386272: The Fundamentals of Risk Measurement

A step-by-step guidebook for understanding―and implementing―integrated financial risk measurement and management

The Fundamentals of Risk Measurement introduces the state-of-the-art tools and practices necessary for planning, executing, and maintaining risk management in today’s volatile financial environment. This comprehensive book provides description and analysis of topics including:

  • Economic capital
  • Risk adjusted return on capital (RAROC)
  • Shareholder Value Added (SVA)
  • Value at Risk (VaR)
  • Asset/liability management (ALM)
  • Credit risk for a single facility
  • Credit risk for portfolios
  • Operating risk
  • Inter-risk diversification
  • The Basel Committee Capital Accords

The banking world is driven by risk. The Fundamentals of Risk Measurement shows you how to quantify that risk, outlining an integrated framework for risk measurement and management that is straightforward, practical for implementation, and based on the realities of today’s tumultuous global marketplace.

“Banks make money in one of two ways: providing services to customers and taking risks. In this book, we address the business of making money by taking risk....”―From the Introduction

In The Fundamentals of Risk Measurement, financial industry veteran Chris Marrison examines what banks must do to succeed in the business of making money by taking risk. Encompassing the three primary areas of banking risk―market, credit, and operational―and doing so in a uniquely intuitive, step-by-step format, Marrison provides hands-on details on the primary tools for financial risk measurement and management, including:

  • Plain-English evaluation of specific risk measurement tools and techniques
  • Use of Value at Risk (VaR) for assessment of market risk for trading operations
  • Asset/liability management (ALM) techniques, transfer pricing, and managing market and liquidity risk
  • The many available methods for analyzing portfolios of credit risks
  • Using RAROC to compare the risk-adjusted profitability of businesses and price transactions

In addition, woven throughout The Fundamentals of Risk Measurement are principles underlying the regulatory capital requirements of the Basel Committee on Banking Supervision, and what banks must do to understand and implement them. The requirements are defined, implications of the New Capital Accord are presented, and the major steps that a bank must take to implement the New Accord are discussed. The resulting thumbnail sketch of the Basel Committee, and specifically the New Capital Accord, is valuable as both a ready reference and a foundation for further study of this important initiative.

Risk is unavoidable in the financial industry. It can, however, be measured and managed to provide the greatest risk-adjusted return, and limit the negative impacts of risk to a bank’s shareholders as well as potential borrowers and lenders. The Fundamentals of Risk Management provides risk managers with an approach to risk-taking that is both informed and prudent, one that shows operations managers how to control risk exposures as it allows decision-making executives to direct resources to opportunities that are expected to create maximum return with minimum risk. The result is today’s most complete introduction to the business of risk, and a valuable reference for anyone from the floor trader to the officer in charge of overseeing the entire risk management operation.

"synopsis" may belong to another edition of this title.

From the Back Cover:

Today’s Most Detailed, Step-by-Step Guidebook for Understanding―and Implementing―Integrated Financial Risk Measurement and Management

Banks take financial risks, with their overall profits based on maximizing the returns from those risks. Losses―or in the case of Britain’s Barings Bank, utter devastation―can occur when assumed risks are unregulated internally and become too large, either in relation to potential returns or in the bank’s ability to cover the risks.

Between the two lies the effective measurement and management of financial risk.

The Fundamentals of Risk Measurement introduces the state-of-the-art tools and practices necessary for planning, executing, and maintaining risk management in today’s volatile financial environment. This comprehensive book provides description and analysis of topics including:

  • Economic capital
  • Risk adjusted return on capital (RAROC)
  • Shareholder Value Added (SVA)
  • Value at Risk (VaR)
  • Asset/liability management (ALM)
  • Credit risk for a single facility
  • Credit risk for portfolios
  • Operating risk
  • Inter-risk diversification
  • The Basel Committee Capital Accords

The banking world is driven by risk. The Fundamentals of Risk Measurement shows you how to quantify that risk, outlining an integrated framework for risk measurement and management that is straightforward, practical for implementation, and based on the realities of today’s tumultuous global marketplace.

“Banks make money in one of two ways: providing services to customers and taking risks. In this book, we address the business of making money by taking risk....”―From the Introduction

In The Fundamentals of Risk Measurement, financial industry veteran Chris Marrison examines what banks must do to succeed in the business of making money by taking risk. Encompassing the three primary areas of banking risk―market, credit, and operational―and doing so in a uniquely intuitive, step-by-step format, Marrison provides hands-on details on the primary tools for financial risk measurement and management, including:

  • Plain-English evaluation of specific risk measurement tools and techniques
  • Use of Value at Risk (VaR) for assessment of market risk for trading operations
  • Asset/liability management (ALM) techniques, transfer pricing, and managing market and liquidity risk
  • The many available methods for analyzing portfolios of credit risks
  • Using RAROC to compare the risk-adjusted profitability of businesses and price transactions

In addition, woven throughout The Fundamentals of Risk Measurement are principles underlying the regulatory capital requirements of the Basel Committee on Banking Supervision, and what banks must do to understand and implement them. The requirements are defined, implications of the New Capital Accord are presented, and the major steps that a bank must take to implement the New Accord are discussed. The resulting thumbnail sketch of the Basel Committee, and specifically the New Capital Accord, is valuable as both a ready reference and a foundation for further study of this important initiative.

Risk is unavoidable in the financial industry. It can, however, be measured and managed to provide the greatest risk-adjusted return, and limit the negative impacts of risk to a bank’s shareholders as well as potential borrowers and lenders. The Fundamentals of Risk Management provides risk managers with an approach to risk-taking that is both informed and prudent, one that shows operations managers how to control risk exposures as it allows decision-making executives to direct resources to opportunities that are expected to create maximum return with minimum risk. The result is today’s most complete introduction to the business of risk, and a valuable reference for anyone from the floor trader to the officer in charge of overseeing the entire risk management operation.

About the Author:

Chris Marrison, Ph.D., is a veteran risk management consultant with experience in trading risk, credit risk, business control, asset/liability management, emerging markets, and project finance. A former managing principal with The Capital Markets Company and senior engagement officer with Oliver Wyman & Co., Dr. Marrison has been a Royal Air Force officer and a technical consultant on major engineering projects in the United States, Bulgaria, and Brazil, and has given risk management advice to banks and governments throughout North America, Europe, Asia, and Africa.

"About this title" may belong to another edition of this title.

Top Search Results from the AbeBooks Marketplace

1.

Marrison, Christopher
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Quantity Available: > 20
Seller
Pbshop
(Wood Dale, IL, U.S.A.)
Rating
[?]

Book Description 2002. HRD. Book Condition: New. New Book.Shipped from US within 10 to 14 business days. Established seller since 2000. Bookseller Inventory # IB-9780071386272

More Information About This Seller | Ask Bookseller a Question

Buy New
26.38
Convert Currency

Add to Basket

Shipping: 3.06
Within U.S.A.
Destination, Rates & Speeds

2.

Marrison, Christopher
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: > 20
Seller
BargainBookStores
(Grand Rapids, MI, U.S.A.)
Rating
[?]

Book Description Hardcover. Book Condition: New. Bookseller Inventory # 954807

More Information About This Seller | Ask Bookseller a Question

Buy New
27.90
Convert Currency

Add to Basket

Shipping: 3.06
Within U.S.A.
Destination, Rates & Speeds

3.

Marrison, Christopher
Published by McGraw-Hill Education
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: 1
Seller
Green Street Books
(San Mateo, CA, U.S.A.)
Rating
[?]

Book Description McGraw-Hill Education. Hardcover. Book Condition: New. 0071386270 May have light shelf wear, unread, new. Please view our store policies for all shipping and condition grades, thank you. Bookseller Inventory # SKU095796

More Information About This Seller | Ask Bookseller a Question

Buy New
28.56
Convert Currency

Add to Basket

Shipping: 3.07
Within U.S.A.
Destination, Rates & Speeds

4.

Christopher Marrison
Published by McGraw-Hill Education - Europe, United States (2002)
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: 10
Seller
The Book Depository
(London, United Kingdom)
Rating
[?]

Book Description McGraw-Hill Education - Europe, United States, 2002. Hardback. Book Condition: New. Language: English . Brand New Book. A step-by-step guidebook for understanding-and implementing-integrated financial risk measurement and management The Fundamentals of Risk Measurement introduces the state-of-the-art tools and practices necessary for planning, executing, and maintaining risk management in today s volatile financial environment. This comprehensive book provides description and analysis of topics including: Economic capital Risk adjusted return on capital (RAROC) Shareholder Value Added (SVA) Value at Risk (VaR) Asset/liability management (ALM) Credit risk for a single facility Credit risk for portfolios Operating risk Inter-risk diversification The Basel Committee Capital Accords The banking world is driven by risk. The Fundamentals of Risk Measurement shows you how to quantify that risk, outlining an integrated framework for risk measurement and management that is straightforward, practical for implementation, and based on the realities of today s tumultuous global marketplace. Banks make money in one of two ways: providing services to customers and taking risks. In this book, we address the business of making money by taking risk. -From the Introduction In The Fundamentals of Risk Measurement, financial industry veteran Chris Marrison examines what banks must do to succeed in the business of making money by taking risk. Encompassing the three primary areas of banking risk-market, credit, and operational-and doing so in a uniquely intuitive, step-by-step format, Marrison provides hands-on details on the primary tools for financial risk measurement and management, including: Plain-English evaluation of specific risk measurement tools and techniques Use of Value at Risk (VaR) for assessment of market risk for trading operations Asset/liability management (ALM) techniques, transfer pricing, and managing market and liquidity risk The many available methods for analyzing portfolios of credit risks Using RAROC to compare the risk-adjusted profitability of businesses and price transactions In addition, woven throughout The Fundamentals of Risk Measurement are principles underlying the regulatory capital requirements of the Basel Committee on Banking Supervision, and what banks must do to understand and implement them. The requirements are defined, implications of the New Capital Accord are presented, and the major steps that a bank must take to implement the New Accord are discussed. The resulting thumbnail sketch of the Basel Committee, and specifically the New Capital Accord, is valuable as both a ready reference and a foundation for further study of this important initiative. Risk is unavoidable in the financial industry. It can, however, be measured and managed to provide the greatest risk-adjusted return, and limit the negative impacts of risk to a bank s shareholders as well as potential borrowers and lenders. The Fundamentals of Risk Management provides risk managers with an approach to risk-taking that is both informed and prudent, one that shows operations managers how to control risk exposures as it allows decision-making executives to direct resources to opportunities that are expected to create maximum return with minimum risk. The result is today s most complete introduction to the business of risk, and a valuable reference for anyone from the floor trader to the officer in charge of overseeing the entire risk management operation. Bookseller Inventory # AAC9780071386272

More Information About This Seller | Ask Bookseller a Question

Buy New
33.47
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

5.

Marrison, Christopher
Published by McGraw-Hill Education (2002)
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: 9
Seller
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description McGraw-Hill Education, 2002. Hardcover. Book Condition: New. Bookseller Inventory # 0071386270

More Information About This Seller | Ask Bookseller a Question

Buy New
31.77
Convert Currency

Add to Basket

Shipping: 2.30
Within U.S.A.
Destination, Rates & Speeds

6.

Marrison, Christopher
Published by McGraw-Hill Education (2002)
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: 2
Seller
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description McGraw-Hill Education, 2002. Hardcover. Book Condition: New. Bookseller Inventory # P110071386270

More Information About This Seller | Ask Bookseller a Question

Buy New
31.95
Convert Currency

Add to Basket

Shipping: 2.30
Within U.S.A.
Destination, Rates & Speeds

7.

Marrison, Christopher
Published by McGraw-Hill Education
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: 3
Seller
Lakeside Books
(Benton Harbor, MI, U.S.A.)
Rating
[?]

Book Description McGraw-Hill Education. Hardcover. Book Condition: New. 0071386270 BRAND NEW, GIFT QUALITY! NOT OVERSTOCKS OR MARKED UP REMAINDERS! DIRECT FROM THE PUBLISHER!|2.35. Bookseller Inventory # OTF-S-9780071386272

More Information About This Seller | Ask Bookseller a Question

Buy New
31.39
Convert Currency

Add to Basket

Shipping: 3.06
Within U.S.A.
Destination, Rates & Speeds

8.

Christopher Marrison
Published by McGraw-Hill Education - Europe, United States (2002)
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: 10
Seller
The Book Depository US
(London, United Kingdom)
Rating
[?]

Book Description McGraw-Hill Education - Europe, United States, 2002. Hardback. Book Condition: New. Language: English . Brand New Book. TABLE OF CONTENTS Chapter 1: The Basics of Risk ManagementThis chapter introduces how banks work. It describes how they make money, how they often lose money, and how they try to manage their losses. It includes thirteen short case studies showing how banks have lost money. Chapter 2: Risk Measurement at the Corporate Level: Economic Capital and RAROCChapter Two discusses the meaning of capital and how the risks that a bank faces are related to the amount of capital that the bank should hold. It then describes the two fundamental building blocks of integrated risk measurement: Economic Capital and Risk Adjusted Return on Capital (RAROC). Chapter 3: Review of StatisticsChapter Three is useful for those readers who do not have a recent working knowledge of statistics. It reviews the statistical relationships that are commonly used in risk measurement and provides reference material for the rest of the book. Examples are provided using financial loss data. MARKET RISK SECTION Chapter 4: Background on Traded InstrumentsThis chapter gives an overview of the main types of traded instruments: bonds, equities and derivatives.It gives a qualitative description of the instrument, examples of calculating the instrument s value and the basic risk metrics such as duration and the Greeks. This chapter is useful for those readers who are new to the finance industry. Chapter 5: Market Risk MeasurementThis chapter describes the most common ways to measure market risks: Sensitivity analysis, Stress testing, Scenario testing, Sharpe Ratio and Value at Risk. It gives detailed examples of using each of the metrics. Chapter 6: The Three Common Approaches for Calculating Value at RiskValue at Risk (VaR) has become the standard approach for measuring market risk. This chapter is devoted to explaining the details of the three common approaches to calculating VaR: Parametric VaR, Historical VaR and Monte Carlo VaR. We work though increasingly complex examples and compare the strengths of each approach. (Note: many readers will be particularly interested in this chapter because the name VaR is well known and has a certain mystery) Chapter 7: Value at Risk ContributionThe Value at Risk Contribution (VaRC) is a useful way of pinpointing the source of the portfolio s risk.VaRC can break down the risk by instrument, trading desk or market risk factor. Examples are given for several types of VaRC. Chapter 8: Testing VaR Results to Ensure Proper Risk MeasurementThis chapter discusses the procedures required by regulators to backtest VaR calculators to check that their predictions of losses are consistent with market events. Chapter 9: Calculating Capital for Market RiskVaR is used as the basis for calculating both Regulatory Capital and Economic Capital for Market Risks. In this chapter VaR also extended to measure the risk of Asset Management operations. Chapter 10: Overcoming VaR LimitationsAlthough VaR is the best single metric for market risks, is has several limitations. The limitations and typical solutions are discussed in this chapter. Chapter 11: The Management of Market Risk This chapter concludes the market risk section by describing how the results of risk measurement are used by management to identify the sources of risk. It also describes the process of setting VaR Limits. (Note: readers should be particularly interested in VaR Limits because it is difficult and an important element in controlling a bank s risk).ASSET/LIABILITY MANGEMENT SECTION Chapter 12: Introduction to Asset Liability ManagementAsset Liability Management (ALM) is primarily concerned with the interest rate and liquidity risks that are created when commercial banks take in short term deposits from customers and give out long term loans. This chapter describes how those risks arise and the risk characteristics of different types of deposits and loans. Chapter 13: Measurement of Interest Rate Risk for ALMThis chapter discussed the primary tech. Bookseller Inventory # AAC9780071386272

More Information About This Seller | Ask Bookseller a Question

Buy New
34.47
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

9.

Marrison, Christopher
Published by McGraw-Hill Education
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: 1
Seller
BookShop4U
(PHILADELPHIA, PA, U.S.A.)
Rating
[?]

Book Description McGraw-Hill Education. Hardcover. Book Condition: New. 0071386270. Bookseller Inventory # Z0071386270ZN

More Information About This Seller | Ask Bookseller a Question

Buy New
35.56
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

10.

Marrison, Christopher
Published by McGraw-Hill Education
ISBN 10: 0071386270 ISBN 13: 9780071386272
New Hardcover Quantity Available: 1
Seller
Bookhouse COM LLC
(Philadelphia, PA, U.S.A.)
Rating
[?]

Book Description McGraw-Hill Education. Hardcover. Book Condition: New. 0071386270. Bookseller Inventory # Z0071386270ZN

More Information About This Seller | Ask Bookseller a Question

Buy New
35.56
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

There are more copies of this book

View all search results for this book