Quantitative Financial Risk Management
The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management
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Desheng Dash Wu Editor
Quantitative Financial Risk Management
Editor Desheng Dash Wu University of Toronto Risklab Spadina Crescent 1 M5S 3G3 Toronto Ontario Canada [email protected]
ISSN 2191-1436 e-ISSN 2191-1444 ISBN 978-3-642-19338-5 e-ISBN 978-3-642-19339-2 DOI 10.1007/978-3-642-19339-2 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2011930728 # Springer-Verlag Berlin Heidelberg 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: SPi Publisher Services Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
The past financial disasters have led to a great deal of emphasis on various forms of risk management such as market risk, credit risk and operational risk management. Financial institutions such as banks and insurance companies are further motivated by the need to meet various regulatory tendency toward an integrated or holistic view of risks. In USA, the Global Association of Risk Professionals (GARP), and the Professional Risk Managers’ International Association (PRMIA) were established since 1996 and 2002 respectively. In Canada, the Government of Canada, the Government of Ontario and financial sector leaders recently launched the Global Risk Institute in Financial Services (GRi) in Toronto, with the aim of T building on Canada’s growing reputation in financial risk management. Enterprise risk management (ERM) is an integrated approach to achieving the enterprise’s strategic, programmatic, and financial objectives with acceptable risk. ERM generalizes these concepts beyond financial risks to include all kinds of risks. Enterprise risk management has been deemed as an effective risk management philosophy. We have tried to discuss different aspects of risk, to include finance, information systems, disaster management, and supply chain perspectives (Olson and Wu 2008a, b, 2010). The bulk of this volume is devoted to address four main aspects of risk management: market risk, credit risk, risk management from both in macro-economy and enterprises. It presents a number of modeling approaches and case studies that have been (or could be) applied to achieve
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