Modern Risk Management

A History

Publication Date	July 2003
Publisher	Risk Books
Product Type	Book
Pages	611
ISBN Number	1904339050
Product Code	RIS00307

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Summary

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
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
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

Content

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