RISK MANAGEMENT CROUHY M., GALAI D. Księgarnia

Risk Management

Comprehensive chapters on market, credit and operation risk

Features an integrated VaR framework

Hedging strategies for reducing risk

Exploding global competition, increasing regulations, and the ever-changing product mix of innovative, intricate derivative and securitization products have pushed risk management to the forefront of today's financial landscape. Corporate and banking executives trying to make sense of this environment often find themselves wasting valuable time searching for details and actually creating risk through innocent misinterpretations or misguided hedging strategies.

The authors consolidate the entire field of risk management from policies, to methodologies as well as data and technological infrastructure. Risk Management covers investment and hedging strategies that include innovative derivatives, credit risk, and securitization techniques into one all-inclusive, easily accessible reference. Michel Crouhy, Dan Galai, and Robert Mark seasoned finance professionals with an unmatched breadth of experience covering banking, corporate, and academic risk management applications walk you through risk management with the focus on concrete, results-oriented tips and analysis.

The result is, quite frankly, the only reference you'll need for a quick, thorough understanding of today's complex financial risk management challenges. Look to the expert analysis and proven suggestions in Risk Management for a no-nonsense overview of:

Integrated Risk Management How to understand and develop the necessary tools for measuring and managing all of your firm's risk in terms of a common unit

Regulatory Environment Group of 30 (G-30) policy recommendations, BIS 1998 and how to qualify to use internal models in lieu of the standardized approach proposed by the Basle Committee

Capital Attribution How to attribute economic capital as a function of risk

Practical Measurement Issues Utilizing historical, implied, and stochastic models to measure volatility, plus helpful summaries of measuring correlations and the yield curve

Future Considerations Review of the potential impact of BIS 2000+ recommendations. Insights into the future evolution of risk management practices

Never before have the fields of banking and corporate financial risk management been as complicated and the stakes as unyielding. Whether used as an essential resource for institutional financial risk management, a comprehensive text for courses concentrating on bank risk management, or simply as an unprecedented reference covering every important aspect of the discipline, Risk Management will bring you up-to-date on an area that promises to increase in importance as we enter the uncharted waters of the 21st century.

About the Authors

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 and Chief Risk Officer at CIBC reporting to the Chairman and CEO of the bank. Dr. Mark is a member of the Senior Executive Team (SET) of CIBC. In 1998, he was named Financial Risk Manager of the Year by the Global Association of Risk Professionals (GARP).

716 pages

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