Managing and Measuring Risk:Emerging Global Standards and Regulations After the Financial Crisis

Edited by Oliviero Roggi and Edward Altman

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This edited volume presents the most recent achievements in risk measurement and management, as well as regulation of the financial industry, with contributions from prominent scholars and practitioners such as Robert Engle, 2003 Nobel Laureate in Economics, Viral Acharya, Torben Andersen, Zvi Bodie, Menachem Brenner, Aswath Damodaran, Marti Subrahmanyam, William Ziemba and others. The book provides a comprehensive overview of recent emerging standards in risk management from an interdisciplinary perspective. Individual chapters expound on the theme of standards setting in this era of financial crises where new and unseen global risks have emerged. They are organized in a such a way that allows the reader a broad perspective of the new emerging standards in macro, systemic and sovereign risk before zooming into the micro perspective of how risk is conceived and treated within a corporation. A section is dedicated to credit risk and to the increased importance of liquidity both in financial systems and at the firm's level.

Keywords: Risk Management; Sovereign Risk; Systemic Risk; Liquidity; Credit Risk; Equity Risk Premium; Enterprise Risk Management (search for similar items in EconPapers)
Date: 2013
ISBN: 9789814417495
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https://www.worldscientific.com/worldscibooks/10.1142/8565 (text/html)
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Chapters in this book:

Ch 1 AN EVOLUTIONARY PERSPECTIVE ON THE CONCEPT OF RISK, UNCERTAINTY AND RISK MANAGEMENT , pp 3-37

Oliviero Roggi and Omar Ottonelli

Ch 2 TOWARD A BOTTOM-UP APPROACH TO ASSESSING SOVEREIGN DEFAULT RISK: AN UPDATE , pp 41-64

Edward Altman and Herbert Rijken

Ch 3 MEASURING SYSTEMIC RISK , pp 65-98

Viral Acharya, Christian Brownlees, Robert Engle, Farhang Farazmand and Matthew Richardson

Ch 4 TAXING SYSTEMIC RISK , pp 99-122

Viral Acharya, Lasse Pedersen, Thomas Philippon and Matthew Richardson

Ch 5 LIQUIDITY AND EFFICIENCY IN THREE RELATED FOREIGN EXCHANGE OPTIONS MARKETS , pp 125-158

Menachem Brenner and Ben Schreiber

Ch 6 ILLIQUIDITY OR CREDIT DETERIORATION: A STUDY OF LIQUIDITY IN THE US CORPORATE BOND MARKET DURING FINANCIAL CRISES , pp 159-200

Nils Friewald, Rainer Jankowitsch and Marti G. Subrahmanyam

Ch 7 INTEGRATED WEALTH AND RISK MANAGEMENT: FIRST PRINCIPLES , pp 203-213

Zvi Bodie

Ch 8 ANALYZING THE IMPACT OF EFFECTIVE RISK MANAGEMENT: INNOVATION AND CAPITAL STRUCTURE EFFECTS , pp 215-248

Torben Juul Andersen

Ch 9 MODELING CREDIT RISK FOR SMEs: EVIDENCE FROM THE US MARKET , pp 251-279

Edward Altman and Gabriele Sabato

Ch 10 SME RATING: RISK GLOBALLY, MEASURE LOCALLY , pp 281-305

Oliviero Roggi and Alessandro Giannozzi

Ch 11 CREDIT LOSS AND SYSTEMATIC LGD , pp 307-339

Jon Frye and Michael Jacobs

Ch 12 EQUITY RISK PREMIUMS (ERP): DETERMINANTS, ESTIMATION AND IMPLICATIONS — THE 2012 EDITION , pp 343-455

Aswath Damodaran

Ch 13 STOCK MARKET CRASHES IN 2007–2009: WERE WE ABLE TO PREDICT THEM? , pp 457-499

Sebastien Lleo and William T. Ziemba

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