The Economic Foundations of Risk Management is popular PDF and ePub book, written by Robert A. Jarrow in 2017, it is a fantastic choice for those who relish reading online the Electronic books genre. Let's immerse ourselves in this engaging Electronic books book by exploring the summary and details provided below. Remember, The Economic Foundations of Risk Management can be Read Online from any device for your convenience.
The Economic Foundations of Risk Management Book PDF Summary
The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-known risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why.
Detail Book of The Economic Foundations of Risk Management PDF
- Author : Robert A. Jarrow
- Release : 02 July 2024
- Publisher : World Scientific Publishing Company
- ISBN : 9813147512
- Genre : Electronic books
- Total Page : 208 pages
- Language : English
- PDF File Size : 13,9 Mb
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