Frantz Maurer: Financial Risk Management, Gebunden

Klappentext

In the past decade around 70% of banks' operational losses have been connected to misconduct. Misconduct in banking creates a wide range of potential risks, from financial losses and adverse customer outcomes to weakening the resilience of individual institutions, damaging public trust in the banking sector and even contributing to systemic instability.

Effective risk management can no longer be exclusively about using complex mathematical models and equations to assess potential financial loss. Risk metrics will still be useful to quantify a potential loss for a given time horizon and confidence interval; however, these metrics are inefficient in identifying early warning signals of misconduct. A new approach must be taken to incorporate conduct risk assessment and management into the overall risk strategy.

This book is not a comprehensive review or catalogue of financial risk management tools and methods; instead, it focuses on the core methods that are actually used by professionals, such as historical Value-at-Risk and Expected Shortfall. Without any knowledge of probabilities, the reader can fully understand the meaning of these risk indicators and how to use them when faced with real life situations that require risk analysis and decision-making. The authors then show how to marry this simple approach to financial risk with a conduct risk index designed to benchmark the conduct of natural risk-takers like traders, and measure how far these risk-takers are from a responsible behavior. A ready-to-use version of this conduct risk index calculator is provided as an Excel add-in on the book's companion website.