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eISBN : 978-0226092980

Sommaire : Contributeurs : Philippe Jorion, James O'Brien and Jeremy Berkowitz, Kenneth C. Abbott, Paul Kupiec, Evan Gatev, Til Schuermann, and Philip E. Strahan, Philipp Hartmann, Stefan Straetmans, and Casper G. de Vries, Anthony Saunders, Thorsten Beck, Asli Demirgüç-Kunt, and Ross Levine, Nicholas Chan, Mila Getmansky, Shane M. Haas, and Andrew W. Lo, David M. Modest, Franklin Allen and Douglas Gale, Charles W. Calomiris, Loriana Pelizzon and Stephen Schaefer, Marc Saidenberg, M. Hashem Pesaran, Til Schuermann, and Björn-Jakob Treutler, Richard Cantor, Patrick de Fontnouvelle, Eric S. Rosengren, and John S. Jordan, Andrew Kuritzkes, Torben G. Andersen, Tim Bollerslev, Peter F. Christofferson, and Francis X. Diebold, Pedro Santa-Clara, Gary B. Gorton and Nicholas S. Souleles, Peter Tufano, Günter Franke and Jan Krahnen, Patricia Jackson

Introduction

Part 1. Market risk, risk modeling, and financial system stability.

1. Bank Trading Risk and Systemic Risk.
2. Estimating Bank Trading Risk: A Factor Model Approach.

Part 2. Systemic risk.

3. How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998
4. Banking System Stability: A Cross-Atlantic Perspective.
5. Bank Concentration and Fragility: Impact and Mechanics.
6. Systemic Risk and Hedge Funds.

Part 3. Regulation.

7. Systemic Risk and Regulation.
8. Pillar 1 versus Pillar 2 under Risk Management.

Part 4. New frontiers in risk management.

9. Global Business Cycles and Credit Risk.
10. Implications of Alternative Operational Risk Modeling Techniques.
11. Practical Volatility and Correlation Modeling for Financial Market Risk Management.
12. Special Purpose Vehicles and Securitization
13. Default Risk Sharing between Banks and Markets: The Contribution of Collateralized Debt Obligations

Biography

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque