TY  - BOOK
AU  - Dionne,Georges
TI  - Corporate Risk Management: Theories and Applications
T2  - Wiley Finance Series
SN  - 9781119583172
AV  - HD61 .D566 2019 
U1  - 658.155 
PY  - 2019///
CY  - Newark
PB  - John Wiley & Sons, Incorporated
KW  - Risk management
KW  - Electronic books
N1  - Cover -- Title Page -- Copyright -- Contents -- Foreword -- Introduction -- General Presentation -- Contents of the Book -- Acknowledgments -- General References -- Chapter 1 Risk Management: Definition and Historical Development -- 1.1 History of Risk Management -- 1.2 Milestones in Financial Risk Management -- 1.3 Current Definition of Corporate Risk Management -- 1.4 Conclusion -- References -- Chapter 2 Theoretical Determinants of Risk Management in Non‐Financial Firms -- 2.1 Value of Risk Management -- 2.1.1 Expected Default Costs -- 2.1.2 Risk Premium to Stakeholders -- 2.1.3 Expected Tax Payments -- 2.2 Comparative Advantages in Risk Taking -- 2.3 Risk Management and Capital Structure -- 2.4 Risk Management and Managerial Incentives -- 2.5 Conclusion -- References -- Chapter 3 Risk Management and Investment Financing -- 3.1 Basic Model -- 3.2 Illustration with the Standard Debt Contract -- 3.3 Model with Two Random Variables -- 3.4 Conclusion -- References -- Appendix A: Value of dI*/dw -- Appendix B: Standard Debt Contract -- Chapter 4 Significant Determinants of Risk Management of Non‐Financial Firms -- 4.1 Rationale for the Research -- 4.2 Significant Determinants -- 4.2.1 Target Variable or Dependent Variable -- 4.2.2 Main Determinants and Their Measurement -- 4.2.3 Results of Estimations -- 4.3 Governance and Endogeneity of Debt -- 4.3.1 Model -- 4.3.2 Statistical Analysis -- 4.3.3 Empirical Results -- 4.4 Conclusion -- References -- Appendix: Construction of the Tax‐Save Variable -- Chapter 5 Value at Risk -- 5.1 Example of VaR -- 5.2 Numerical Method -- 5.3 Parametric Method -- 5.4 Taking Time Periods into Consideration -- 5.5 Confidence Interval of the VaR -- 5.6 CVaR -- 5.7 Conclusion -- References -- Chapter 6 Choice of Portfolio and VaR Constraint -- 6.1 Optimal Benchmark Portfolio of the Firm; 6.2 Optimal Portfolio of a Constrained Manager -- 6.3 Conclusion -- References -- Chapter 7 VaR in Portfolios of Assets and Options -- 7.1 VaR as a Risk Measure -- 7.2 Models without Derivatives -- 7.2.1 Markowitz's Mean‐Variance Model -- 7.2.2 CAPM -- 7.2.3 Multifactor Model -- 7.3 VaR with Options -- 7.4 Black and Scholes Model and Risk Management -- 7.5 Delta‐Gamma VaR -- 7.6 VaR of a General Portfolio -- 7.7 Application -- 7.8 Conclusion -- References -- Chapter 8 Conditional VaR -- 8.1 Motivation for CVaR and Coherence in Risk Measures -- 8.2 Notation and VaR -- 8.3 Definition of CVaR -- 8.4 Another Way to Derive CVaR with a Return Distribution -- 8.5 Example with Student's t‐Distribution and Other Examples -- 8.6 Conclusion: CVaR in Basel Regulation -- References -- Chapter 9 Regulation of Bank Risk and Use of VaR -- 9.1 Basel Accords -- 9.2 Market Risk Regulation of 1996 -- 9.3 Specific Risks -- 9.4 Total Required Capital -- 9.5 Tests -- 9.6 Comparison between Standard and Internal Methods with Interest Rate Risk -- 9.6.1 Standard and Internal Methods -- 9.6.2 Comparison of the Two Methods -- 9.7 Conclusion -- References -- Chapter 10 Optimal Financial Contracts and Incentives under Moral Hazard -- 10.1 Optimal Financial Contracts and Moral Hazard -- 10.2 Theoretical Model -- 10.3 Empirical Application to Air Accident Risk -- 10.4 Conclusion -- References -- Appendix A: Synthesis of Forms of Financial Contracts -- Appendix B: Definitions of Variables -- Chapter 11 Venture Capital Risk with Optimal Financing Structure -- 11.1 Some Statistics about Venture Capital -- 11.2 Role of Venture Capital Firms -- 11.3 Venture Capital Firms and Added Value -- 11.4 Role of Convertible Debt -- 11.5 Information Asymmetry and Venture Capital -- 11.5.1 Methodology -- 11.5.2 Financial Vehicle Variables -- 11.5.3 Control Variables -- 11.5.4 Results; 11.6 Conclusion -- References -- Chapter 12 Bank Credit Risk: Scoring of Individual Risks -- 12.1 Theoretical Model -- 12.2 Empirical Analysis -- 12.3 Credit Line and Loan Default -- 12.4 Conclusion -- References -- Chapter 13 Portfolio Management of Credit Risk -- 13.1 CreditMetrics -- 13.2 Review of Chapters 2 and 3 of CreditMetrics -- 13.2.1 Chapter 2 of CreditMetrics -- 13.2.2 Chapter 3 of CreditMetrics -- 13.3 KMV Approach -- 13.4 Calculation of Correlations -- Approximation of Default Correlations -- 13.5 Conclusion -- References -- Chapter 14 Quantification of Banks' Operational Risk -- 14.1 Context and Presentation of Operational Risk -- 14.1.1 Basel Accord and Regulation of Operational Risk -- 14.1.2 Examples -- 14.2 Measurement of Regulatory Capital -- 14.2.1 Basic Approach -- 14.2.2 Standardized Approach -- 14.2.3 Advanced Measurement Approach (AMA) -- 14.3 Calculation of Regulatory Capital for Losses of over 1 Million (LDA) -- 14.3.1 Scaling Model in LDA Models -- 14.3.2 Adding Business Cycles -- 14.4 Conclusion -- References -- Chapter 15 Liquidity Risk -- 15.1 Theoretical Modeling of CDSs -- 15.2 Bond Yield Spread's Default Portion -- 15.3 Empirical Measurement of Yield Spreads' Default Portion -- 15.4 Non‐Default Portion of Yield Spreads -- 15.5 Illiquidity Index -- 15.6 Illiquidity Premium -- 15.7 Data -- 15.7.1 TRACE Database -- 15.7.2 Markit Database -- 15.8 Principal Component Analysis of Liquidity Risk -- 15.9 Empirical Analysis of Credit Cycles -- 15.10 Regime Detection Model -- 15.11 Detection of Default and Liquidity Regimes -- 15.12 Conclusion -- References -- Chapter 16 Long‐Term Capital Management -- 16.1 Brief History of the Fund -- 16.2 Risk Management, VaR, and Required Capital -- 16.3 Portfolio Optimization and Leverage Effect -- 16.4 Conclusion -- References; Chapter 17 Structured Finance and the Financial Crisis of 2007-2009 -- 17.1 Structured Finance -- 17.2 Poor Risk Management Linked to the Structured Finance Market -- 17.2.1 Lack of Incentive Contracts in the Presence of Information Asymmetry -- 17.2.2 Poor Evaluation of Structured Products by Rating Agencies -- 17.2.3 Poor Pricing of Complex Financial Products -- 17.2.4 Poor Regulation of Structured Finance -- 17.3 Conclusion -- References -- Appendix: How to Create an AAA CDO Tranche from BBB Loans -- Chapter 18 Risk Management and Corporate Governance -- 18.1 Enron and Corporate Governance -- 18.2 Financial Crisis and Corporate Governance -- 18.3 New 2002 Governance Rules -- 18.4 Risk Management and Governance -- 18.5 Administrative Competence of Board Members -- 18.6 New Regulation for Financial Institutions -- 18.7 Economic Analysis of Governance Effect -- 18.7.1 Testable Hypothesis -- 18.7.2 Data and Variables -- 18.7.3 Model -- 18.7.4 Empirical Results -- 18.8 Conclusion -- References -- Appendix A: Governance of Canadian Federal Financial Institutions -- Appendix B: Details on the Construction of the Governance Indexes -- Measuring Governance Standards -- The Quality of the Audit Committee -- The Quality of the Board -- SOX Standards -- NYSE Standards -- SOX and NYSE Standards -- Appendix C: Variables -- Chapter 19 Risk Management and Industrial Organization -- 19.1 Entry, Production, and Hedging -- 19.2 Commitment to Hedging -- 19.3 Conclusion -- References -- Chapter 20 Real Implications of Corporate Risk Management -- 20.1 Real Implications of Corporate Risk Management: A Review -- 20.2 Methodology -- 20.2.1 Instrumental Variable -- 20.2.2 Essential Heterogeneity Model -- 20.3 US Oil Producers -- 20.3.1 Sample Construction -- 20.3.2 Descriptive Statistics -- 20.3.3 Oil Hedging Activity -- 20.3.4 Univariate Tests; 20.4 Multivariate Results -- 20.4.1 Firm Value -- 20.4.2 Firm Riskiness and Firm Accounting Performance -- 20.5 Conclusion -- References -- Appendix: Estimated MTEs -- Chapter 21 Exercises -- Exercise 1 Portfolio Choice and the Notion of Value at Risk (VaR) -- Calculating VaR -- Incremental VaR -- Reference -- Solution for Exercise 1 -- Conclusion Regarding the Calculations for the VaR -- Incremental VaR -- Exercise 2 Backtesting of VaR Models -- The Importance of Backtesting -- Definitions for the Backtesting -- Validation of the Model over a Longer Period -- Linear Regression Approach -- References -- Exercise 3 Calculation of VaR with Different Distributions and Accuracy of VaR -- Calculating VaR using a Lognormal or Truncated Normal Distribution -- Estimating the Precision of the VaR Calculated -- Solution to Exercise 3 -- Precision Estimation of the Calculated VaR -- References -- Exercise 4 VaR for an Equity Portfolio with Options -- Part A Choosing a Portfolio Application of VaR Calculations with Real Data from a Stock Portfolio -- Part B Application of the Delta and Delta‐Gamma Methods to Calculate VaR -- Risk Exposure of the Portfolio by the Delta Approach -- Risk Exposure of the Portfolio by the Delta‐Gamma Approach -- Solution to Exercise 4 -- Exercise 5 CVaR Conditional Value at Risk -- Mathematical Expressions of CVaR -- Recapitulation of the Three Models: Normal Distribution, Student's t, and Mixture of Two Normal Distributions -- Conclusion -- Reference -- Conclusion -- General References -- Index -- EULA
UR  - https://ebookcentral.proquest.com/lib/orpp/detail.action?docID=5761060
ER  -