风险管理（英文影印版）|培文书系|（加）米歇尔.克劳伊（Michel Crouhy）等|北京大学出版社

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风险管理（英文影印版）

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原书名：Risk Management	原出版社：McGraw-Hill
作者：（加）米歇尔.克劳伊（Michel Crouhy）等	出版社：北京大学出版社
译者：	丛书名：培文书系
出版日期：2005-1-1	上架日期：2005-10-8
ISBN：7301084943	页数：版次：1-1
开本：16	装帧：

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| 大封面 | 封底 | 前言 | 内容简介 | 序言 | 目录 | 作者简介 | 译者简介 | 作者序 | 译者序 |

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内容简介
本书作者整合了风险管理的全部领域，从政策到方法，以及数据和技术基础构架。《风险管理》一书涵盖了投资与对冲策略，包括创新性的衍生产品、信用风险和证券化技术--可以说，一册在手，无所不包，便于查考。
本书的三位作者Michel Crouhy,Dan Galai和Robert Mark是经验丰富的金融专家，他们在银行、公司和学术界从事风险管理应用的全方位的经历无可匹敌。他们在本书中引导读者洞悉风险管理的重要问题，侧重给出具体和有效的技巧和分析。
本书会帮助读者迅速并且透彻地理解当今复杂的金融风险管理的挑战，具体地，本书提供的专家分析和经过证明的建议包括……
银行业和公司领域的风险管理问题还从来没有像今天这样复杂，并且马虎不得。在我们进入21世纪的未知领域之际，本书无论是用作有关机构进行金融风险管理的基本方法指南，还是作为侧重银行风险管理课程的教科书，或者仅仅作为涵盖了该领域每一重要方面的尚无先例的参考书，都会给读者带来对于风险管理这一注定会日益重要的领域的最具时效性的分析。

目录
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Foreword by Robert C. Merton  xiii
Introduction by John Hunkin  xvii
Preface  xix
Chapter 1
The Need for Risk Management Systems  1
1.  Introduction  1
2.  Historical Evolution  4
3.  The Regulatory Environment  19
4.  The Academic Background and Technological Changes  21
5.  Accounting Systems versus Risk Management Systems  29
6.  Lessons from Recent Financial Disasters  31
7.  Typology of Risk Exposures  34
8.  Extending Risk Management Systems to Nonfinancial Corporations  39
Notes  41
Chapter 2
The New Regulatory and Corporate Environment  45
1.  Introduction  45
2.  The Group of 30 (G-30) Policy Recommendations  48
3.  The 1988 BIS Accord: The "Accord"  53
4.  The "1996 Amendment" or "BIS 98"  62
5.  The BIS 2000+ Accord  68
Notes  91
Chapter 3
Structuring and Managing the Risk Management Function in a Bank  97
1.  Introduction  97
2.  Organizing the Risk Management Function: Three-Pillar Framework  99
3.  Data and Technological Infrastructure  109
4.  Risk Authorities and Risk Control  116
5.  Establishing Risk Limits for Gap and Liquidity Management  126
6.  Conclusion: Steps to Success  133
Notes  135
Chapter 4
The New BIS Capital Requirements for Financial Risks  137
1.  Introduction  137
2.  The Standardized Approach  138
3.  The Internal Models Approach  150
4.  Pros and Cons of the Standardized and Internal Models
Approaches: A New Proposal--the "Precommitment Approach"  162
5.  Comparisons of the Capital Charges for Various Portfolios According to the Standardized and the Internal Models Approaches  165
6.  Conclusions  169
Notes  174
Chapter 5
Measuring Market Risk: The VaR Approach  177
1.  Introduction  177
2.  Measuring Risk: A Historical Perspective  179
3.  Defining Value at Risk  187
4.  Calculating Value at Risk  196
5.  Conclusion: Pros and Cons of the Different Approaches  216
Appendix 1: Duration and Convexity of a Bond  218
Notes  225
Chapter 6
Measuring Market Risk: Extensions of the VaR Approach and Testing the Models  229
1.  Introduction  229
2.  Incremental-VaR (IVAR), DeltaVar (DVAR), and Most Significant Risks 230
3.  Stress Testing and Scenario Analysis  232
4.  Dynamic-VaR 241
5.  Measurement Errors and Back-testing of VaR Models  243
6.  Improved Variance-Covariance VaR Model  249
7.  Limitations of VaR As a Risk Measure  252
Appendix: Proof of the Deltavar Property  255
Notes  257
Chapter 7
Credit Rating Systems  259
1.  Introduction  259
2.  Rating Agencies  261
3.  Introduction to Internal Risk Rating  269
4.  Debt Rating and Migration 275
5.  Financial Assessment (Step 1)  282
6.  First Group of Adjustment Factors for Obligor Credit Rating  290
7.  Second Group of Adjustment Factors for Facility Rating  298
8.  Conclusion  301
Appendix 1: Definitions of Key Ratios  302
Appendix 2: Key Financial Analysis Measures  303
Appendix 3A: Prototype Industry Assessment: Telecommunications in Canada  306
Appendix 3B: Prototype Industry Assessment: Footwear and Clothing in Canada  308
Appendix 4: Prototype Country Analysis Report (Condensed Version): Brazil  310
Notes  312
Chapter 8
Credit Migration Approach to Measuring Credit Risk  315
1.  Introduction  315
2.  CreditMetrics Framework  319
3.  Credit VaR for a Bond (Building Block 1)  321
4.  Credit VaR for a Loan or Bond Portfolio (Building Block 2)  329
5.  Analysis of Credit Diversification (Building Block 2, Continuation)  338
6.  Credit VaR and the Calculation of the Capital Charge  339
7.  CreditMetrics As a Loan/Bond Portfolio Management Tool: Marginal Risk Measures (Building Block 2, Continuation)  340
8.  Estimation of Asset Correlations (Building Block 3)  342
9.  Exposures (Building Block 4)  343
10.  Conditional Transition Probabilities: CreditPortfolioView  344
11.  Appendix 1: Elements of Merton's Model  347
Appendix 2: Default Prediction--The Econometric Model  350
Appendix 3: Transition Matrix over a Period of Less than One Year  352
Notes  352
Chapter 9
The Contingent Claim Approach to Measuring Credit Risk  357
1.  Introduction  357
2.  A Structural Model of Default Risk: Merton's (1974) Model  360
3.  Probability of Default, Conditional Expected Recovery Value, and Default Spread  364
4.  Estimating Credit Risk As a Function of Equity Value  366
5.  KMV Approach  368
6.  KMV's Valuation Model for Cash Flows Subject to Default Risk 381
7.  Asset Return Correlation Model  384
Appendix 1: Integrating Yield Spread with Options Approach  389
Appendix 2: Risk-Neutral Valuation Using "Risk-Neutral" EDFs  392
Appendix 3: Limitations of the Merton Model and Some Extensions  395
Notes  399
Chapter 10
Other Approaches: The Actuarial and Reduced-Form Approaches to Measuring Credit Risk  403
1.  Introduction  403
2.  The Actuarial Approach: CreditRisk+  404
3.  The Reduced-Form Approach or Intensity-Based Models  411
Notes  422
Chapter 11
Comparison of Industry-Sponsored Credit Models and Associated Back-Testing Issues  425
1.  Introduction  425
2.  Comparison of Industry-Sponsored Credit Risk Models  427
3.  Stress Testing and Scenario Analysis  430
4.  Implementation and Validation Issues  436
Notes  438
Chapter 12
Hedging Credit Risk  441
1.  Introduction  441
2.  Credit Risk Enhancement  443
3.  Derivative Product Companies  446
4.  Credit Derivatives  448
5.  Types of Credit Derivatives  452
6.  Credit Risk Securitization for Loans and High Yield Bonds  461
7.  Regulatory Issues  466
Notes  470
Chapter 13
Managing Operational Risk  475
1.  Introduction  475
2.  Typology of Operational Risks  478
3.  Who Should Manage Operational Risk?  482
4.  The Key to Implementing Bank-Wide Operational Risk Management  486
5.  A Four-Step Measurement Process for Operational Risk  489
6.  Capital Attribution for Operational Risks  505
7.  Self-Assessment versus Risk Management Assessment  509
8.  Integrated Operational Risk 511
9.  Conclusion  513
Appendix 1: Group of Thirty Recommendations: Derivatives and Operational Risk  514
Appendix 2: Types of Operational Risk Losses  518
Appendix 3: Severity versus Likelihood  519
Appendix 4: Training and Risk Education  519
Appendix 5: Identifying and Quantifying Operational Risk  523
Notes 526
Chapter 14
Capital Allocation and Performance Measurement  529
1.  Introduction  529
2.  Guiding Principles of RAROC Implementation  538
3.  Relationship of RAROC Capital to Market, Credit, and Operational Risks  543
4.  Loan EquivalentApproach  549
5.  Measuring Exposures and Losses for Derivatives  551
6.  Measuring Risk Adjusted Performance: Second Generation of RAROC Model  559
7.  Concluding Remarks  566
Appendix 1: First Generation of RAROC Model--Assumptions in Calculating Exposures, Expected Default, and Expected Losses  570
Notes  577
Chapter 15
Model Risk  579
1.  Introduction  579
2.  Valuation Models and Sources of Model Risk  581
3.  Typology of Model Risks  585
4.  What Can Go Wrong?  594
5.  What Can Market Risk Management Do to Mitigate Model Risk?  606
6.  Conclusions  610
Notes  611
Chapter 16
Risk Management in Nonbank Corporations  615
1.  Introduction  615
2.  Why Manage Risks?  617
3.  Procedure for Risk Management  622
4.  Accounting Reports  630
5.  Reporting Requirements by Securities Authorities  634
Appendix 1: Examples of Reports on Risk Exposure by Nike, Merck, and Microsoft, 1988  645
Notes  659
Chapter 17
Risk Management in the Future  661
1.  The Total Risk-Enabled Bank 661
2.  External Client Profitability... A Partner Plus TM Approach  669
3.  Process for Reviewing Risk in Extreme Markets Will Become Standardized  674
4.  The Credit Analysis Process and the Need for Integrating Risks  678
5.  An Idealized Bank of the Future  684
Appendix: The Relationship Between Market Risk, Business Risk, and Credit Risk  685
Notes  690
References  693
Index  709

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本书是为银行家和金融经理进行有效的风险管理而提供的一本无所不包的行动指南。
《风险管理》是第一本以整书篇幅处理风险管理概念的著作，其侧重点在金融机构……该书详尽涵盖的信用风险的分析尤其及时和易于操作。
本书提供了对于信用风险、流动性风险和操作风险的透彻分析，包括可以用于度量和管理这些风险的各种模型和方法论。
本书作者们资质卓越，将学者高度复杂的最高水平研究背景与大型金融机构中日常的丰富风险管理经验融会贯通。

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