Financial Risk Management (eBook)

FRANTZ MAURER is a Professor of Finance and the head of the accounting, finance and economics department at KEDGE Business School. He has also taught at HEC Paris, the University of Bordeaux, ESCP Business School, and University Paris Saclay.

Foreword ix

Acknowledgements xi

List of Acronyms and Symbols xiii

Introduction xvii

Part One Navigating Banking Regulation

Chapter 1 A Brief History of the Basel Framework 3

Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio 7

Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks 15

Chapter 4 Implementation of the Basel II Framework 21

Chapter 5 A Guided Tour of the Basel III Framework 29

Chapter 6 Climate- Related Financial Risks 41

Part Two The Financial Risk Measurement Landscape

Chapter 7 Historical Approach to Risk 47

Chapter 8 The Gaussian Framework 61

Chapter 9 A Brief Overview of Monte Carlo Simulation 75

Chapter 10 Risk Contribution 79

Chapter 11 Shortcomings of Risk Metrics 93

Chapter 12 Ex- Post Evaluation of a Risk Model: Backtesting 103

Chapter 13 A Forward- Looking Evaluation of Risk: Stress Testing 109

Part Three Getting Conduct Risk to Scale

Chapter 14 The Big Picture of Conduct Risk 119

Chapter 15 Markers of Conduct Risk 123

Chapter 16 Worked Example 7: Building a Conduct Risk Score 127

Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes 137

Chapter 18 Worked Example 8: Calculating a Risk-Taker's Conduct Risk Index 143

Chapter 19 Hot Questions Still Pending 159

Chapter 20 Understanding the Root Causes of Poor Conduct 163

Appendix 173

References 181

Contents 183

List of Figures 187

List of Tables 189

Index 191