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Author Sweeting, Paul
Title Financial Enterprise Risk Management
Imprint Cambridge : Cambridge University Press, 2011
©2011
book jacket
Descript 1 online resource (566 pages)
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
Series International Series on Actuarial Science
International Series on Actuarial Science
Note Cover -- Financial Enterprise Risk Management -- INTERNATIONAL SERIES ON ACTUARIAL SCIENCE -- Title -- Copyright -- Contents -- Preface -- 1 An introduction to enterprise risk management -- 1.1 Definitions and concepts of risk -- 1.2 Why manage risk? -- 1.3 Enterprise risk management frameworks -- 1.4 Corporate governance -- 1.4.1 Board constitution -- 1.4.2 Board education and performance -- 1.4.3 Board compensation -- 1.4.4 Board transparency -- 1.5 Models of risk management -- 1.5.1 The 'three lines of defence' model -- 1.5.2 The 'offence and defence' model -- 1.5.3 The policy and policing model -- 1.5.4 The partnership model -- 1.6 The risk management time horizon -- 1.7 Further reading -- 2 Types of financial institution -- 2.1 Introduction -- 2.2 Banks -- 2.3 Insurance companies -- 2.4 Pension schemes -- 2.5 Foundations and endowments -- 2.6 Further reading -- 3 Stakeholders -- 3.1 Introduction -- 3.2 Principals -- 3.2.1 Public shareholders -- 3.2.2 Private shareholders -- 3.2.3 Public and private debtholders -- 3.2.4 Bank customers -- 3.2.5 Insurance company policyholders -- 3.2.6 Pension scheme sponsors -- 3.2.7 Pension scheme members -- 3.2.8 Foundation and endowment beneficiaries -- 3.2.9 Governments (financial relationships) -- 3.2.10 Insurance providers -- 3.2.11 Financial markets -- 3.3 Agents -- 3.3.1 Company directors -- 3.3.2 Trustees -- 3.3.3 Company managers and employees -- 3.3.4 Trade unions -- 3.3.5 Central risk functions -- 3.3.6 Pricing teams -- 3.3.7 Internal auditors -- 3.3.8 External auditors -- 3.3.9 Pension scheme administrator -- 3.3.10 Investment manager -- 3.4 Controlling -- 3.4.1 Professional bodies -- 3.4.2 Professional regulators -- 3.4.3 Industry bodies -- 3.4.4 Industry regulators -- 3.4.5 Governments (controlling relationships) -- 3.5 Advisory -- 3.5.1 Actuarial advisers
3.5.2 Investment and financial advisers -- 3.5.3 Legal advisers -- 3.5.4 Credit rating agencies -- 3.6 Incidental -- 3.6.1 Trade creditors -- 3.6.2 Subcontractors and suppliers -- 3.6.3 General public -- 3.6.4 The media -- 3.7 Further reading -- 4 The internal environment -- 4.1 Introduction -- 4.2 Internal stakeholders -- 4.3 Culture -- 4.4 Structure -- 4.5 Capabilities -- 4.6 Further reading -- 5 The external environment -- 5.1 Introduction -- 5.2 External stakeholders -- 5.3 Political environment -- 5.4 Economic environment -- 5.5 Social and cultural environment -- 5.6 Competitive environment -- 5.7 Regulatory environment -- 5.7.1 Public shareholders -- 5.7.2 Bank customers -- 5.7.3 Insurance company policyholders -- 5.7.4 Pension schemes -- 5.7.5 Government (financial relationships) -- 5.7.6 Financial markets -- 5.7.7 Company Directors -- 5.7.8 Trustees -- 5.7.9 Company managers and employees -- 5.7.10 Trade unions -- 5.7.11 External auditors -- 5.7.12 Actuarial advisers -- 5.7.13 Investment and financial advisers -- 5.8 Professional environment -- 5.8.1 Professional bodies -- 5.8.2 Professional regulators -- 5.9 Industry environment -- 5.9.1 Industry bodies -- 5.9.2 Industry regulators -- 5.10 Further reading -- 6 Process overview -- 7 Definitions of risk -- 7.1 Introduction -- 7.2 Market and economic risk -- 7.3 Interest rate risk -- 7.4 Foreign exchange risk -- 7.5 Credit risk -- 7.6 Liquidity risk -- 7.7 Systemic risk -- 7.7.1 Financial infrastructure -- 7.7.2 Liquidity risk -- 7.7.3 Common market positions -- 7.7.4 Exposure to a common counter-party -- 7.8 Demographic risk -- 7.9 Non-life insurance risk -- 7.10 Operational risks -- 7.10.1 Business continuity risk -- 7.10.2 Regulatory risk -- 7.10.3 Technology risk -- 7.10.4 Crime risk -- 7.10.5 People risk -- Employment-related risks -- Adverse selection -- Moral hazard -- Agency risk
7.10.6 Bias -- 7.10.7 Legal risk -- 7.10.8 Process risk -- 7.10.9 Model risk -- 7.10.10 Data risk -- 7.10.11 Reputational risk -- 7.10.12 Project risk -- 7.10.13 Strategic risk -- 7.11 Residual risks -- 7.12 Further reading -- 8 Risk identification -- 8.1 Introduction -- 8.2 Risk identification tools -- 8.2.1 SWOT analysis -- 8.2.2 Risk check lists -- 8.2.3 Risk prompt lists -- 8.2.4 Risk taxonomy -- 8.2.5 Risk trigger questions -- 8.2.6 Case studies -- 8.2.7 Risk-focussed process analysis -- 8.3 Risk identification techniques -- 8.3.1 Brainstorming -- 8.3.2 Independent group analysis -- 8.3.3 Surveys -- 8.3.4 Gap analysis -- 8.3.5 Delphi technique -- 8.3.6 Interviews -- 8.3.7 Working groups -- 8.4 Assessment of risk nature -- 8.5 Risk register -- 8.6 Further reading -- 9 Some useful statistics -- 9.1 Location -- 9.1.1 Mean -- 9.1.2 Median -- 9.1.3 Mode -- 9.2 Spread -- 9.2.1 Variance -- 9.2.2 Range -- 9.3 Skew -- 9.4 Kurtosis -- 9.5 Correlation -- 9.5.1 Pearson's rho -- 9.5.2 Spearman's rho -- 9.5.3 Kendall's tau -- 9.5.4 Tail correlation -- 9.6 Further reading -- 10 Statistical distributions -- 10.1 Univariate discrete distributions -- 10.1.1 The binomial and negative binomial distributions -- 10.1.2 The Poisson distribution -- 10.2 Univariate continuous distributions -- 10.2.1 The normal distribution -- 10.2.2 Normal mean-variance mixture distributions -- 10.2.3 Student's t-distribution -- 10.2.4 The skewed t-distribution -- 10.2.5 The Gumbel distribution -- 10.2.6 The lognormal distribution -- 10.2.7 The Wald distribution -- 10.2.8 The chi-squared distribution -- 10.2.9 The F-distribution -- 10.2.10 TheWeibull distribution -- 10.2.11 The Burr distribution -- 10.2.12 The Lévy distribution -- 10.2.13 The gamma and inverse gamma distributions -- 10.2.14 The generalised inverse Gaussian (GIG) distribution -- 10.2.15 The exponential distribution
10.2.16 The Fréchet distribution -- 10.2.17 The Pareto distribution -- 10.2.18 The generalised Pareto distribution -- 10.2.19 The uniform distribution -- 10.2.20 The triangular distribution -- 10.2.21 The beta distribution -- 10.3 Multivariate distributions -- 10.3.1 Matrix algebra -- 10.3.2 The multivariate normal distribution -- 10.3.3 Generating multivariate random normal variables -- 10.3.4 Multivariate normal mean-variance mixture distributions -- 10.3.5 The multivariate t-distribution -- 10.3.6 The multivariate skewed t-distribution -- 10.3.7 Spherical and elliptical distributions -- 10.4 Copulas -- 10.4.1 Sklar's theorem -- 10.4.2 Dependence and concordance -- 10.4.3 Tail dependence -- 10.4.4 Fréchet-Höffding copulas -- 10.4.5 Archimedean copulas -- 10.4.6 The Gumbel copula -- 10.4.7 The Frank copula -- 10.4.8 The Clayton copula -- 10.4.9 The generalised Clayton copula -- 10.4.10 The Marshall-Olkin copula -- 10.4.11 The normal copula -- 10.4.12 Student's t-copula -- 10.5 Further reading -- 11 Modelling techniques -- 11.1 Introduction -- 11.2 Fitting data to a distribution -- 11.2.1 The method of moments -- 11.2.2 The method of maximum likelihood -- 11.3 Fitting data to a model -- 11.3.1 Least squares regression -- 11.3.2 The method of maximum likelihood -- 11.3.3 Principal component analysis -- 11.3.4 Singular value decomposition -- 11.4 Smoothing data -- 11.4.1 Splines -- 11.4.2 Kernel smoothing -- 11.5 Using models to classify data -- 11.5.1 Generalised linear models -- 11.5.2 Survival models -- 11.5.3 Discriminant analysis -- 11.5.4 The k-nearest neighbour approach -- 11.5.5 Support vector machines -- 11.6 Uncertainty -- 11.6.1 Stochastic uncertainty -- 11.6.2 Parameter uncertainty -- 11.6.3 Model uncertainty -- 11.7 Credibility -- 11.7.1 Classical credibility -- 11.7.2 Bühlmann credibility -- 11.7.3 Bayesian credibility
11.8 Model validation -- 11.8.1 Time series models -- 11.8.2 Cross-sectional models -- 11.9 Further reading -- 12 Extreme value theory -- 12.1 Introduction -- 12.2 The generalised extreme value distribution -- 12.3 The generalised Pareto distribution -- 12.4 Further reading -- 13 Modelling time series -- 13.1 Introduction -- 13.2 Deterministic modelling -- 13.3 Stochastic modelling -- 13.3.1 Bootstrapping -- 13.3.2 Forward-looking approaches -- 13.3.3 Random numbers -- 13.3.4 Market consistency -- 13.4 Time series processes -- 13.4.1 Stationarity -- 13.4.2 White noise processes -- 13.4.3 Fixed values and trends -- 13.4.4 Inter-temporal links -- 13.4.5 Seasonality -- 13.4.6 Structural breaks -- 13.4.7 Heteroskedasticity -- 13.5 Data frequency -- 13.6 Discounting -- 13.7 Further reading -- 14 Quantifying particular risks -- 14.1 Introduction -- 14.2 Market and economic risk -- 14.2.1 Characteristics of financial time series -- 14.2.2 Modelling market and economic risks -- 14.2.3 Expected returns -- 14.2.4 Benchmarks -- 14.2.5 The Black-Scholes model -- 14.3 Interest rate risk -- 14.3.1 Interest rate definitions -- 14.3.2 Single-factor interest rate models -- 14.3.3 Multi-factor interest rate models -- 14.3.4 PCA-based approaches -- 14.3.5 Deriving price changes from interest rates -- 14.3.6 The Black model -- 14.4 Foreign exchange risk -- 14.5 Credit risk -- 14.5.1 The nature of credit risk -- 14.5.2 Qualitative credit models -- 14.5.3 Quantitative credit models -- 14.5.4 Credit portfolio models -- 14.5.5 The extent of loss -- 14.5.6 Credit risk and market risk -- 14.6 Liquidity risk -- 14.7 Systemic risks -- 14.8 Demographic risk -- 14.8.1 Types of demographic risk -- 14.8.2 Level risk -- 14.8.3 Volatility risk -- 14.8.4 Catastrophe risk -- 14.8.5 Trend risk -- 14.8.6 Other demographic risks -- 14.9 Non-life insurance risk
14.9.1 Pricing high claim frequency classes
Covers the full range of qualitative and quantitative techniques needed to manage risk in a financial organisation
Description based on publisher supplied metadata and other sources
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2020. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries
Link Print version: Sweeting, Paul Financial Enterprise Risk Management Cambridge : Cambridge University Press,c2011 9780521111645
Subject Financial institutions -- Risk management.;Financial services industry -- Risk management
Electronic books
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