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001    EBC807124 
003    MiAaPQ 
005    20200713055210.0 
006    m     o  d |       
007    cr cnu|||||||| 
008    200713s2011    xx      o     ||||0 eng d 
020    9781139157230|q(electronic bk.) 
020    |z9780521111645 
035    (MiAaPQ)EBC807124 
035    (Au-PeEL)EBL807124 
035    (CaPaEBR)ebr10514182 
035    (CaONFJC)MIL334223 
035    (OCoLC)773039603 
040    MiAaPQ|beng|erda|epn|cMiAaPQ|dMiAaPQ 
050  4 HG173 .S94 2011 
082 0  332.10681 
100 1  Sweeting, Paul 
245 10 Financial Enterprise Risk Management 
264  1 Cambridge :|bCambridge University Press,|c2011 
264  4 |c©2011 
300    1 online resource (566 pages) 
336    text|btxt|2rdacontent 
337    computer|bc|2rdamedia 
338    online resource|bcr|2rdacarrier 
490 1  International Series on Actuarial Science 
505 0  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 
505 8  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 
505 8  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 
505 8  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
505 8  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 
505 8  14.9.1 Pricing high claim frequency classes 
520    Covers the full range of qualitative and quantitative 
       techniques needed to manage risk in a financial 
       organisation 
588    Description based on publisher supplied metadata and other
       sources 
590    Electronic reproduction. Ann Arbor, Michigan : ProQuest 
       Ebook Central, 2020. Available via World Wide Web. Access 
       may be limited to ProQuest Ebook Central affiliated 
       libraries 
650  0 Financial institutions -- Risk management.;Financial 
       services industry -- Risk management 
655  4 Electronic books 
776 08 |iPrint version:|aSweeting, Paul|tFinancial Enterprise 
       Risk Management|dCambridge : Cambridge University Press,
       c2011|z9780521111645 
830  0 International Series on Actuarial Science 
856 40 |uhttps://ebookcentral.proquest.com/lib/sinciatw/
       detail.action?docID=807124|zClick to View