MARC details
| 000 -LEADER |
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| fixed length control field |
02477 a2200205 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20190315191709.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
190315b ||||| |||| 00| 0 eng d |
| 020 00 - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9789813149960 |
| 040 ## - CATALOGING SOURCE |
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| Transcribing agency |
IIMV |
| 082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
658.155 JAR |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Robert Jarrow |
| Relator term |
Author |
| 9 (RLIN) |
991 |
| 245 0# - TITLE STATEMENT |
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| Title |
The economic foundation of risk management: Theory Practice, and Applications |
| Statement of responsibility, etc. |
Robert Jarrow |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
|---|
| Name of publisher, distributor, etc. |
World Scientific |
| Place of publication, distribution, etc. |
Singapore |
| Date of publication, distribution, etc. |
2017 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xvi, 189 pages; |
| Other physical details |
illustrations: |
| Dimensions |
23 cm. |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
Part II Traded Assets and Liabil...5<br/>Part III Modeling Risks29<br/>Part IV Optimizing Risk77<br/>Part V Managing Risks99<br/>Part VI Case Studies127<br/>Bibliography 179 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
The Economic Foundations of Risk Management presents the theory, the practice, and applies this knowledge to provide a forensic analysis of some well-known risk management failures. By doing so, this book introduces a unified framework for understanding how to manage the risk of an individual's or corporation's or financial institution's assets and liabilities. The book is divided into five parts. The first part studies the markets and the assets and liabilities that trade therein. Markets are differentiated based on whether they are competitive or not, frictionless or not (and the type of friction), and actively traded or not. Assets are divided into two types: primary assets and financial derivatives. The second part studies models for determining the risks of the traded assets. Models provided include the Black-Scholes-Merton, the Heath-Jarrow-Morton, and the reduced form model for credit risk. Liquidity risk, operational risk, and trading constraint models are also contained therein. The third part studies the conceptual solution to an individual's, firm's, and bank's risk management problem. This formulation involves solving a complex dynamic programming problem that cannot be applied in practice. Consequently, Part IV investigates how risk management is actually done in practice via the use of diversification, static hedging, and dynamic hedging. Finally, Part V applies these collective insights to six case studies, which are famous risk management failures. These are Penn Square Bank, Metallgesellschaft, Orange County, Barings Bank, Long Term Capital Management, and Washington Mutual. The credit crisis is also discussed to understand how risk management failed for many institutions and why. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Financial Risk Management |
| 9 (RLIN) |
992 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Book |
