E-Book Overview
The definitive guide to quantifying risk vs. return--fully updated to reveal the newest, most effective innovations in financial risk management since the 2008 financial crisis
Written for risk professionals and non-risk professionals alike, this easy-to-understand guide helps you meet the increasingly insistent demand to make sophisticated assessments of companies' risk exposure. It provides the latest methods for:
- Measuring and transferring credit risk
- Increasing risk-management transparency
- Implementing an organization-wide Enterprise risk Management (ERM) approach
Michel Crouhy is head of research and development at NATIXIS and the founder and president of the NATIXIS Foundation for Quantitative Research. Dan Galai is the Abe Gray Professor of Finance and Business Administration at the School of Business Administration, the Hebrew University in Jerusalem. Robert Mark is the Founding Chief Executive Officer of Black Diamond Risk which provides corporate governance, risk management consulting, risk software tools, and transaction services.
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THE ESSENTIALS OF RISK MANAGEMENT This page intentionally left blank THE ESSENTIALS OF RISK MANAGEMENT SECOND EDITION MICHEL CROUHY, DAN GALAI, ROBERT MARK New York Chicago San Francisco Athens London Madrid Mexico City Milan New Delhi Singapore Sydney Toronto Copyright © 2014 by McGraw-Hill Education. All rights reserved. Except as permited under the United States Copyright Act of 1976, no part of this publication may be reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of the publisher. ISBN: 978-0-07-182115-5 MHID: 0-07-182115-5 The material in this eBook also appears in the print version of this title: ISBN: 978-0-07-181851-3, MHID: 0-07-181851-0. eBook conversion by codeMantra Version 1.0 All trademarks are trademarks of their respective owners. Rather than put a trademark symbol after every occurrence of a trademarked name, we use names in an editorial fashion only, and to the benefit of the trademark owner, with no intention of infringement of the trademark. Where such designations appear in this book, they have been printed with initial caps. McGraw-Hill Education eBooks are available at special quantity discounts to use as premiums and sales promotions or for use in corporate training programs. To contact a representative, please visit the Contact Us page at www.mhprofessional.com. This publication is designed to provide accurate and authoritative information in regard to the subject matter covered. It is sold with the understanding that neither the author nor the publisher is engaged in rendering legal, accounting, securities trading, or other professional services. If legal advice or other expert assistance is required, the services of a competent professional person should be sought. —From a Declaration of Principles Jointly Adopted by a Committee of the American Bar Association and a Committee of Publishers and Associations TERMS OF USE This is a copyrighted work and McGraw-Hill Education and its licensors reserve all rights in and to the work. Use of this work is subject to these terms. Except as permitted under the Copyright Act of 1976 and the right to store and retrieve one copy of the work, you may not decompile, disassemble, reverse engineer, reproduce, modify, create derivative works based upon, transmit, distribute, disseminate, sell, publish or sublicense the work or any part of it without McGraw-Hill Education’s prior consent. You may use the work for your own noncommercial and personal use; any other use of the work is strictly prohibited. Your right to use the work may be ter