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HANDBOOK OF FINANCIAL DATA AND RISK INFORMATION Volume I: Principles and Context
Risk has always been central to finance, and managing risk depends critically on information. In recent decades, derivative markets for parceling and shifting risks have burgeoned, while computational advances have increased the pace of trading. As evidenced by recent events, the need has never been greater for skills, systems, and methodologies to manage risk information in financial markets. Authored by leading figures in risk management and analysis, this handbook serves as a unique and comprehensive reference for the technical, operational, regulatory, and political issues in collecting, measuring, and managing financial data. It will appeal to a wide range of audiences, from financial industry practitioners and regulators responsible for implementing risk management systems, to system integrators and software firms helping to improve such systems. Volume I examines the business and regulatory context that makes risk information so important. A vast set of quantitative techniques, internal risk measurement and governance processes, and supervisory reporting rules have grown up over time, all with important implications for modeling and managing risk information. Without an understanding of the broader forces at work, it is all too easy to get lost in the details. Volume II sets out a detailed structural and operational framework for managing a financial risk data repository. As experience accumulates on managing modern risk systems, the knowledge base of practical lessons grows. Understanding these issues and leading practices may mean the difference between failed and successful implementations of risk systems. Margarita S. Brose, a former Senior Counsel in the Division of Enforcement of the US Securities and Exchange Commission, has almost two decades of experience in the financial markets. After leaving the SEC and earning an MBA from The Wharton School, she spent ten years consulting to financial services companies, with a focus on risk and compliance, with IBM Business Consulting Services (and its predecessor, PricewaterhouseCoopers Consulting). In that role, her clients included leading global investment banks and money center banks, as well as GSEs. Brose has since served in Director positions at Fannie Mae and Barclays investment bank, in their Finance and Risk Management groups, respectively. Mark D. Flood did his undergraduate work at Indiana University in Bloomington, where he majored in finance (B.S., 1982), and German and economics (B.A., 1983).
In 1990, he received his Ph.D. in finance from the Graduate School of Business at the University of North Carolina at Chapel Hill. He has worked as Visiting Scholar and Economist in the Research Department of the Federal Reserve Bank of St. Louis, an Assistant Professor of finance at Concordia University in Montreal, a Visiting Assistant Professor of Finance at the University of North Carolina at Charlotte, a Senior Financial Economist in the Division of Risk Management at the Office of Thrift Supervision, a Senior Financial Economist with the Federal Housing Finance Agency, and most recently as a Research Principal with the US Office of Financial Research in Washington, DC. His research interests include financial markets and institutions, systemic financial risk, financial data management, securities market microstructure, and bank market structure and regulatory policy. His research has appeared in a number of publications, including the Review of Financial Studies, the Annual Review of Financial Economics, the Journal of International Money and Finance, Quantitative Finance, and the St. Louis Fed’s Review. Dilip Krishna is a Director with the Governance, Risk and Regulatory Consulting practice with a focus on risk architecture and information. He is involved in several regulatory initiatives such as stress testi