eBook

The known, the unknown, and the unknowable in financial risk management

Doherty, Neil A, Diebold, Francis X

2012,2010

Overview

A clear understanding of what we know, don't know, and can't know should guide any reasonable approach to managing financial risk, yet the most widely used measure in finance today--Value at Risk, or VaR--reduces these risks to a single number, creating a false sense of security among risk managers, executives, and regulators. This book introduces a more realistic and holistic framework calledKuU--theKnown, theunknown, and theUnknowable--that enables one to conceptualize the different kinds of financial risks and design effective strategies for managing them. Bringing together contributions by leaders in finance and economics, this book pushes toward robustifying policies, portfolios, contracts, and organizations to a wide variety ofKuUrisks. Along the way, the strengths andlimitationsof \"quantitative\" risk management are revealed. In addition to the editors, the contributors are Ashok Bardhan, Dan Borge, Charles N. Bralver, Riccardo Colacito, Robert H. Edelstein, Robert F. Engle, Charles A. E. Goodhart, Clive W. J. Granger, Paul R. Kleindorfer, Donald L. Kohn, Howard Kunreuther, Andrew Kuritzkes, Robert H. Litzenberger, Benoit B. Mandelbrot, David M. Modest, Alex Muermann, Mark V. Pauly, Til Schuermann, Kenneth E. Scott, Nassim Nicholas Taleb, and Richard J. Zeckhauser. Introduces a new risk-management paradigmFeatures contributions by leaders in finance and economicsDemonstrates how \"killer risks\" are often more economic than statistical, and crucially linked to incentivesShows how to invest and design policies amid financial uncertainty

• Publisher: Princeton University Press
• Subject: Accounting / Adverse selection / Arbitrage / Asset / Bank / Basel II / Business / BUSINESS & ECONOMICS / BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management / BUSINESS & ECONOMICS / Finance / General / BUSINESS & / Capital market / Capital requirement / Cash flow / Central bank / Chief financial officer / Corporate governance / Credit (finance) / Credit default swap / Credit risk / Crisis management / Decision-making / Disaster / Diversification (finance) / Downside risk / Economic capital / Economics / Economist / Economy / Entscheidung unter Risiko / Entscheidung unter Unsicherheit / Finance / Financial crisis / Financial engineering / Financial institution / Financial risk management / Financial services / Finanzmarkt / Forecasting / Goldman Sachs / GPQD / Hedge (finance) / Hedge fund / Incentive / Information asymmetry / Institution / Insurance / Interest rate / Investment / Investor / Leverage (finance) / Liability (financial accounting) / Long-Term Capital Management / Market liquidity / Market value / Measurement / Monetary policy / Moral hazard / Payment / Portfolio Weight / Power law / Probability / Real estate economics / Recession / Reinsurance / Risikomanagement / Risk / Risk assessment / Risk Assessment & Management / Risk aversion / Risk management / Risk premium / Securitization / Shareholder / Standard deviation / Systemic risk / Tax / Uncertainty / Utility / Valuation (finance) / Value (economics) / Wealth
• ISBN: 0691128839, 9780691128832, 9781400835287, 1400835283