Risk Management in Turbulent Times

By Gilles Bénéplanc; Jean-Charles Rochet | Go to book overview

INDEX
ABCP. See Asset-Backed Commercial Paper
abstract risk measure, 73
SV and, 159
accountability, 13–14
actuarial premiums, 42–44
adverse selection phenomenon, 117
after-trade incomes, 111–12
after-trade wealth, 110, 113
agents, 24, 24f
aggregate risks, 112–14
AIG
CDS and, 8, 93
quasi-failure of, 8
real estate investments and, 9
tail-dependence with, 9
Akerlof, George, 116
ALM. See Asset Liability Management
arbitrage pricing, 95–96, 196. See also no arbitrage principle
Arrow, Kenneth, 110
Asset-Backed Commercial Paper (ABCP), 116
Asset Liability Management (ALM), 20, 86–88
assets in place, 167, 169
asymmetric distributions, 59, 60f
attachment points, 70, 83
structured finance and, 49
automobile industry, 14–15
AXA, 172
banking
capital and, 8
economic capital for, 80–81, 80f
globalization with, 15
liquid reserves and, 8
remuneration of, 2
risk management and, 8
subprime markets and, 7
Bank of England, 85
bankruptcy
of Enron, 9
of Lehman Brothers, 2, 9
risk management and, 195
SV and, 102
taxes and, 102
of WorldCom, 14
Barings Bank, 23
Basel, 198n13
Basic Rule n° 1, 43, 44, 61f
VaR and, 57
Basic Rule n° 2, 44, 46, 61f
Basic Rule n° 3, 62
Bayesian updating
excess losses and, 75
in risk modeling, 30–32
benchmark price, 144
Bénéplanc, Gilles, 2
Benson, Arthur, 133
benzene, 17
Bermuda, 175
Bernoulli risks, 35, 98, 98f, 147
St. Petersburg paradox and, 104–5
bidimensional copulas, 54
binomial distribution, 35
expected loss of, 41–42
binomial model, 96–98
bivariate distributions, 54, 55f
Black Scholes, 96
Borch, Karl, 110
boycotts, 21
of Shell Group, 11
Bretton-Woods era, 20
Brownian motion, 154
bubbles, 2
calculus, 61, 154–55
PER and, 185
capital. See also economic capital; risk-adjusted return on capital
banking and, 8
contingent capital agreement, 185
cost of, 167
CRO and, 167
equity, 7, 60
internal, 129
mutualization and, 60
in normal world, 127–30
risk management and, 7
Ruin Theory and, 194
WACC, 129–30
Capital Asset Pricing Model (CAPM), 89
formula derivation for, 137–39
Normal distribution and, 115, 118, 124–25
CAPM. See Capital Asset Pricing Model

-203-

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