SUMMARY

• Covers the theories, models, measures, applications, software and regulation issues that have shaped the industry and offers an abundance of realistic and considered future perspectives

• Includes new perspectives on various risk related issues as well as new case-studies on derivatives disasters and rogue trading

• Each contributing author represents the pinnacle of their respective field including: John Hull, Mark Rubinstein and Robert Jarrow, Paul Samuelson and Robert Merton

• Features anecdotal autobiographies from leading risk and finance figures in the field including, Nobel prize winners

• A single-source volume covering every major theory and model - the definitive reference tool for the risk management professional or academic

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  TABLE OF CONTENTS

CONTENTS

Introduction
Peter Field

Timeline
Risk magazine

PART I: THE RATIONALE OF RISK MANAGEMENT

1 Risk Management as a Process
David Mengle

2 An Overview of the Evolution of the Over-the-counter Derivatives Market
Carola von Schenk

PART II: THE ROOTS AND DEVELOPMENT OF MODERN FINANCIAL MODELLING TECHNIQUES

3 Option Pricing Models and Stochastic Methods in Finance, 1900-1990
William Margrabe

4 Markowitz Mean-Variance Portfolio Theory
Neil D. Pearson

5 Equilibrium Asset Pricing and Discount Factors: Overview and Implications for Derivatives Valuation and Risk Management
John H. Cochrane and Christopher L. Culp

6 The Modigliani-Miller Propositions
Christopher L. Culp

7 The Past, Present and Future of Term Structure Modelling
Lane Hughston

PART III: THE DEVELOPMENT OF RISK MANAGEMENT SOFTWARE

8 The Development of Risk Management Software
Dan Rosen

PART IV: THE DEVELOPMENT OF RISK MEASURES AND METHODOLOGIES

9 The Origin and Development of Value-at-Risk
Olivier Scaillet

10 Stress Testing in Risk Management
Vineer Bhansali

11 Extreme Value Theory and Statistics for Heavy Tail Data
Silvia Caserta and Casper G. de Vries

12 The Copula
David A. Chapman

13 Modelling Volatility
Jin-Chuan Duan

14 The Evolution of Counterparty Credit Risk Management
David M. Rowe

15 Theory and Practice of Model Risk Management
Riccardo Rebonato

PART V: THE DEVELOPMENT OF FINANCIAL RISK IDENTIFICATION

16 A Retrospective Look at Market Risk
Barbara Kavanagh

17 Credit Risk from a Bank's Perspective
Arnaud de Servigny and Olivier Renault

18 Operational Risk: Past, Present and Future
Marcelo Cruz

19 Enterprise-wide Risk Management
James Lam

20 Endogenous Risk
Jon Danielsson and Hyun Song Shin

PART VI: THE USE OF RISK MANAGEMENT

21 Multi-National Corporate Risk Management Practice
Arnold Miyamoto and Ramon Espinosa

22 The Use of Risk Management by Corporations
Rohan Williamson

23 Risk in US Energy Markets
Edward N. Krapels

24 Risk Management in Asset Management
Gregory Connor and Robert A. Korajczyk

25 Risk Management for Hedge Funds and Funds of Hedge Funds
Virginia Reynolds Parker

26 Evolution of the Global Weather Derivatives Market
Jeffrey Porter

PART VII: REGULATORY ISSUES AND BANKING SUPERVISION

27 Regulatory Origins of Risk Management
David Mengle

28 Regulatory Capital Treatment of Counterparty Credit Risk: the Need for a Reform
Emmanuelle Sebton

29 Operational Risk - The Empiricists Strike Back?
Richard Metcalfe

PART VIII: FUTURE PERSPECTIVES

30 Use of Price Derivatives in Commodity Producing Developing Countries
Panos Varangis, John Nash and Funke Oyewole

PART IX: DERIVATIVES DISASTERS - CASE STUDIES

31 No Surprises
Yana O'Sullivan and Geoff Kates

32 Medium-Term Risk Management Lessons from Long-Term Capital Management
Philippe Jorion

33 Metallgesellschaft
Christopher L. Culp

34 Analysis of the Orange County Disaster
Alan C. Shapiro

35 Allied Irish Bank
Nikki Marmery

36 Scenes from a Tragedy - Bankers Trust and Procter&Gamble
William Falloon and Richard Irving

37 Singapore Sting - Barings
Mark Nicholls

38 A Question of Authority - Hammersmith and Fulham
Mark Nicholls

39 Full Metal Racket - Sumitomo Corporation
Mark Nicholls

APPENDIX: FINANCE AND RISK THINKERS

40 Remembering Fischer Black (1938-1995)
Emanuel Derman

41 John Cox - Improving on Black-Scholes
Navroz Patel

42 The Worlds of Yesterday
Emanuel Derman

43 Perspectives on Risk Management
John Hull

44 Jonathan Ingersoll - Driven to Simplicity
Paul Lyon

45 Mathematics and Finance: A Fruitful Relationship
Robert Jarrow

46 Adventures in Portfolio Theory
Harry M. Markowitz

47 Unexpected Roads, Happily Travelled
Robert C. Merton

48 Remembering Merton Miller (1923-2000)
John Ferry

49 Inspired by America
Franco Modigliani

50 Stephen Ross - Dedicated to the Real World
Navroz Patel

51 All in All, it's been a Good Life
Mark Rubinstein

52 Memoirs of an Early Finance Theorist
Paul A. Samuelson

53 Myron Scholes - From Theory to Practice
Keith Brody

54 William Sharpe - A Career-defining Risk
Dwight Cass

55 Reflections on a Revolution
Oldrich Vasicek

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  QUOTES

″This book is excellent and I whole-heartedly recommend it to newcomers of the world of risk. Anybody who has read and digested the contents of this book will be well placed in the world of risk management″.
Richard Norgate, Financial Engineering News

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  CONTRIBUTORS

David Mengle; Carola von Schenk; William Margrabe; Neil D. Pearson; John H. Cochrane and Christopher L. Culp; Christopher L. Culp; Lane Hughston; Dan Rosen; Olivier Scaillet; Vineer Bhansali; Silvia Caserta and Casper G. de Vries; David A. Chapman; Jin-Chuan Duan; David M. Rowe; Riccardo Rebonato; Barbara Kavanagh; Arnaud de Servigny and Olivier Renault; Marcelo Cruz; James Lam; Jon Danielsson and Hyun Song Shin; Arnold Miyamoto and Ramon Espinosa; Rohan Williamson; Edward N. Krapels; Gregory Connor and Robert A. Korajczyk; Virginia Reynolds Parker; Jeffrey Porter; David Mengle; Emmanuelle Sebton; Richard Metcalfe; Panos Varangis, John Nash and Funke Oyewole;; Yana O'Sullivan and Geoff Kates; Philippe Jorion; Christopher L. Culp; Alan C. Shapiro; Nikki Marmery; William Falloon and Richard Irving; Mark Nicholls; Emanuel Derman; Navroz Patel; Emanuel Derman; John Hull; Paul Lyon; Robert Jarrow; Harry M. Markowitz; Robert C. Merton; John Ferry; Franco Modigliani; Navroz Patel; Mark Rubinstein; Paul A. Samuelson; Keith Brody; Dwight Cass; Oldrich Vasicek
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