Financial Risk Management

From Metrics to Human Conduct

Frantz Maurer (KEDGE Business School, France), Frantz Maurer

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English

John Wiley & Sons Inc
27 February 2024

Risk assessment; Budgeting & financial management

Series: The Wiley Finance Series

Protect your organization against financial misconduct

In Financial Risk Management: From Metrics to Human Conduct, Frantz Maurer delivers a thorough and practical review of the core methods used by professionals in the real world to reduce the risk of financial misconduct. Starting with the key points of banking regulation, the author then describes in simple terms the most extensively used risk metrics in the banking industry. Readers can fully grasp and implement the techniques discussed within without a strong background in probabilities or statistics. The last part of the book focuses on conduct risk markers and show how to implement a conduct risk index that benchmarks the conduct of natural risk-takers like traders.

The author describes how to marry this simple approach to financial risk with a conduct risk index that benchmarks the conduct of natural risk-takers, like traders.

Readers will also find:

Step-by-step guidance on how to apply common risk indicators to real-world situations Actionable advice for improving the resilience of financial institutions against individual misconduct and misbehavior

A holistic and non-quantitative approach to a subject of critical importance, Financial Risk Management: From Metrics to Human Conduct will earn a place in the libraries of risk managers, compliance professionals, and master's level students in business administration and finance.

By: Frantz Maurer (KEDGE Business School France), Frantz Maurer
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions: Height: 231mm, Width: 155mm, Spine: 25mm
Weight: 386g
ISBN: 9781119885290
ISBN 10: 1119885299
Series: The Wiley Finance Series
Pages: 224
Publication Date: 27 February 2024
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

Foreword ix Acknowledgements xi List of Acronyms and Symbols xiii Introduction xvii Part One Navigating Banking Regulation Chapter 1 A Brief History of the Basel Framework 3 Chapter 2 The Basel I Regulatory Framework and the Cooke Ratio 7 Chapter 3 Amendment to the Basel I Framework to Incorporate Market Risks 15 Chapter 4 Implementation of the Basel II Framework 21 Chapter 5 A Guided Tour of the Basel III Framework 29 Chapter 6 Climate- Related Financial Risks 41 Part Two The Financial Risk Measurement Landscape Chapter 7 Historical Approach to Risk 47 Chapter 8 The Gaussian Framework 61 Chapter 9 A Brief Overview of Monte Carlo Simulation 75 Chapter 10 Risk Contribution 79 Chapter 11 Shortcomings of Risk Metrics 93 Chapter 12 Ex- Post Evaluation of a Risk Model: Backtesting 103 Chapter 13 A Forward- Looking Evaluation of Risk: Stress Testing 109 Part Three Getting Conduct Risk to Scale Chapter 14 The Big Picture of Conduct Risk 119 Chapter 15 Markers of Conduct Risk 123 Chapter 16 Worked Example 7: Building a Conduct Risk Score 127 Chapter 17 Fostering a Culture of Appropriate Conduct Outcomes 137 Chapter 18 Worked Example 8: Calculating a Risk-Taker’s Conduct Risk Index 143 Chapter 19 Hot Questions Still Pending 159 Chapter 20 Understanding the Root Causes of Poor Conduct 163 Appendix 173 References 181 Contents 183 List of Figures 187 List of Tables 189 Index 191

FRANTZ MAURER is a Professor of Finance and the head of the accounting, finance and economics department at KEDGE Business School. He has also taught at HEC Paris, the University of Bordeaux, ESCP Business School, and University Paris Saclay.