Investment Risk Management

by H. Kent Baker, Greg Filbeck

Overview

All investments carry with them some degree of risk. In the financial world, individuals, professional money managers, financial institutions, and many others encounter and must deal with risk. Risk management is a process of determining what risks exist in an investment and then handling those risks in the best-suited way. This is important because it can reduce or augment risk depending on the goals of investors and portfolio managers.

The main purpose of Investment Risk Management is to provide an overview of developments in risk management and a synthesis of research involving these developments. The book examines ways to alter exposures through measuring and managing those exposures and provides an understanding of the latest strategies and trends within risk management. The scope of the coverage is broad and encompasses the most important aspects of investment risk management. Its 30 chapters are organized into six sections: (1) foundations of risk management, (2) types of risk, (3) quantitative assessment of risk, (4) risk and risk classes, (5) hedging risk and (6) going forward.

The book should be of particular interest to sophisticated practitioners, investors, academics, and graduate finance students. Investment Risk Management provides a fresh look at this intriguing but complex subject.

Product Details

ISBN-13:	9780199331963
Publisher:	Oxford University Press
Publication date:	01/02/2015
Series:	Financial Markets and Investments
Pages:	710
Product dimensions:	6.60(w) x 9.30(h) x 1.50(d)

About the Author

H. Kent Baker is a University Professor of Finance in the Kogod School of Business at American University. Professor Baker is an author or editor of 22 books including Investor Behavior - The Psychology of Financial Planning and Investing, Market Microstructure of Emerging and Developed Markets, Behavioral Finance - Investors, Corporations, and Markets, Portfolio Theory and Management, and Survey Research in Corporate Finance. As one of the most prolific finance academics, he has published more than 150 refereed articles in such journals as the Journal of Finance, Journal of Financial and Quantitative Analysis, Financial Management, Financial Analysts Journal, and Journal of Portfolio Management. He has consulting and training experience with more than 100 organizations. Professor Baker holds a BSBA from Georgetown University; M.Ed., MBA, and DBA degrees from the University of Maryland; and an MA, MS, and two PhDs from American University. He also holds CFA and CMA designations.

Greg Filbeck holds the Samuel P. Black III Professor of Insurance and Risk Management at Penn State Erie, the Behrend College and serves as Area Chair for Finance, Accounting, and Business Economics. He formerly served as Senior Vice-President of Kaplan Schweser and held academic appointments at Miami University (Ohio) and the University of Toledo, where he served as the Associate Director of the Center for Family Business. Professor Filbeck is an author or editor of four books and has published more than 75 refereed academic journal articles that have appeared in journals such as Financial Analysts Journal, Financial Review, and Journal of Business, Finance, and Accounting. Professor Filbeck conducts consulting and training world-wide for candidates for the Chartered Financial Analyst (CFA), Financial Risk Manager (FRM™), and Chartered Alternative Investment Adviser (CAIA®) designations as well as holding all three designations. Professor Filbeck holds a BS from Murray State University, an MS from Penn State University, and a DBA from the University of Kentucky.

Table of Contents

SECTION ONE FOUNDATIONS OF RISK MANAGEMENT

1. Investment Risk Management: An Overview
H. Kent Baker and Greg Filbeck

2. Measuring and Managing Risk
Raimund M. Kovacevic, Georg Ch. Pflug, and Alois Pichler

3. How Risk Management Adds Value
M. Martin Boyer and Monica Marin

4. Accounting and Risk Management
Mark Bradshaw and Bjorn Jorgensen


SECTION TWO TYPES OF RISK

5. Market Risk
Ramon P. Degennaro and Chanaka P. Edirisinghe

6. Credit Risk Measurement and Management
Norbert J. Jobst

7. Operational Risk
Pavel V. Shevchenko

8. Liquidity Risk
Kose John, Samir Saadi, and Hui Zhu

9. Country Risk: Determinants, Measures, and Implications
Aswath Damodaran

10. Systemic Risk
Andreas Krause

11. Behavioral Risk
M. Martin Boyer, Franca Glenzer, and Samuel Ouzan

12. Governance Risk: A Guide for Investors
Didier Cossin

13. Inflation Risk: Causes and Instruments for Protection
Claus Huber, Felix Gasser, and Nicolas Bürkler

14. Risk Aggregation and Capital Management
Sumit Mathur


SECTION THREE QUANTITATIVE ASSESSMENT OF RISK

15. Value-at-Risk and Other Risk Measures
Markus Lieppold

16. Stress Testing
Martin Čihák

17. Risk Management and Regulation
David E. Allen, Robert J. Powell, and Abhay K. Singh

18. Risk Budgeting
Gregg Fisher, Tim Nguyen, and Cristian I. Tiu

19. Risk-Adjusted Performance Measurement
Pilar Grau Carles

20. Risk Attribution Analysis
Philippe Bertrand


SECTION FOUR RISK AND ASSET CLASSES

21. Risk and Mortgage-Backed Securities in a Time of Transition
Harold C. Barnett

22. Credit Value Adjustment
James T. Moser

23. Risk Management and Hedge Funds
Razvan Pascalau


SECTION FIVE HEDGING RISK

24. Options
Kit Pong Wong, Greg Filbeck, and H. Kent Baker

25. Trading Futures to Manage Risk
Ludwig B. Chincarini

26. Swaps
Dimitris Tsouknidis and Elias Boukrami

27. The Economics of Credit Derivatives
Udo Broll, Simone Raab, and Peter Welzel

28. Foreign Exchange Derivatives in Frontier Markets
Othmane Boukrami and Bert van Lier


SECTION SIX GOING FORWARD

29. Risk Management and Financial Disasters
Gabriele Sabato

30. The Future of Risk Management
Hunter M. Holzhauer

Editorial Reviews

"I found the Investment Risk Management book excellent on many fronts. It provides a timely and important review of risk management after the great crisis and an examination of important advances and challenges in managing investment risk at firms and for investors."

— Russell Walker, Ph.D. is Clinical Associate Professor at the Kellogg School of Management, Northwestern University and author of From Big Data to Big Profits: Success with Data and Analytics (OUP 2015).

"Investment Management Risk is an excellent survey. Those practicing, studying, or simply interested in risk management will find it a first-rate reference and perhaps a reminder of how much the field has evolved since the board games of their youth."

— Financial Analysts Journal

From the Publisher