THE WORLD OF RISK MANAGEMENT
edited by H Gifford Fong (Editor, Journal of Investment Management, USA)
Risk management is a foundation discipline for the prudent conduct of investment management. Being effective requires ongoing evolution and adaptation. In The World of Risk Management, an expert team of contributors that include Nobel Prize laureates Robert C Merton and Harry M Markowitz addresses the important issues arising in the practice of risk management.
A common thread among these distinguished articles is a rigorous theoretical or conceptual basis. Illustrated with full color figures throughout, they discuss topics ranging from broad policy considerations to detailed how-to prescriptions, providing professionals and academics with useful practical implementations.
Contents:
- Design of Financial Systems: Towards a Synthesis of Function and Structure (R C Merton & Z Bodie)
- Asset/Liability Management and Enterprise Risk Management of an Insurer (T S Y Ho)
- It's 11pm — Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier (A W Lo et al.)
- Time Diversification (J L Treynor)
- A Practical Framework for Portfolio Choice (R O Michaud)
- A Markov Chain Monte Carlo Method for Derivative Pricing and Risk Assessment (S R Das & A Sinclair)
- Active Risk and Information Ratio (E Qian & R Hua)
- The Year-End Price of Risk in a Market for Liquidity (M D Griffiths & D B Winters)
- Resampled Frontiers versus Diffuse Bayes: An Experiment (H M Markowitz & N Usmen)
- Fund Managers May Cause Their Benchmarks to be Priced "Risks" (M Stutzer)
View Full Text (9,915 KB)
Readership: Risk managers, portfolio managers, pension managers, CEOs and CFOs
of Wall Street firms and insurance companies, and academics in the finance field.
