The world of risk management / editor H. Gifford Fong.

ISBN:

9789812565174

Title:

Author:

Fong, H. Gifford.

Publication Information:

Singapore ; Hackensack, NJ : World Scientific Pub., c2006.

Physical Description:

xiv, 218 p. ; 26 cm.

Contents:

Ch. 1. Design of financial systems : towards a synthesis of function and structure / Robert C. Merton and Zvi Bodie -- Ch. 2. Asset/liability management and enterprise risk management of an insurer / Thomas S. Y. Ho -- Ch. 3. It's 11 pm - do you know where your liquidity is? : the mean-variance-liquidity frontier / Andrew W. Lo, Constantin Petrov and Martin Wierzbicki -- Ch. 4. Time diversification / Jack L. Treynor -- Ch. 5. A practical framework for portfolio choice / Richard O. Michaud -- Ch. 6. A Markov chain Monte Carlo method for derivative pricing and risk assessment / Sanjiv R. Das and Alistair Sinclair -- Ch. 7. Active risk and information ratio / Edward Qian and Ronald Hua -- Ch. 8. The year-end price of risk in a market for liquidity / Mark D. Griffiths and Drew B. Winters -- Ch. 9. Resampled frontiers versus diffuse bayes : an experiment / Harry M. Markowitz and Nilufer Usmen -- Ch. 10. Fund managers may cause their benchmarks to be priced "risks" / Michael Stutzer.

Subject Term:

Investments.

Derivative securities.

Portfolio management.

Asset-liability management.

Risk management.

Added Author:

Fong, H. Gifford.

Added Uniform Title:

Journal of investment management.

Format:

Books

Publication Date:

2006

Publication Information:

Singapore ; Hackensack, NJ : World Scientific Pub., c2006.

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Shelf Number	Material Type	Copy	Shelf Location	Status
332.6 WOR	Book	1	Standard shelving location	Searching... Unknown

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Summary

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 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 as well as their practical significance. The topics include not only broad policy considerations but also detailed how-to prescriptions.

Robert C. Merton and Zvi BodieThomas S. Y. HoAndrew W. Lo and Constantin Petrov and Martin WierzbickiJack L. TreynorRichard O. MichaudSanjiv R. Das and Alistair SinclairEdward Qian and Ronald HuaMark D. Griffiths and Drew B. WintersHarry M. Markowitz and Nilufer UsmenMichael Stutzer

Introduction	p. vii
Practitioner's Digest	p. ix
Chapter 1 Design of Financial Systems: Towards a Synthesis of Function and Structure	p. 1
Chapter 2 Asset/Liability Management and Enterprise Risk Management of an Insurer	p. 29
Chapter 3 It's 11 pm-Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier	p. 47
Chapter 4 Time Diversification	p. 93
Chapter 5 A Practical Framework for Portfolio Choice	p. 111
Chapter 6 A Markov Chain Monte Carlo Method for Derivative Pricing and Risk Assessment	p. 131
Chapter 7 Active Risk and Information Ratio	p. 151
Chapter 8 The Year-End Price of Risk in a Market for Liquidity	p. 169
Chapter 9 Resampled Frontiers versus Diffuse Bayes: An Experiment	p. 183
Chapter 10 Fund Managers May Cause Their Benchmarks to be Priced "Risks"	p. 203

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Table of Contents