Plight of the Fortune Tellers

Plight of the Fortune Tellers

In a new preface, Rebonato explains how the ideas presented in this book fit into the context of the global financial crisis that followed its original publication.

Author: Riccardo Rebonato

Publisher: Princeton University Press

ISBN: 9781400836390

Category: Business & Economics

Page: 328

View: 443

Today's top financial professionals have come to rely on ever-more sophisticated mathematics in their attempts to come to grips with financial risk. But this excessive reliance on quantitative precision is misleading--and puts everyone at risk. In Plight of the Fortune Tellers, Riccardo Rebonato forcefully argues that we must restore genuine decision making to our financial planning. Presenting a financial model that uses probability, experimental psychology, and decision theory, Rebonato challenges us to rethink the standard wisdom about risk management. He offers a radical yet surprisingly commonsense solution: managing risk comes down to real people making decisions under uncertainty. Plight of the Fortune Tellers is a must-read for anyone concerned about how today's financial markets are run. In a new preface, Rebonato explains how the ideas presented in this book fit into the context of the global financial crisis that followed its original publication. He argues that risk managers are still stuck in a probabilistic rut, and need to engage with the structural causes of real events.
Categories: Business & Economics

Regulating From the Inside

Regulating  From  the Inside

210 Rebonato, Plight of the Fortune Tellers (n 208) 18ff, 28ff,43ff, 127ff and 144ff. 211 Crouhy, 'Risk Management Failures ' (n 142), ...

Author: Iris H-Y Chiu

Publisher: Bloomsbury Publishing

ISBN: 9781509901388

Category: Law

Page: 240

View: 160

This book examines a key aspect of the post-financial crisis reform package in the EU and UK-the ratcheting up of internal control in banks and financial institutions. The legal framework for internal controls is an important part of prudential regulation, and internal control also constitutes a form of internal gate-keeping for financial firms so that compliance with laws and regulations can be secured. This book argues that the legal framework for internal control, which is a form of meta-regulation, is susceptible to weaknesses, and such weaknesses are critically examined by adopting an interdisciplinary approach. The book discusses whether post-crisis reforms adequately address the weaknesses in regulating internal control and proposes an alternative strategy to enhance the 'governance' effectiveness of internal control.
Categories: Law

Invisible Wealth

Invisible Wealth

Rebonato, Plight of the Fortune Tellers, pp. 108-109. g Global Financial Data, http:Zlwww.globalfinancialdata.comlarticlesldow jones.html.

Author: Arnold Kling

Publisher: Encounter Books

ISBN: 9781594035425

Category: Business & Economics

Page: 336

View: 208

The discipline of economics is not what it used to be. Over the last few decades, economists have begun a revolutionary reorientation in how we look at the world, and this has major implications for politics, policy, and our everyday lives. For years, conventional economists told us an incomplete story that leaned on the comfortable precision of mathematical abstraction and ignored the complexity of the real world with all of its uncertainties, unknowns, and ongoing evolution. What economists left out of the story were the positive forces of creativity, innovation, and advancing technology that propel economies forward. Economists did not describe the dynamic process that leads to new pharmaceuticals, cell phones, Web-based information services—forces that fundamentally alter how we live our daily lives. Economists also left out the negative forces that can hold economies back: bad governance, counterproductive social practices, and patterns of taking wealth instead of creating it. They took for granted secure property rights, honest public servants, and the willingness of individuals to experiment and adapt to novelty. From Poverty to Prosperity is not Tipping Point or Freakonomics. Those books offer a smorgasbord of fascinating findings in economics and sociology, but the findings are only loosely related. From Poverty to Prosperity on the other hand, tells a big picture story about the huge differences in the standard of living across time and across borders. It is a story that draws on research from the world’s most important economists and eschews the conventional wisdom for a new, more inclusive, vision of the world and how it works.
Categories: Business & Economics

Journal of Investment Management

Journal of Investment Management

JOIM 2009 JOIM www . joim . com BOOK REVIEW Mark Kritzman , Senior Editor PLIGHT OF THE FORTUNE TELLERS : WHY WE NEED TO MANAGE RISK DIFFERENTLY By Riccardo ...

Author:

Publisher:

ISBN: UCLA:L0100411206

Category: Investment analysis

Page:

View: 123

Categories: Investment analysis

Mastering Illiquidity

Mastering Illiquidity

Rebonato, R. (2007) Plight of the Fortune Tellers. Princeton University Press, Princeton, NJ. Reinhardt, CM. and Rogoff, KS. (2009) This Time is Different.

Author: Thomas Meyer

Publisher: John Wiley & Sons

ISBN: 9781119952817

Category: Business & Economics

Page: 304

View: 992

Arms investors with powerful new tools for measuring and managing the risks associated with the various illiquid asset classes With risk-free interest rates and risk premiums at record lows, many investors are turning to illiquid assets, such as real estate, private equity, infrastructure and timber, in search of superior returns and greater portfolio diversity. But as many analysts, investors and wealth managers are discovering, such investments bring with them a unique set of risks that cannot be measured by standard asset allocation models. Written by a dream team of globally renowned experts in the field, this book provides a clear, accessible overview of illiquid fund investments, focusing on what the main risks of these asset classes are and how to measure those risks in today's regulatory environment. Provides solutions for institutional investors in need of guidance in today's regulatory environment Offers detailed descriptions of risk measurement in illiquid asset classes, illustrated with real life case studies Helps you to develop reliable risk management tools while complying with the regulations designed to contain the individual and systemic risks arising from illiquid investments Features real-life case studies that capture an array of risk management scenarios you are likely to encounter
Categories: Business & Economics

Banking on Basel

Banking on Basel

Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Princeton: Princeton University Press. Reinicke, Wolfgang H. 1995.

Author:

Publisher: Peterson Institute

ISBN: 0881325449

Category:

Page: 310

View: 654

Categories:

Machine Learning

Machine Learning

Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Princeton University Press. Rissanen, J. (1978). Modeling by shortest data ...

Author: Steven W. Knox

Publisher: John Wiley & Sons

ISBN: 9781119439073

Category: Computers

Page: 352

View: 410

AN INTRODUCTION TO MACHINE LEARNING THAT INCLUDES THE FUNDAMENTAL TECHNIQUES, METHODS, AND APPLICATIONS Machine Learning: a Concise Introduction offers a comprehensive introduction to the core concepts, approaches, and applications of machine learning. The author—an expert in the field—presents fundamental ideas, terminology, and techniques for solving applied problems in classification, regression, clustering, density estimation, and dimension reduction. The design principles behind the techniques are emphasized, including the bias-variance trade-off and its influence on the design of ensemble methods. Understanding these principles leads to more flexible and successful applications. Machine Learning: a Concise Introduction also includes methods for optimization, risk estimation, and model selection— essential elements of most applied projects. This important resource: Illustrates many classification methods with a single, running example, highlighting similarities and differences between methods Presents R source code which shows how to apply and interpret many of the techniques covered Includes many thoughtful exercises as an integral part of the text, with an appendix of selected solutions Contains useful information for effectively communicating with clients A volume in the popular Wiley Series in Probability and Statistics, Machine Learning: a Concise Introduction offers the practical information needed for an understanding of the methods and application of machine learning. STEVEN W. KNOX holds a Ph.D. in Mathematics from the University of Illinois and an M.S. in Statistics from Carnegie Mellon University. He has over twenty years’ experience in using Machine Learning, Statistics, and Mathematics to solve real-world problems. He currently serves as Technical Director of Mathematics Research and Senior Advocate for Data Science at the National Security Agency.
Categories: Computers

Becoming Fluent

Becoming Fluent

1993. The New Princeton Encyclopedia of Poetry and Poetics . New York : MJF Books . Rebonato , Riccardo . 2010. Plight of the Fortune Tellers ...

Author: Richard Roberts

Publisher:

ISBN: 9780262529808

Category: Cognitive neuroscience

Page: 248

View: 498

How adult learners can draw upon skills and knowledge honed over a lifetime to master a foreign language. Adults who want to learn a foreign language are often discouraged because they believe they cannot acquire a language as easily as children. Once they begin to learn a language, adults may be further discouraged when they find the methods used to teach children don't seem to work for them. What is an adult language learner to do? In this book, Richard Roberts and Roger Kreuz draw on insights from psychology and cognitive science to show that adults can master a foreign language if they bring to bear the skills and knowledge they have honed over a lifetime. Adults shouldn't try to learn as children do; they should learn like adults. Roberts and Kreuz report evidence that adults can learn new languages even more easily than children. Children appear to have only two advantages over adults in learning a language: they acquire a native accent more easily, and they do not suffer from self-defeating anxiety about learning a language. Adults, on the other hand, have the greater advantages--gained from experience--of an understanding of their own mental processes and knowing how to use language to do things. Adults have an especially advantageous grasp of pragmatics, the social use of language, and Roberts and Kreuz show how to leverage this metalinguistic ability in learning a new language. Learning a language takes effort. But if adult learners apply the tools acquired over a lifetime, it can be enjoyable and rewarding.
Categories: Cognitive neuroscience

ECONned How Unenlightened Self Interest Undermined Democracy and Corrupted Capitalism

ECONned  How Unenlightened Self Interest Undermined Democracy and Corrupted Capitalism

Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Princeton, NJ: Princeton University Press, 2007.

Author: Yves Smith

Publisher: St. Martin's Press

ISBN: 0230105734

Category: Business & Economics

Page: 368

View: 781

Why are we in such a financial mess today? There are lots of proximate causes: over-leverage, global imbalances, bad financial technology that lead to widespread underestimation of risk. But these are all symptoms. Until we isolate and tackle fundamental causes, we will fail to extirpate the disease. ECONned is the first book to examine the unquestioned role of economists as policy-makers, and how they helped create an unmitigated economic disaster. Here, Yves Smith looks at how economists in key policy positions put doctrine before hard evidence, ignoring the deteriorating conditions and rising dangers that eventually led them, and us, off the cliff and into financial meltdown. Intelligently written for the layman, Smith takes us on a terrifying investigation of the financial realm over the last twenty-five years of misrepresentations, naive interpretations of economic conditions, rationalizations of bad outcomes, and rejection of clear signs of growing instability. In eConned, author Yves Smith reveals: --why the measures taken by the Obama Administration are mere palliatives and are unlikely to pave the way for a solid recovery --how economists have come to play a profoundly anti-democratic role in policy --how financial models and concepts that were discredited more than thirty years ago are still widely used by banks, regulators, and investors --how management and employees of major financial firms looted them, enriching themselves and leaving the mess to taxpayers --how financial regulation enabled predatory behavior by Wall Street towards investors --how economics has no theory of financial systems, yet economists fearlessly prescribe how to manage them
Categories: Business & Economics

Quantitative Methods

Quantitative Methods

R. Rebonato, Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Difierently, Princeton University Press, Princeton, NJ, 2007.

Author: Paolo Brandimarte

Publisher: John Wiley & Sons

ISBN: 111802348X

Category: Mathematics

Page: 912

View: 669

An accessible introduction to the essential quantitative methods for making valuable business decisions Quantitative methods-research techniques used to analyze quantitative data-enable professionals to organize and understand numbers and, in turn, to make good decisions. Quantitative Methods: An Introduction for Business Management presents the application of quantitative mathematical modeling to decision making in a business management context and emphasizes not only the role of data in drawing conclusions, but also the pitfalls of undiscerning reliance of software packages that implement standard statistical procedures. With hands-on applications and explanations that are accessible to readers at various levels, the book successfully outlines the necessary tools to make smart and successful business decisions. Progressing from beginner to more advanced material at an easy-to-follow pace, the author utilizes motivating examples throughout to aid readers interested in decision making and also provides critical remarks, intuitive traps, and counterexamples when appropriate. The book begins with a discussion of motivations and foundations related to the topic, with introductory presentations of concepts from calculus to linear algebra. Next, the core ideas of quantitative methods are presented in chapters that explore introductory topics in probability, descriptive and inferential statistics, linear regression, and a discussion of time series that includes both classical topics and more challenging models. The author also discusses linear programming models and decision making under risk as well as less standard topics in the field such as game theory and Bayesian statistics. Finally, the book concludes with a focus on selected tools from multivariate statistics, including advanced regression models and data reduction methods such as principal component analysis, factor analysis, and cluster analysis. The book promotes the importance of an analytical approach, particularly when dealing with a complex system where multiple individuals are involved and have conflicting incentives. A related website features Microsoft Excel® workbooks and MATLAB® scripts to illustrate concepts as well as additional exercises with solutions. Quantitative Methods is an excellent book for courses on the topic at the graduate level. The book also serves as an authoritative reference and self-study guide for financial and business professionals, as well as readers looking to reinforce their analytical skills.
Categories: Mathematics

Portfolio Risk Analysis

Portfolio Risk Analysis

Plight of the Fortune Tellers: Why We Need to Manage Risk Differently. Princeton University Press. Reinganum, M. R. 1981. Misspecification of capital asset ...

Author: Gregory Connor

Publisher: Princeton University Press

ISBN: 9781400835294

Category: Business & Economics

Page: 400

View: 183

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Categories: Business & Economics

Uncertain Futures

Uncertain Futures

Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Princeton, NJ: Princeton University Press. Ricoeur, Paul. 1991.

Author: Jens Beckert

Publisher: Oxford University Press

ISBN: 9780192552747

Category: Business & Economics

Page: 368

View: 255

Uncertain Futures considers how economic actors visualize the future and decide how to act in conditions of radical uncertainty. It starts from the premise that dynamic capitalist economies are characterized by relentless innovation and novelty and hence exhibit an indeterminacy that cannot be reduced to measurable risk. The organizing question then becomes how economic actors form expectations and make decisions despite the uncertainty they face. This edited volume lays the foundations for a new model of economic reasoning by showing how, in conditions of uncertainty, economic actors combine calculation with imaginaries and narratives to form fictional expectations that coordinate action and provide the confidence to act. It draws on groundbreaking research in economic sociology, economics, anthropology, and psychology to present theoretically grounded empirical case studies. These demonstrate how grand narratives, central bank forward guidance, economic forecasts, finance models, business plans, visions of technological futures, and new era stories influence behaviour and become instruments of power in markets and societies. The market impact of shared calculative devices, social narratives, and contingent imaginaries underlines the rationale for a new form of narrative economics.
Categories: Business & Economics

Bubble Value at Risk

Bubble Value at Risk

Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently. Woodstock, U.K.: Princeton University Press. Rebonato, R. 2010.

Author: Max C. Y. Wong

Publisher: John Wiley & Sons

ISBN: 9781118550373

Category: Business & Economics

Page: 400

View: 559

Introduces a powerful new approach to financial risk modelingwith proven strategies for its real-world applications The 2008 credit crisis did much to debunk the much touted powersof Value at Risk (VaR) as a risk metric. Unlike most authors on VaRwho focus on what it can do, in this book the author looks at whatit cannot. In clear, accessible prose, finance practitioners, MaxWong, describes the VaR measure and what it was meant to do, thenexplores its various failures in the real world of crisis riskmanagement. More importantly, he lays out a revolutionary newmethod of measuring risks, Bubble Value at Risk, that iscountercyclical and offers a well-tested buffer against marketcrashes. Describes Bubble VaR, a more macro-prudential risk measureproven to avoid the limitations of VaR and by providing a moreaccurate risk exposure estimation over market cycles Makes a strong case that analysts and risk managers need tounlearn our existing "science" of risk measurement and discovermore robust approaches to calculating risk capital Illustrates every key concept or formula with an abundance ofpractical, numerical examples, most of them provided in interactiveExcel spreadsheets Features numerous real-world applications, throughout, based onthe author’s firsthand experience as a veteran financial riskanalyst
Categories: Business & Economics

Nonparametric Finance

Nonparametric Finance

Rebonato, R. (2007) Plight of the Fortune Tellers; Why We Need to Manage Financial Risk Differently, Princeton University Press, Princeton, NJ.

Author: Jussi Klemelä

Publisher: John Wiley & Sons

ISBN: 9781119409113

Category: Mathematics

Page: 704

View: 951

An Introduction to Machine Learning in Finance, With Mathematical Background, Data Visualization, and R Nonparametric function estimation is an important part of machine learning, which is becoming increasingly important in quantitative finance. Nonparametric Finance provides graduate students and finance professionals with a foundation in nonparametric function estimation and the underlying mathematics. Combining practical applications, mathematically rigorous presentation, and statistical data analysis into a single volume, this book presents detailed instruction in discrete chapters that allow readers to dip in as needed without reading from beginning to end. Coverage includes statistical finance, risk management, portfolio management, and securities pricing to provide a practical knowledge base, and the introductory chapter introduces basic finance concepts for readers with a strictly mathematical background. Economic significance is emphasized over statistical significance throughout, and R code is provided to help readers reproduce the research, computations, and figures being discussed. Strong graphical content clarifies the methods and demonstrates essential visualization techniques, while deep mathematical and statistical insight backs up practical applications. Written for the leading edge of finance, Nonparametric Finance: • Introduces basic statistical finance concepts, including univariate and multivariate data analysis, time series analysis, and prediction • Provides risk management guidance through volatility prediction, quantiles, and value-at-risk • Examines portfolio theory, performance measurement, Markowitz portfolios, dynamic portfolio selection, and more • Discusses fundamental theorems of asset pricing, Black-Scholes pricing and hedging, quadratic pricing and hedging, option portfolios, interest rate derivatives, and other asset pricing principles • Provides supplementary R code and numerous graphics to reinforce complex content Nonparametric function estimation has received little attention in the context of risk management and option pricing, despite its useful applications and benefits. This book provides the essential background and practical knowledge needed to take full advantage of these little-used methods, and turn them into real-world advantage. Jussi Klemelä, PhD, is Adjunct Professor at the University of Oulu. His research interests include nonparametric function estimation, density estimation, and data visualization. He is the author of Smoothing of Multivariate Data: Density Estimation and Visualization and Multivariate Nonparametric Regression and Visualization: With R and Applications to Finance.
Categories: Mathematics

QFINANCE The Ultimate Resource 4th edition

QFINANCE  The Ultimate Resource  4th edition

Rebonato R.The Plight of the Fortune Tellers—Why We Needto Manage Financial RiskDifferently. Princeton, NJ: Princeton University Press, 2007. Shefrin Hersh.

Author: Bloomsbury Publishing

Publisher: A&C Black

ISBN: 9781849300643

Category: Business & Economics

Page: 2208

View: 199

QFINANCE: The Ultimate Resource (4th edition) offers both practical and thought-provoking articles for the finance practitioner, written by leading experts from the markets and academia. The coverage is expansive and in-depth, with key themes which include balance sheets and cash flow, regulation, investment, governance, reputation management, and Islamic finance encompassed in over 250 best practice and thought leadership articles. This edition will also comprise key perspectives on environmental, social, and governance (ESG) factors -- essential for understanding the long-term sustainability of a company, whether you are an investor or a corporate strategist. Also included: Checklists: more than 250 practical guides and solutions to daily financial challenges; Finance Information Sources: 200+ pages spanning 65 finance areas; International Financial Information: up-to-date country and industry data; Management Library: over 130 summaries of the most popular finance titles; Finance Thinkers: 50 biographies covering their work and life; Quotations and Dictionary.
Categories: Business & Economics

Behavioral Risk Management

Behavioral Risk Management

... 187–8 PharMerica, 4, 7–9, 14 Plight of the Fortune Tellers, The (Rebonato), xiv, 53, 173 plural risk management (PRM), 72–4, 77–8 Ponzi finance, 109–16, ...

Author: Hersh Shefrin

Publisher: Springer

ISBN: 9781137445629

Category: Business & Economics

Page: 518

View: 355

The psychological dimension of managing risk is of crucial importance, and its study has led to the identification of specific do's and don'ts. Those with an understanding of the psychology underlying risk and the skills to recognize its manifestation in practice, have the opportunity to develop frameworks that embody the do's and don'ts, thereby producing sound judgments and good decisions. Those lacking the understanding and the skills are destined to be more hit and miss in their approach to risk management, doing the don'ts and not doing the do's. Virtually every major risk management catastrophe in the last fifteen years has psychological pitfalls at its root. The list of catastrophes includes the 2008 bankruptcy of Lehman Brothers and subsequent global financial crisis, the 2010 explosion at BP's Macondo well in the Gulf of Mexico and the 2011 nuclear meltdown at the Fukushima Daiichi power plant. A critical lesson from psychological studies for those involved in risk management is that people's judgments and decisions about risk vary with type of circumstance. In Behavioral Risk Management readers will learn that there are specific actions that organizations can undertake to incorporate understanding, recognition, and behavioral interventions into the practice of risk management. There are many examples throughout the book that illustrate doing the don'ts. The chapters in the first part of the book introduce the main ideas, and the chapters in the latter part provide insight into how to apply those ideas to the practical world in which risk managers operate.
Categories: Business & Economics

The Law on Corporate Governance in Banks

The Law on Corporate Governance in Banks

133 R Rebonato, Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently (Princeton University Press 2007),18ff, 28ff,43ff, ...

Author: Iris H-Y Chiu

Publisher: Edward Elgar Publishing

ISBN: 9781782548867

Category: Law

Page: 384

View: 924

Corporate governance in financial institutions has come under the spotlight since the banking crisis in the UK in 2008-9. In many respects, the banking business raises unique problems for corporate governance that are not found in other corporate secto
Categories: Law

Portfolio Society

Portfolio Society

... see Riccardo Rebonato, The Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently (Princeton, NJ: Princeton University 154 ...

Author: Ivan Ascher

Publisher: Princeton University Press

ISBN: 9781935408826

Category: Business & Economics

Page: 192

View: 118

As financial markets expand and continue to refashion the world in their own image, the wealth of capitalist societies no longer presents itself as it did to Karl Marx in the nineteenth century, as a “monstrous collection of commodities.” Instead, it appears as an equally monstrous collection of financial securities, and the critique of political economy must proceed accordingly. But what would it mean to write Capital in the twenty-first century? Are we really to believe that risk, rather than labor, is now regarded as the true fount of economic value? Likewise, can it truly be the case that the credit relation — at least in the global North — has replaced the wage relation as the key site of exploitation and political struggle? And finally, if precarity is indeed the name of today’s proletarian condition, what possible future does it actually portend, what analysis does it require? Through a series of creative substitutions, Ascher’s Portfolio Society extends Marx’s critical project in bold and unexpected ways. In this work, Ascher demystifies crucial dimensions of contemporary finance and considers the predicaments of societies whose own future is now shaped by volatile financial markets. In the end, we may find that much has changed and much has not; relations of domination still endure, and mystifications do abound; but the devil is in the details, and that is where Ascher would have us dwell. At once a critique of modern finance and of the societies under its spell, Portfolio Society succeeds in revealing the potential limits of Capital, while reveling still in its limitless potential.
Categories: Business & Economics

Reconsidering Bank Capital Regulation

Reconsidering Bank Capital Regulation

Rebonato, R., 2007, Plight of the Fortune Tellers: Why We Need to Manage Financial Risk Differently, Princeton, NJ: Princeton University Press.

Author: Connel Fullenkamp

Publisher: International Monetary Fund

ISBN: 9781498382472

Category: Business & Economics

Page: 36

View: 598

Despite revisions to bank capital standards, fundamental shortcomings remain: the rules for setting capital requirements need to be simpler, and resolution should be an essential part of the capital requirement framework.We propose a new system of capital regulation that addresses these needs by making changes to all three pillars of bank regulation: only common equity should be recognized as capital for regulatory purposes, and risk weighting of assets should be abandoned; capital requirements should be assigned on an institution-by-institution basis according to a regulatory (s,S) approach developed in the paper; a standard for prompt, corrective action is incorporated into the (s,S) approach.
Categories: Business & Economics

The Palgrave Handbook of Unconventional Risk Transfer

The Palgrave Handbook of Unconventional Risk Transfer

The Plight of the Fortune Tellers. Princeton, NJ: Princeton University Press. ———. 2010. Coherent Stress Testing. Chichester: Wiley.

Author: Maurizio Pompella

Publisher: Springer

ISBN: 9783319592978

Category: Business & Economics

Page: 583

View: 904

This handbook examines the latest techniques and strategies that are used to unlock the risk transfer capacity of global financial and capital markets. Taking the financial crisis and global recession into account, it frames and contextualises non-traditional risk transfer tools created over the last 20 years. Featuring contributions from distinguished academics and professionals from around the world, this book covers in detail issues in securitization, financial risk management and innovation, structured finance and derivatives, life and non-life pure risk management, market and financial reinsurance, CAT risk management, crisis management, natural, environmental and man-made risks, terrorism risk, risk modelling, vulnerability and resilience. This handbook will be of interest to academics, researchers and practitioners in the field of risk transfer.
Categories: Business & Economics