The Known, the Unknown, and the Unknowable Iin Financial Risk Management

by Diebold, Francis X.

• ISBN13: 9780691128832
• ISBN10: 0691128839
• Format: Hardcover
• Copyright: 2010-04-19
• Publisher: Princeton Univ Pr

Summary

"A very informative, interesting book."--Paul Embrechts, coauthor of "Quantitative Risk Management" "Each year when I teach my market risk management class, I have one or two senior risk officers from banks give a talk. At the end of the talk I always ask them: 'So what keeps you awake at night?' The answer is virtually always the same: 'Risks that I do not know about.' This book is therefore extremely important in my view. I thoroughly enjoyed reading it."--Peter Christoffersen, McGill University "I consider this book one of the best compendiums available today on key risk issues facing the global financial system. These are issues whose resolution will determine the nature of the world financial architecture going forward. They will be actively discussed in the months and years ahead, and this volume represents an invaluable resource in this debate."--Ingo Walter, New York University

Author Biography

Francis X. Diebold is the Paul F. and E. Warren Shafer Miller Professor of Economics at the University of Pennsylvania and professor of finance and statistics at the university's Wharton School. Neil A. Doherty is the Frederick H. Ecker Professor of Insurance and Risk Management at the Wharton School. Richard J. Herring is the Jacob Safra Professor of International Banking and professor of finance at the Wharton School.

Table of Contents

Preface	p. vii
Introduction	p. 1
Risk: A Decision Maker's Perspective	p. 31
Mild vs. Wild Randomness: Focusing on Those Risks That Matter	p. 47
The Term Structure of Risk, the Role of Known and Unknown Risks, and Nonstationary Distributions	p. 59
Crisis and Noncrisis Risk in Financial Markets: A Unified Approach to Risk Management	p. 74
What We Know, Don't Know, and Can't Know about Bank Risk: A View from the Trenches	p. 103
Real Estate through the Ages: The Known, the Unknown, and the Unknowable	p. 145
Reflections on Decision-making under Uncertainty	p. 164
On the Role of Insurance Brokers in Resolving the Known, the Unknown, and the Unknowable	p. 194
Insuring against Catastrophes	p. 210
Managing Increased Capital Markets Intensity: The Chief Financial Officer's Role in Navigating the Known, the Unknown, and the Unknowable	p. 239
The Role of Corporate Governance in Coping with Risk and Unknowns	p. 277
Domestic Banking Problems	p. 286
Crisis Management: The known, The Unknown, and the Unknowable	p. 296
Investing in the Unknown and Unknowable	p. 304
List of Contributors	p. 347
Index	p. 359
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