Modern Risk Management

Introduction

Peter Field

Timeline

Risk magazine

PART I: THE RATIONALE OF RISK MANAGEMENT

1 Risk Management as a Process

David Mengle

2 An Overview of the Evolution of the Over-the-counter Derivatives Market

Carola von Schenk

PART II: THE ROOTS AND DEVELOPMENT OF MODERN FINANCIAL MODELLING TECHNIQUES

3 Option Pricing Models and Stochastic Methods in Finance, 1900-1990

William Margrabe

4 Markowitz Mean-Variance Portfolio Theory

Neil D. Pearson

5 Equilibrium Asset Pricing and Discount Factors: Overview and Implications for Derivatives Valuation and Risk Management

John H. Cochrane and Christopher L. Culp

6 The Modigliani-Miller Propositions

Christopher L. Culp

7 The Past, Present and Future of Term Structure Modelling

Lane Hughston

PART III: THE DEVELOPMENT OF RISK MANAGEMENT SOFTWARE

8 The Development of Risk Management Software

Dan Rosen

PART IV: THE DEVELOPMENT OF RISK MEASURES AND METHODOLOGIES

9 The Origin and Development of Value-at-Risk

Olivier Scaillet

10 Stress Testing in Risk Management

Vineer Bhansali

11 Extreme Value Theory and Statistics for Heavy Tail Data

Silvia Caserta and Casper G. de Vries

12 The Copula

David A. Chapman

13 Modelling Volatility

Jin-Chuan Duan

14 The Evolution of Counterparty Credit Risk Management

David M. Rowe

15 Theory and Practice of Model Risk Management

Riccardo Rebonato

PART V: THE DEVELOPMENT OF FINANCIAL RISK IDENTIFICATION

16 A Retrospective Look at Market Risk

Barbara Kavanagh

17 Credit Risk from a Bank’s Perspective

Arnaud de Servigny and Olivier Renault

18 Operational Risk: Past, Present and Future

Marcelo Cruz

19 Enterprise-wide Risk Management

James Lam

20 Endogenous Risk

Jon Danielsson and Hyun Song Shin

PART VI: THE USE OF RISK MANAGEMENT

21 Multi-National Corporate Risk Management Practice

Arnold Miyamoto and Ramon Espinosa

22 The Use of Risk Management by Corporations

Rohan Williamson

23 Risk in US Energy Markets

Edward N. Krapels

24 Risk Management in Asset Management

Gregory Connor and Robert A. Korajczyk

25 Risk Management for Hedge Funds and Funds of Hedge Funds

Virginia Reynolds Parker

26 Evolution of the Global Weather Derivatives Market

Jeffrey Porter

PART VII: REGULATORY ISSUES AND BANKING SUPERVISION

27 Regulatory Origins of Risk Management

David Mengle

28 Regulatory Capital Treatment of Counterparty Credit Risk: the Need for a Reform

Emmanuelle Sebton

29 Operational Risk - The Empiricists Strike Back?

Richard Metcalfe

PART VIII: FUTURE PERSPECTIVES

30 Use of Price Derivatives in Commodity Producing Developing Countries

Panos Varangis, John Nash and Funke Oyewole

PART IX: DERIVATIVES DISASTERS - CASE STUDIES

31 No Surprises

Yana O’Sullivan and Geoff Kates

32 Medium-Term Risk Management Lessons from Long-Term Capital Management

Philippe Jorion

33 Metallgesellschaft

Christopher L. Culp

34 Analysis of the Orange County Disaster

Alan C. Shapiro

35 Allied Irish Bank

Nikki Marmery

36 Scenes from a Tragedy - Bankers Trust and Procter&Gamble

William Falloon and Richard Irving

37 Singapore Sting - Barings

Mark Nicholls

38 A Question of Authority - Hammersmith and Fulham

Mark Nicholls

39 Full Metal Racket - Sumitomo Corporation

Mark Nicholls

APPENDIX: FINANCE AND RISK THINKERS

40 Remembering Fischer Black (1938-1995)

Emanuel Derman

41 John Cox - Improving on Black-Scholes

Navroz Patel

42 The Worlds of Yesterday

Emanuel Derman

43 Perspectives on Risk Management

John Hull

44 Jonathan Ingersoll - Driven to Simplicity

Paul Lyon

45 Mathematics and Finance: A Fruitful Relationship

Robert Jarrow

46 Adventures in Portfolio Theory

Harry M. Markowitz

47 Unexpected Roads, Happily Travelled

Robert C. Merton

48 Remembering Merton Miller (1923-2000)

John Ferry

49 Inspired by America

Franco Modigliani

50 Stephen Ross - Dedicated to the Real World

Navroz Patel

51 All in All, it’s been a Good Life

Mark Rubinstein

52 Memoirs of an Early Finance Theorist

Paul A. Samuelson

53 Myron Scholes - From Theory to Practice

Keith Brody

54 William Sharpe - A Career-defining Risk

Dwight Cass

55 Reflections on a Revolution

Oldrich Vasicek