The Known, the Unknown, and the Unknowable in Financial Risk Management
Measurement and Theory Advancing Practice
Автор(и) : Francis X. Diebold , Neil A. Doherty , Richard J. Herring
Издател : Princeton University Press
Място на издаване : New Jersey, USA
Година на издаване : 2010
ISBN : 978-0-691-12883-2
Брой страници : 380
Език : английски
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A clear understanding of what we know, don't know, and can't know should guide any reasonable approach to managing financial risk, yet the most widely used measure in finance today--Value at Risk, or VaR--reduces these risks to a single number, creating a false sense of security among risk managers, executives, and regulators. This book introduces a more realistic and holistic framework called KuU--the Known, the unknown, and the Unknowable--that enables one to conceptualize the different kinds of financial risks and design effective strategies for managing them. Bringing together contributions by leaders in finance and economics, this book pushes toward robustifying policies, portfolios, contracts, and organizations to a wide variety of KuU risks. Along the way, the strengths and limitations of ""quantitative"" risk management are revealed.
In addition to the editors, the contributors are Ashok Bardhan, Dan Borge, Charles N. Bralver, Riccardo Colacito, Robert H. Edelstein, Robert F. Engle, Charles A. E. Goodhart, Clive W. J. Granger, Paul R. Kleindorfer, Donald L. Kohn, Howard Kunreuther, Andrew Kuritzkes, Robert H. Litzenberger, Benoit B. Mandelbrot, David M. Modest, Alex Muermann, Mark V. Pauly, Til Schuermann, Kenneth E. Scott, Nassim Nicholas Taleb, and Richard J. Zeckhauser.
• Introduces a new risk-management paradigm
• Features contributions by leaders in finance and economics
• Demonstrates how ""killer risks"" are often more economic than statistical, and crucially linked to incentives
• Shows how to invest and design policies amid financial uncertainty
"This book brings together a series of important and thought-provoking contributions by a group of highly distinguished academics and notable finance practitioners. The organizational principle of the book--the Known, the unknown, and the Unknowable, or KuU--is as relevant and timely as ever. I highly recommend the book to anybody interested in learning about the latest developments and thinking by some of the leading and most influential minds in the area of modern risk management."
-Tim Bollerslev, Duke University
"Diebold, Doherty, and Herring have provided tremendous public service in applying their considerable expertise in risk, insurance, and financial institutions to assemble this fascinating collection of papers on risk management--this book should be required reading for anyone with decision-making authority in the finance and insurance industries, and especially among regulators."
-Andrew W. Lo, author of Hedge Funds
"This book tackles the complexities of risk management head-on, directly confronting the full range of issues and challenges that permeate the field. It nicely fills a void by offering up thoughtful and disciplined analysis across highly diverse topics. A truly welcome addition to the burgeoning literature on the theory and practice of risk management."
-Torben G. Andersen, Northwestern University
"A very informative, interesting book."
--Paul Embrechts, coauthor of Quantitative Risk Management
Francis X. Diebold
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.
Личен сайт: http://www.ssc.upenn.edu/~fdiebold/
Neil A. Doherty
Neil A. Doherty is the Frederick H. Ecker Professor of Insurance and Risk Management at the Wharton School.
Richard J. Herring
Richard J. Herring is the Jacob Safra Professor of International Banking and professor of finance at the Wharton School.