by Chan Pui Man. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 108-111). / ABSTRACT --- p.II / TABLE OF CONTENTS --- p.III / ACKNOWLEDGEMENT --- p.VI / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- LITERATURE REVIEW --- p.4 / Impact due to Deregulation --- p.5 / Impact due to Globalization --- p.5 / Impact due to Securitization --- p.6 / Impact due to Institutionalisation --- p.6 / Impact due to Computerisation --- p.7 / Chapter III. --- CONCEPT: MANAGEMENT OF RISK --- p.8 / Definition of Risk --- p.9 / Risk Analysis --- p.10 / Risk Assessment --- p.10 / Risk Measurement --- p.10 / Risk Management --- p.11 / Chapter IV. --- TYPE OF RISK --- p.13 / Market/Capital Risk --- p.14 / Reinvestment Risk --- p.15 / Interest Rate Risk --- p.16 / Credit Risk --- p.17 / Liquidity or Funding Risk --- p.18 / Currency and Foreign Exchange Risk --- p.19 / Inflation Risk --- p.19 / Operations Risk --- p.20 / Legal Risk --- p.20 / Political Risk --- p.21 / Systemic Risk --- p.22 / Portfolio Risk --- p.22 / Control Risk --- p.23 / Settlement Risk --- p.23 / Country Risk --- p.24 / Underwriting Risk --- p.24 / Residual or Moral Risk --- p.24 / Strategy Risk and Environment Risk --- p.25 / Chapter V. --- MEASURING CHANGING RISK --- p.26 / Historical Estimates --- p.28 / Non-parametric Methods --- p.29 / Parametric Methods --- p.30 / Chapter VI. --- EVOLUTION OF RISK ESTIMATION --- p.35 / Chapter VII. --- APPLYING PORTFOLIO THEORY INTO RISK ANALYSIS --- p.41 / Modelling Bank Risk --- p.43 / Identification of linkages between an individual loan and bank's overall risk profile --- p.43 / Distribution of expected values --- p.44 / Portfolio expected value --- p.44 / Scenario Analysis and Formation of Loan Risk Measurement --- p.45 / Subsystem --- p.45 / Formation of an Integrated Risk Measurement --- p.45 / Active Management of Portfolio Risk --- p.49 / Chapter VIII. --- RISK ANALYSIS OF INTERNATIONAL INVESTMENT --- p.51 / Discounted-Cash-Flow Analysis --- p.51 / Net Present Value Approach --- p.51 / Internal Rate of Return Approach --- p.54 / Break-even Probability Analysis --- p.55 / Certainty-Equivalent Method --- p.56 / Chapter IX. --- CONSTRUCTING A MODEL FOR RISK ASSESSMENT --- p.58 / "Set up a Model to Estimate ""Capital at Risk""" --- p.58 / Obey the Minimum Standards --- p.60 / Audit and Verify the Model --- p.62 / Chapter X. --- METHODOLOGIES OF RISK MEASUREMENT / Measuring Market Risk : J P Morgan Risk Management Methodology - RiskMetrics´ёØ --- p.64 / Statistical Analysis of Returns and Risk --- p.66 / Market Moves and Locally Gaussian Processes --- p.72 / Stochastic Volatility --- p.72 / Risk and Optionality --- p.73 / Mapping and Term Structure of Interest Rates --- p.73 / Measuring Position Risk --- p.75 / The Simplified Portfolio Approach --- p.77 / The Comprehensive Approach --- p.81 / The Building-Block Approach --- p.83 / Chapter XI. --- ITEMS INVOLVED IN RISK MANAGEMENT --- p.85 / Management Control --- p.35 / Constructing Valuation Methodology --- p.90 / Contents of Reporting --- p.92 / Evaluation of Risk --- p.93 / Counterparty Relationships --- p.93 / Chapter XII. --- AFTERTHOUGHT --- p.95 / APPENDIX --- p.98 / BIBLIOGRAPHY --- p.108
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_320775 |
| Date | January 1996 |
| Contributors | Chan, Pui Man., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Publisher | Chinese University of Hong Kong |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 111 leaves ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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