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The Known, the Unknown, and the Unknowable iin Financial Risk Management: |
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.
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. "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 Another Princeton book by Francis X. Diebold: Subject Areas: | |||||
Prices subject to change without notice File created: 11/4/2009 | |||||
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