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Modern Risk Management: A History

Description:    Published in celebration of the 15th anniversary of Risk magazine, this commemorative title
                chronicles the major historical developments within the derivatives industry whilst presenting a
                wealth of new insights, perspectives and case studies on assorted risk management issues

                -Covers the theories, models, measures, applications, software and regulation issues that have
                shaped the industry and offers an abundance of realistic and considered future perspectives
                -Includes new perspectives on various risk related issues as well as new case studies on derivatives
                disasters and rogue trading
                -Each contributing author represents the pinnacle of their respective field including: John Hull, Mark
                Rubinstein and Robert Jarrow, Paul Samuelson and Robert Merton
                -Features anecdotal autobiographies from leading risk and finance figures in the field including,
                Nobel prize winners
                -A single-source volume covering every major theory and model - the definitive reference tool for
                the risk management professional or academic



Contents:       Contents
                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



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