Opis: Managing Uncertainty, Mitigating Risk - Fauziah Ariff, Nikan Firoozye

Financial risk management started in a period when academic finance was wedded to probability. Risk and its transferability was the focus and uncertainty was sidelined. After the recent financial crisis, uncertainty and its consequences have become a major concern for many prominent academics, yet practitioners are constrained by probability-based tools and regulatory mandates. Managing Uncertainty, Mitigating Risk offers a liberated perspective on uncertainty in banking and finance. The book stresses that uncertainty must be confronted by using a broader range of inputs, employing methods outside conventional probability. More often than not, systemic risks are not completely unforeseeable and a range of likely risk scenarios can be fleshed out, quantified and largely mitigated. We can accomplish this only if we widen our knowledgebase to include qualitative data and judgment. Probability and historical data alone cannot sufficiently model game-changing and catastrophic one-off situations such as Eurozone exit and breakup, US debt ceiling, and Brexit. This book presents a robust foundation and a novel and practical method for incorporating uncertainty into existing risk frameworks. It takes the reader beyond the realms of probability in modern finance, into imprecise probability - the mathematics of uncertainty. We introduce uncertain value-at-risk (UVaR), a measure which takes the VaR engine and enhances it using credal nets, an imprecise extension of Bayesian nets. Unlike the unjustified precision of probability-based models, UVaR helps to assesses uncertainty by incorporating expert insight through priors, with more extensive datasets. By combining a solid quantitative method with an implementation framework and cases, this book allows the reader to not only understand the solution for managing uncertain one-offs, but also to see the end-product. This is a starting point for risk practitioners to go beyond regulatory-initiated tools in order to employ their own approaches towards recognizing and managing uncertainty. 'For nearly a century, Frank Knight's distinction between risk and uncertainty has been much admired but rarely put to practical use. Finally, Firoozye and Ariff have done market practitioners a great service by distilling Knight's insight into the novel concept of UVaR - uncertain value-at-risk - and applying it to an insightful analysis of the Euro zone crisis. A seminal piece of work and a welcome addition to a risk manager's toolkit.' -Cheng Chih SUNG, Co-founder and CEO, Avanda Investment Management; former CRO, Government of Singapore Investment Corporation 'Over the last few years risk management has become increasingly focused on uncertainty. Firoozye and Ariff attempt to put real theory to what risk managers now do in practice. We know that planning for uncertainties is useful. I expect that as we develop these theories and the tools that flow from them we will generate important insights into resiliency and risk decisions. The example of the Eurozone is a particularly salient starting point.' -Lewis O'Donald, Global Chief Risk Officer, Nomura Holdings Inc. 'Lawyers have long used fallback clauses in contracts to prescribe the parties' behavior in the face of a largely unanticipated (but entirely foreseeable) course of events. As shown in Firoozye and Ariff's insightful new book, modern risk managers face an increasingly similar task; to identify, to quantify (however approximately), and wherever possible to mitigate foreseeable (but unpredictable) outcomes.' -Lee C. Buchheit, Partner, Cleary Gottlieb Steen & Hamilton LLP, and Chief Counsel for the Hellenic Republic's 2012 debt restructuring 'Working as a lawyer with Nick Firoozye, he challenges you to think differently and then really listens to what you say. He's one of the few thinkers who get to grips with how legal uncertainty and contractual ambiguity - from the Eurozone crisis to Russian sanctions and beyond- inform our models of financial risk.' -Bruce Railton, Former Head of Global Markets Legal Team, Nomura1. Definitions, Applications, Methods and Tools 2. The Mathematics of Uncertainty 3. The New Framework and Approach 4. Case studies 5. Conclusions

Szczegóły: Managing Uncertainty, Mitigating Risk - Fauziah Ariff, Nikan Firoozye

Tytuł: Managing Uncertainty, Mitigating Risk
Autor: Fauziah Ariff, Nikan Firoozye
Producent: Palgrave Macmillan
ISBN: 9781137334534
Rok produkcji: 2015
Ilość stron: 288
Oprawa: Twarda
Waga: 0.45 kg

Recenzje: Managing Uncertainty, Mitigating Risk - Fauziah Ariff, Nikan Firoozye