Risk Books Rethinking Risk Measurement and Reporting: Volume II: v. 2

Model uncertainty must be accepted as an intrinsic part of risk measurement. This insight is the starting point for Rethinking Risk Measurement and Reporting, which identifies how uncertainty of risk figures can be better understood and expressed and how expert judgement can be absorbed into the fabric of modern risk management. Edited by Klaus Böcker and published in two volumes, Rethinking Risk Measurement and Reporting, will raise the reader s awareness of model and parameter uncertainty when using mathematical models in financial risk management. This second volume is divided into three sections and discusses a broad spectrum of financial applications, with practical examples, by risk type. Volume II builds on the foundations of the first volume, providing a higher degree and intensity of technical content. Tools and techniques are divided by their application for: - Market Risk - Credit Risk - Operational Risk Klaus Böcker has assembled leading practitioners and academics within risk management fraternity to provide a comprehensive and integrated approach for improving existing risk measurement, management and reporting. Review The financial crisis has clearly shown the dangers of overreliance on pure quantitative models, and there is now a widespread awareness that algorithms must be carefully calibrated through expert judgement. Yet, the latter has weaknesses of its own, unless managed through appropriate techniques and schemes. Award-winner Klaus Böcker, following his path-breaking contributions on Bayesian analysis in risk aggregation, now provides a rigorous yet refreshing book on how risk should be conceived and dealt with in financial institutions: definitely a must-read for those looking for new ideas to revive the dented axioms of risk management. --Andrea Resti, Bocconi University Rethinking Risk Measurement and Reporting is an important new collection of essays thst should have a significant impact on the practice of risk management in many fields. In particular, as the world tries to learn the lessons of the global financial crisis of 2007-9 this book should be required reading for both regulatory agencies and financial institutions. Klaus Böcker has created a well-organised and balanced development, with chapters written by some outstanding thinkers and researchers. His Introduction displays his own careful thought and makes a powerful case for adopting the tools of Bayesian analysis and expert judgement. The over-arching theme is uncertainty: uncertainty as the driver of risk, uncertainty and probability as the language of Bayesian statistics, and the role of expert judgement in quantifying and mitigating uncertainty. Risk is a multidisciplinary field, and Rethinking Risk Measurement and Reporting will be of interest to statisticians, psychologists and mathematical modellers, as well as to risk professionals. --Tony O'Hagan, University of Sheffield About the Author Klaus Böcker works as a senior risk controller in UniCredit Group and is the team head of Risk Analytics and Methods. In this capacity, one of his primary responsibilities is overseeing all quantitative aspects of UniCredit Group's economic capital model, in particular business risk, real-estate risk, financial investment risk and risk aggregation. Klaus is also a research fellow at the Center for Mathematical Sciences at the Technische Universität München. He is conducting research in various fields of finance where he has authored and co-authored several articles that have been published in various recognized finance and mathematical journals. Klaus is also a frequent speaker at international risk conferences and at seminars about risk management and quantitative finance. In 2007, 2008 and 2010, he won the PRMIA Institute s Award for New Frontiers in Risk Management related to his research activities. In August 2007, Klaus was inducted by his peers as a charter member of the international Risk Who's Who honor socie