Corporate Risk Management

A Case Study on Risk Evaluation

verfasst von: Dietmar Ernst, Joachim Häcker

Verlag: Springer Nature Switzerland

Buchreihe : Springer Texts in Business and Economics

Enthalten in: Springer Professional "Wirtschaft+Technik" , Springer Professional "Technik" , Springer Professional "Wirtschaft"

Inhaltsverzeichnis

Über dieses Buch

In times of crisis, risk management is more important than ever. In addition, companies are obliged to identify, quantify and aggregate risks as part of a risk management system. Legal and auditing standards have set the framework for doing so. This book uses a case study to show ‘step by step’ how risks can be analyzed and quantified with the help of Microsoft Excel. The book begins with the graphical representation of risks and the calculation of risk parameters such as the value at risk. It subsequently aggregates different risks into an overall risk using Monte Carlo simulation. Hedging risks is also explained, and how non-hedgeable risks can be integrated into a business plan. The assessment of extreme risks is also addressed, as is the modeling of volatilities. The book is aimed at students of business administration with a focus on finance.

Inhaltsverzeichnis

Frontmatter

Part I

Frontmatter

Course Unit 1: Graphical Representation of Risks

Abstract

Course unit 1: Graphical illustration of risks.

You receive a data set consisting of three assets representing commodity price change risk, exchange rate risk and interest rate risk.
You will get to know the different calculations of discrete and continuous returns and will be able to calculate them for different periods of time.
You will be able to represent continuous and discrete returns graphically and explain the statis-tical concepts behind them.
You will be able to calculate skewness and kurtosis and interpret their contents.

Dietmar Ernst, Joachim Häcker

Course Unit 2: Variance and Standard Deviation

Abstract

Course unit 2: Variance and standard deviation.

You will be calculating the variance and standard deviation as well as the semivariance and semistandard deviation.
You will be able to calculate these risk measures for different time periods.

Dietmar Ernst, Joachim Häcker

Course Unit 3: Models for Calculating Volatility

Abstract

Course unit 3: Models for calculating volatility.

You will be made familiar with and understand various methods of calculating moving volatilities and be able to explain them.
You will be able to explain the differences and similarities between the EWMA, ARCH and GARCH models and point out their respective advantages and disadvantages.
You will perform optimizations for these procedures.

Dietmar Ernst, Joachim Häcker

Part II

Frontmatter

Course Unit 1: Different Types of Value at Risk and Lower Partial Moments and Extreme Value Theory

Abstract

Course unit 1 Different types of Value at Risk and Lower Partial Moments and Extreme Value Theory.

You will calculate Value at Risk, Relative Value at Risk and Conditional Value at Risk (Expected Shortfall) for discrete and continuous returns.
You will be able to explain the advantages and disadvantages of using discrete and continuous returns in the Value at Risk calculation.
You will be able to display the results graphically.
You will be familiarized with the concepts of Lower Partial Moments and will be able to calcu-late and interpret them.
You will get to know the special features of Extreme Value Theory and can differentiate these from the Value at Risk concepts and name advantages and disadvantages.
You will be able to calculate risks using Extreme Value Theory.

Dietmar Ernst, Joachim Häcker

Course Unit 2: Determination of Portfolio Risks

Abstract

You will be able to calculate the portfolio risk with the variance-covariance method and place the concept in modern capital market theory.
You will have mastered portfolio risk calculation using historical simulation and will be able to explain the differences from the variance-covariance method.
You will be able to perform Monte Carlo simulations for normally distributed and calibrated risk parameters and explain differences in the results.
You will be familiarized with the concept of Copula functions, explaining them and using them to calculate portfolio risk. Also, you will calculate the market value of equity using stock market multiples.

Dietmar Ernst, Joachim Häcker

Course Unit 3: Hedging of Hedgeable Risks and Modelling of Non-hedgeable Risks

Abstract

Money Market Futures.

You will be able to identify hedgeable and non-hedgeable risks in the company.
You will be familiar with various instruments for hedging financial risks.
You will be able to hedge interest rate risks with futures/forwards, swaps and options.
You will be able to incorporate non-hedgeable risks into a company’s business plan.
You will understand the differences between planned values and expected values.
You will aggregate individual risks in the business plan using Monte Carlo simulation.
You will calculate different risk ratios based on the Monte Carlo simulation.

Dietmar Ernst, Joachim Häcker

General Structure of the Case Study

Abstract

This chapter gives you an overview of the structure of the case study and the philosophy of the book.

Dietmar Ernst, Joachim Häcker

Backmatter

Titel: Corporate Risk Management
verfasst von: Dietmar Ernst
Joachim Häcker
Verlag: Springer Nature Switzerland
Electronic ISBN: 978-3-031-53126-2
Print ISBN: 978-3-031-53125-5
DOI: https://doi.org/10.1007/978-3-031-53126-2