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New Directions in Risk Management

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  • John Drzik

Abstract

Following the 1991 recession, financial institutions invested heavily in risk management capabilities. These investments targeted financial (credit, interest rate, and market) risk management. I will show that these investments helped reduce earnings and loss volatility during the 2001 recession, particularly by reducing name and industry-level credit concentrations. I also suggest that the industry now faces major risk challenges (better treatment of operational, strategic, and reputational risks and better integration of risk in planning, human capital management, and external reporting) that are not addressed by recent investments and that will require development of significant new risk disciplines. Copyright 2005, Oxford University Press.

Suggested Citation

  • John Drzik, 2005. "New Directions in Risk Management," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(1), pages 26-36.
  • Handle: RePEc:oup:jfinec:v:3:y:2005:i:1:p:26-36
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    References listed on IDEAS

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    Cited by:

    1. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics.
    2. Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
    3. Etienne Wasmer, 2009. "Links between labor supply and unemployment: theory and empirics," Journal of Population Economics, Springer;European Society for Population Economics, pages 773-802.
    4. J. Cummins & Georges Dionne & Robert Gagné & A. Nouira, 2009. "Efficiency of insurance firms with endogenous risk management and financial intermediation activities," Journal of Productivity Analysis, Springer, pages 145-159.

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