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Book Review of: Risk Management, by Michel Crouhy, Dan Galai and Robert Mark

Author

Listed:
  • Dahen, Héla

    (HEC Montreal, Canada Research Chair in Risk Management)

  • Dionne, Georges

    (HEC Montreal, Canada Research Chair in Risk Management)

Abstract

Risk Management offers comprehensive coverage of the design and operation of a risk management system: its technical modeling and its interplay with the external regulations by which such a system is governed. More specifically, it provides a framework for viewing the policies, methodologies, data collection, and technical infrastructure used to support risk management. Investment, hedging, and management strategies are discussed. Attention is given to the measurement of market, credit, and operational risks as integrated in a multi-period market model as well as to liquidity risk and other long-term, horizon-risk management policies. The book looks at the role of the risk manager, often a key member of the senior executive team in any firm where risk is a key factor affecting corporate value, such as in banks and other financial and non-financial organizations. In this book, the authors provide the product of their academic researches and their practical work in the field.

Suggested Citation

  • Dahen, Héla & Dionne, Georges, 2002. "Book Review of: Risk Management, by Michel Crouhy, Dan Galai and Robert Mark," Working Papers 02-3, HEC Montreal, Canada Research Chair in Risk Management.
    • Handle: RePEc:ris:crcrmw:2002_003
    as

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    File URL: https://www.risksresearch.com/_files/ugd/a6eed3_fd0212b6cbbc446493976a6ed67eb5e2.pdf
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    More about this item

    Keywords

    Risk management; banks; credit risk; market risk; Basel regulation; standard model; internal model; VaR; CreditMetrics;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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