Corporate Risk Management : Theory and Applications
Cover -- Title Page -- Copyright -- Contents -- Foreword -- Introduction -- General Presentation -- Contents of the Book -- Acknowledgments -- General References -- Chapter 1 Risk Management: Definition and Historical Development -- 1.1 History of Risk Management -- 1.2 Milestones in Financial Risk Management -- 1.3 Current Definition of Corporate Risk Management -- 1.4 Conclusion -- References -- Chapter 2 Theoretical Determinants of Risk Management in Non‐Financial Firms -- 2.1 Value of Risk Management -- 2.1.1 Expected Default Costs -- 2.1.2 Risk Premium to Stakeholders -- 2.1.3 Expected Tax Payments -- 2.2 Comparative Advantages in Risk Taking -- 2.3 Risk Management and Capital Structure -- 2.4 Risk Management and Managerial Incentives -- 2.5 Conclusion -- References -- Chapter 3 Risk Management and Investment Financing -- 3.1 Basic Model -- 3.2 Illustration with the Standard Debt Contract -- 3.3 Model with Two Random Variables -- 3.4 Conclusion -- References -- Appendix A: Value of dI*/dw -- Appendix B: Standard Debt Contract -- Chapter 4 Significant Determinants of Risk Management of Non‐Financial Firms -- 4.1 Rationale for the Research -- 4.2 Significant Determinants -- 4.2.1 Target Variable or Dependent Variable -- 4.2.2 Main Determinants and Their Measurement -- 4.2.3 Results of Estimations -- 4.3 Governance and Endogeneity of Debt -- 4.3.1 Model -- 4.3.2 Statistical Analysis -- 4.3.3 Empirical Results -- 4.4 Conclusion -- References -- Appendix: Construction of the Tax‐Save Variable -- Chapter 5 Value at Risk -- 5.1 Example of VaR -- 5.2 Numerical Method -- 5.3 Parametric Method -- 5.4 Taking Time Periods into Consideration -- 5.5 Confidence Interval of the VaR -- 5.6 CVaR -- 5.7 Conclusion -- References -- Chapter 6 Choice of Portfolio and VaR Constraint -- 6.1 Optimal Benchmark Portfolio of the Firm.
