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Assessing Risk Assessment: Towards Alternative Risk Measures for Complex Financial Systems

✍ Scribed by Christian Hugo Hoffmann (auth.)

Publisher
Gabler Verlag
Year
2017
Tongue
English
Leaves
377
Edition
1
Category
Library
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✦ Synopsis

Christian Hugo Hoffmann undermines the citadel of risk assessment and management, arguing that classical probability theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new class of models which focus on the knowledge dimension by precisely describing market participants’ own positions and their propensity to react to outside changes. The author closes his thesis by a synthetical reflection on methods and elaborates on the meaning of decision-making competency in a risk management context in banking. By choosing this poly-dimensional approach, the purpose of his work is to explore shortcomings of risk management approaches of financial institutions and to point out how they might be overcome.

✦ Table of Contents

Front Matter ....Pages i-xiv
Introduction (Christian Hugo Hoffmann)....Pages 1-19
Front Matter ....Pages 21-21
Introduction to Part I (Christian Hugo Hoffmann)....Pages 23-24
Literature Synthesis, Theoretical Background and Research Focus (Christian Hugo Hoffmann)....Pages 25-71
Research Questions (Christian Hugo Hoffmann)....Pages 73-74
On an Adequate Concept of Risk and Systemic Risk in the Realm of Banking (Christian Hugo Hoffmann)....Pages 75-102
On the Relevance of Systemic Risks for Banks (Christian Hugo Hoffmann)....Pages 103-121
Dealing with Quantitative Risk Management in Banking as a Complex Systems Problem (Christian Hugo Hoffmann)....Pages 123-158
The Fundamental Inadequacy of Probability Theory as a Foundation for Modeling Systemic and Extreme Risk in a Banking Context (Christian Hugo Hoffmann)....Pages 159-185
Conclusion to Part I (Christian Hugo Hoffmann)....Pages 187-194
Front Matter ....Pages 195-195
Introduction to Part II (Christian Hugo Hoffmann)....Pages 197-198
The Critical Turn: The Renaissance of Practical Wisdom (Christian Hugo Hoffmann)....Pages 199-204
Scenario Planning in a Nutshell and its Role in Risk Management in Banking (Christian Hugo Hoffmann)....Pages 205-212
Strengths and Weaknesses of Scenario Planning as a Risk Management Tool (Christian Hugo Hoffmann)....Pages 213-218
Deriving Lessons for Rethinking the Approach to Assessing Extreme and Systemic Risks (Christian Hugo Hoffmann)....Pages 219-222
Front Matter ....Pages 223-223
Introduction to Part III (Christian Hugo Hoffmann)....Pages 225-229
Theoretical Foundations of a Logic-Based Risk Modeling (LBR) Approach (Christian Hugo Hoffmann)....Pages 231-278
Case Study: LTCM and Extreme Risk (Christian Hugo Hoffmann)....Pages 279-290
Managerial Implications (Christian Hugo Hoffmann)....Pages 291-296
Scales of Measurement and Qualitative Probabilities (Christian Hugo Hoffmann)....Pages 297-302
Model Validation (Christian Hugo Hoffmann)....Pages 303-319
Front Matter ....Pages 321-321
Introduction to Part IV as Overall Conclusion (Christian Hugo Hoffmann)....Pages 323-324
Escaping the Traps for Logicians: Towards Decision- Making Competency in Risk Management (Christian Hugo Hoffmann)....Pages 325-337
Final Remarks and a Path for Future Research (Christian Hugo Hoffmann)....Pages 339-343
Back Matter ....Pages 345-377

✦ Subjects

Economic Theory/Quantitative Economics/Mathematical Methods

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