Neil A. Doherty. Integrated Risk Management

Techniques and strategies for managing corporate Risk.
Contents.
preface ix.
Part One.
Background Analysis.
Chapter.
The convergence of Insurance Risk management and Financial Risk management.
Insurance and Risk management.
The Growth of Derivatives markets.
The Intellectual climate.
Integrated Risk management.
Plan of the Book.
References.
Chapter.
Risk and Utility: Economic concepts and Decision Rules.
Derivation of Decision Rules.
Insurance and the Expected-Utility Rule.
Some Risk management Propositions for Individuals.
Dealing with One Risk When Faced with Another.
Alteative Decision Rules.
Conclusion.
References.
Chapter.
Moral Hazard and Adverse selectio.
Conclusion.
References.
Appendix.
Some Problems with the Rothschild–Stiglitz model.
Other Adverse selection models.
Chapter.
Portfolio theory and Risk management.
Description of an Insurance Portfolio.
Risk Reduction in an Insurance Portfolio of Independent, Heterogeneous Risks.
Measuring correlation between Risk Units.
Risk Reduction in an Insurance Portfolio of Interdependent Risks.
Risk Reduction with correlated Risks.
Three Applications.
Diversification and the Distribution of Aggregate Losses for the (Non-Insurance) Firm.
Conclusion.
References.
Chapter.
Capital market theory.
A capital market in Which Investors Hold Only One security.
Capital market Equilibrium with Diversification.
Testing the capital Asset Pricing model.
Implications for Financial management.
Implications for Risk management.
Conclusion.
References.
Chapter.
Derivatives and Options.
Forwards and Futures.
Options.
Swaps.
Some Applications of Options.
Conclusion.
References.
Part two.
Risk Management strategies.
Chapter.
Why Is Risk costly to Firms?
Risk and shareholder Diversification.
Why Is Risk costly to Firms?
Core Risk and Incidental Risk.
Which Firms Benefit from Managing Risk?
Some Evidence on the cost of Risk and Firm Value.
Conclusion: A transactions costs Explanation of corporate Risk Management.
References.
Chapter.
Risk Management strategy: Duality and Globality.
Duality in Risk Management strategy.
Classifying Risk Management strategies.
Integrated/Holistic Risk Management.
Conclusion.
References.
Chapter.
Post-loss Investment DeciDecisions and the Measurement of Loss.
Where Does the Value of a Firm come From?
How Value can Be Lost and Recaptured.
Mitigation and Optimal Post-loss Decisions: crisis Management.
Measuring Loss.
Reinvestment and Abandonment: some special Issues.
Conclusion.
References.
Chapter.
Post-loss Financing: Fundability and Dysfunctional Investment.
A sketch of the capital Structure Problem.
Recapturing Value through Post-loss Reinvestment.
Is Post-loss Investment Fundable?
Debt or Equity Refinancing?
Prime Autos Suffers a Liability Loss.
A More General Framework for comparing Post-loss Debt and Equity Financing.
Reintroducing corporate Taxes.
The Effect of Personal Taxes on Post-loss Financing.
Conclusion.
References.
Appendix.
Problem.
Problem.
Chapter.
Post-loss Financing: Liquidity and Debt Renegotiation.
Information Asymmetry–The Pecking Order Hypothesis.
Liquidity Problems and Post-loss Financing.
Liquidity crunches.
Renegotiations of Debt and Post-loss Underinvestment.
Conclusion.
References.
Chapter.
Contingent Financing.
Comparison of Post-loss Financing and Simple contingent Financing.
Contingent Financing: Size, Fundability, and Triggers.
Ex Ante Analysis of Loc.
contingent Equity–Loss Put Equity Options.
The Impact of Hedged Losses on Share Value: Feedback Effect.
Conclusion.
References.
Chapter.
Contingent Leverage Strategies and Hybrid Debt.
Risk Management and capital Structure.
Contingent Leverage Strategies and Hybrid Debt.
Reducing convexity of the Payoff.
Inclusion of a Liability Hedge.
Reduction in Bankruptcy costs.
Hybrid Debt and Financing Post-loss Investment.
Conclusion.
References.
Chapter.
Hedging and Insurance.
Review of Post-loss Financing and the Introduction of Insurance.
Pre-loss Analysis of Insurance versus Debt Financing.
Other Hedging Instruments.
Structuring Insurance and Hedging Programs.
Backing off a Full Basket Option Program (The Limits of Integration).
Conflict Resolution: Horizontal versus Vertical Programs.
Trading off Risk and Retu in Hedging Strategy: The Efficient Frontier.
Conclusion.
References.
Chapter.
Organizational Form and Risk Management: Limited Liability.
Extealizing costs with Limited Liability.
Extealizing costs–Ex Ante Analysis.
Limited Liability and Optimal Insurance.
Limited Liability, Safety, and Loss Prevention.
Implications for Social Policy.
Conclusion.
References.
Chapter.
A case Study: The Securitization of catastrophe Risk.
Catastrophe Reinsurance.
The Design Space.
Catastrophe Hedge Instruments.
Revisiting the Design Space.
Trading off Basis Risk and Moral Hazard–Indexed and Parameterized Triggers.
Conclusion.
References.
Appendix.
Index.