Skip to main content
×
Home
Financial Enterprise Risk Management
  • Export citation
  • Recommend to librarian
  • Recommend this book

    Email your librarian or administrator to recommend adding this book to your organisation's collection.

    Financial Enterprise Risk Management
    • Online ISBN: 9781316882214
    • Book DOI: https://doi.org/10.1017/9781316882214
    Please enter your name
    Please enter a valid email address
    Who would you like to send this to? *
    ×
  • Buy the print book

Book description

This comprehensive, yet accessible, guide to enterprise risk management for financial institutions contains all the tools needed to build and maintain an ERM framework. It discusses the internal and external contexts with which risk management must be carried out, and it covers a range of qualitative and quantitative techniques that can be used to identify, model and measure risks. This new edition has been thoroughly updated to reflect new legislation and the creation of the Financial Conduct Authority and the Prudential Regulation Authority. It includes new content on Bayesian networks, expanded coverage of Basel III, a revised treatment of operational risk and a fully revised index. Over 100 diagrams are used to illustrate the range of approaches available, and risk management issues are highlighted with numerous case studies. This book also forms part of the core reading for the UK actuarial profession's specialist technical examination in enterprise risk management, ST9.

Reviews

Review of previous edition:'Provides all the tools required to build and maintain a comprehensive ERM framework, covering a range of qualitative and quantitative techniques and their uses in identifying, assessing, modelling and measuring risk.'

Source: Actuary Magazine

Refine List
Actions for selected content:
Select all | Deselect all
  • View selected items
  • Export citations
  • Download PDF (zip)
  • Send to Kindle
  • Send to Dropbox
  • Send to Google Drive
  • Send content to

    To send content items to your account, please confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your account. Find out more about sending content to .

    To send content to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about sending to your Kindle.

    Note you can select to send to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be sent to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

    Find out more about the Kindle Personal Document Service.

    Please be advised that item(s) you selected are not available.
    You are about to send:
    ×

Save Search

You can save your searches here and later view and run them again in "My saved searches".

Please provide a title, maximum of 40 characters.
×
References
Activities and Supervision of Institutions for Occupational Retirement Provision Directive 2003/41/EC. 2003.
Akerlof G.A. 1970. TheMarket for ‘Lemons’: Quality Uncertainty and the Market Mechanism. Quarterly Journal of Economics, 84(3), 488–500.
Altman E.I. 1968. Financial Ratios, DiscriminantAnalysis and the Prediction of Corporate Bankruptcy. Journal of Finance, 23(4), 589–609.
Andersen L.B.G., and Piterbarg V.V. 2010a. Interest Rate Modeling. Volume 1: Foundations and Vanilla Models. London, England: Atlantic Financial Press.
Andersen L.B.G., and Piterbarg V.V. 2010b. Interest Rate Modeling. Volume 2: Term Structure Models. London, England: Atlantic Financial Press.
Andersen L.B.G., and Piterbarg V.V. 2010c. Interest Rate Modeling. Volume 3: Products and Risk Management. London, England: Atlantic Financial Press.
Arcot S.R., and Bruno V. 2006. In Letter but not in Spirit – An Analysis of Corporate Governance in the UK. SSRN working paper.
Artzner P., Delbaen F., Eber J.-M., and Heath D. 1999. Coherent Measures of Risk. Mathematical Finance, 9(3), 203–228.
Auditing Practices Board. 2008. Ethical Standards.
Australia Financial System Legislation Amendment (Financial Claims Scheme and Other Measures) Act. 2008.
Azzalini A., and Capitanio A. 2003. Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew t-Distribution. Journal of the Royal Statistical Society Series B, 65(2), 367–389.
Bagehot W. 1972. Risk and Reward in Corporate Pension Funds. Financial Analysts Journal, 28(1), 80–84.
Bahar R., and Brand L. 1998. Recoveries on Defaulted Bonds tied to Seniority Rankings. Standard and Poor's.
Bailey J.V. 1992a. Are Manager Universes Acceptable PerformanceBenchmarks? Journal of Performance Management, 18(3), 9–13.
Bailey J.V. 1992b. Evaluating Benchmark Quality. Financial Analysts Journal, 48(3), 33–39.
Barrieu P., and Albertini L. (eds). 2009. The Handbook of Insurance-Linked Securities. Chichester, England: John Wiley & Sons Ltd.
Basel Committee on Banking Supervision. 2001. Working Paper on the Regulatory Treatment of Operational Risk.
Basel Committee on Banking Supervision. 2003. Sound Practices for the Management and Supervision of Operational Risk.
Basel Committee on Banking Supervision. 2004. International Convergence of Capital Measurement and Capital Standards – A Revised Framework.
Basel Committee on Banking Supervision. 2008. Principles for Sound Liquidity RiskManagement and Supervision.
Basel Committee on Banking Supervision. 2009a. Enhancements to the Basel II Framework.
Basel Committee on Banking Supervision. 2009b. Revisions to the Basel II Market Risk Framework.
Basel Committee on Banking Supervision. 2010. Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems.
Basel Committee on Banking Supervision. 2011a. Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems (Revised).
Basel Committee on Banking Supervision. 2011b. Global Systemically Important Banks: Assessment Methodology and the Additional Loss Absorbency Requirement.
Basel Committee on Banking Supervision. 2013. Global Systemically Important Banks: Updated Assessment Methodology and the Higher Loss Absorbency Requirement.
Basel Committee on Banking Supervision. 2014. Basel III Leverage Ratio Framework and Disclosure Requirements.
Basel Committee on Banking Supervision. 2016. Minimum Capital Requirements forMarket Risk.
Basle Committee on Banking Supervision. 1988. International Convergence of Capital Measurement and Capital Standards.
Basle Committee on Banking Supervision. 1996. Amendment to the Capital Accord to Incorporate Market Risks.
Baxter N.D. 1967. Leverage, Risk of Ruin and the Cost of Capital. Journal of Finance, 22(3), 395–403.
Besar D., Booth P., Chan K.K., Milne A.K.L., and Pickles J. 2011. Systemic Risk in Financial Services. British Actuarial Journal, 16(2), 195–300.
Bhattacharya U., and Daouk H. 2002. The World Price of Insider Trading. Journal of Finance, 57(1), 75–108.
Birla K.M. 2002. Report of the Kumar Mangalam Birla Committee on Corporate Governance. Securities and Exchange Board of India.
Black F. 1980. The Tax Consequences of Long-Run Pension Policy. Financial Analysts Journal, 36(4), 21–28.
Black F., and Karasinski P. 1991. Bond and Option Prices when Short Rates are Lognormal. Financial Analysts Journal, 47(4), 52–59.
Black F., and Litterman R. 1992. Global Portfolio Optimization. Financial Analysts Journal, 48(5), 28–43.
Black F., and Scholes M. 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637–654.
Blackburn R. 2002. Banking on Death, or Investing in Life – the History and Future of Pensions. London, England: Verso.
Blake D. 2003. Pension Schemes and Pension Funds in the United Kingdom. Oxford, England: Oxford University Press.
Blake D. 2005. Pension Funds Need Three Pillars Too – what the Pension Protection Fund Can Learn from the Financial Regulation of Banks and Insurance Companies. Paper Presented to the Savings, Pension Provision and Retirement Programme at the University of Exeter.
Blake D., and Burrows W. 2001. Survivor Bonds – Helping to Hedge Mortality Risk. Journal of Risk and Insurance, 68(2), 339–348.
Blomqvist N. 1950. On a Measure of Dependence between Two Random Variables. Annals of Mathematical Statistics, 21(4), 593–600.
Board of Banking Supervision. 1995. Report of the Board of Banking Supervision Inquiry into the Circumstances of the Collapse of Barings.
Bodie Z., Light J.O., Mørck R., and Taggart R.A. 1987. Funding and Asset Allocation in Corporate Pension Plans – an Empirical Investigation. In: Bodie Z., Shoven J.B., and Wise D.A. (eds), Issues in Pension Economics. Chicago, Illinois: University of Chicago Press.
Box G., and Jenkins G. 1970. Time Series Analysis: Forecasting and Control. San Francisco, California: Holden–Day.
Branco M.D., and Dey D.K. 2001. A General Class of Multivariate Skew Elliptical Distributions. Journal of Multivariate Analysis, 79(1), 99–113.
Brennan M.J., and Schwartz E.S. 1982. An Equilibrium Model of Bond Pricing and a Test of Market Efficiency. Journal of Financial and Quantitative Analysis, 17(3), 301–329.
Brouhns N., Denuit M., and Vermunt J.K. 2002. A Poisson Log-bilinear Regression Approach to the Construction of Projected Life-Tables. Insurance: Mathematics and Economics, 31(3), 373–393.
BSi British Standards. 2008. BS 31100:2008 – Risk Management Code of Practice.
Buckmaster D., and Saniga E. 1990. Distributional Forms of Financial Accounting Ratios – Pearson's and Johnson's Taxonomies. Journal of Economic and Social Measurement, 16(3), 149–166.
Bühlmann H., and Gisler A. 2005. A Course in Credibility Theory and its Applications. Berlin, Germany: Springer.
Burtschell X., Gregory J., and Laurent J.-P. 2009. A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework. Journal of Derivatives, 16(4), 9–37.
Cadbury A. 1992. Report of the Committee on the Financial Aspects of Corporate Governance. The Committee on the Financial Aspects of Corporate Governance.
Cairns A.J.G. 2000. A Discussion of Parameter and Model Uncertainty in Insurance. Insurance: Mathematics and Economics, 27(3), 313–330.
Cairns A.J.G. 2004. Interest RateModels: An Introduction. Princeton, New Jersey: Princeton University Press.
Cairns A.J.G., Blake D., and Dowd K. 2006. A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration. Journal of Risk and Insurance, 73(4), 687–718.
Cairns A.J.G., Blake D., Coughlan G., Epstein D., Ong A., and Balevich I. 2009. A Quantitative Comparison of Stochastic Mortality Models using Data from England and Wales and the United States. North American Actuarial Journal, 13(1), 1–35. Canada Business Corporations Act. 1985.
CFA Institute. 2014. Code of Ethics and Standards of Professional Conduct.
Chapman R.J. 2006. Simple Tools and Techniques for Enterprise Risk Management. Chichester, England: John Wiley & Sons Ltd.
Charniak E. 1991. Bayesian Networks without Tears. AI Magazine, 12(4), 50–63.
Chernow R. 2010. The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance. New York, New York: Grove Press.
Cherubini U., Luciano E., and Vecchiato W. 2004. Copula Methods in Finance. Chichester, England: JohnWiley & Sons Ltd.
Chief Risk Officer Forum. 2008. Liquidity Risk Management – Best Risk Management Practices.
Chow G.C. 1960. Tests of Equality between Sets of Coefficients in Two Linear Regressions. Econometrica, 28, 591–605.
Committee of Sponsoring Organizations of the Treadway Commission. 2004. Enterprise Risk Management – Integrated Framework.
Copeland T.E.,Weston J.F., and Shastri K. 2004. Financial Theory and Corporate Policy. Reading, Massachusetts: Addison-Wesley.
Corley R.D. 2001. Report of the Corley Committee of Inquiry regarding the Equitable Life Assurance Society. Institute and Faculty of Actuaries.
Cortes C., and Vapnik V. 1995. Support Vector Networks. Machine Learning, 20(3), 273–297.
Cowell R.G., Verrall R.J., and Yoon Y.K. 2007. Modeling Operational Risk with Bayesian Networks. Journal of Risk and Insurance, 74(4), 795–827.
Cox J.C., Ingersoll J.E., and Ross S.A. 1985. A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385–407.
Crosbie P., and Bohn J. 2003. Modeling Default Risk. Moody's KMV.
Crouzet F. 1982. The Victorian Economy. London, England: Methuen.
Cruz M. (ed). 2009. The Solvency 2 Handbook: Developing Enterprise Risk Management Frameworks in Insurance and Reinsurance Companies. London, England: Risk Books.
de Haan L., and Ferreira A. 2006. Extreme Value Theory – An Introduction. NewYork, New York: Springer Science & Business Media.
de Jong P., and Heller G.Z. 2008. Generalized Linear Models for Insurance Data. Cambridge, England: Cambridge University Press.
de Servigny A., and Renault O. 2004. Measuring and Managing Credit Risk. NewYork, New York: McGraw Hill.
DeAngelo H., and Masulis R.W. 1980. Optimal Capital Structure under Corporate and Personal Taxation. Journal of Financial Economics, 8(1), 3–29.
Dennett L. 2004. Mind over Data – an Actuarial History. Cambridge, England: Granta Editions.
Department of Labor. 2008. §2509.08-2 Interpretive bulletin relating to the exercise of shareholder rights and written statements of investment policy, including proxy voting rights or guidelines. United States.
Dexter N.C., Ford C.L., Jakhria P.C., Kelliher P.O.J., McCall D., Mills C.K., Probyn A.C., Raddall P.A., and Ryan J. 2007. Quantifying Operational Risk in Life Insurance Companies. British Actuarial Journal, 13(2), 257–337.
Dey P. 1994. Where Were the Directors? Guidelines for Improved Corporate Governance in Canada. Toronto Stock Exchange.
Dickey D.A., and Fuller W.A. 1979. Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74(366a), 427–431.
Dickey D.A., and Fuller W.A. 1981. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root. Econometrica, 49, 1057–1072.
Dickson D.C.M., Hardy M.R., and Waters H.R. 2009. Actuarial Mathematics for Life Contingent Risks. Cambridge, England: Cambridge University Press.
Dimson E., Marsh P., and Staunton M. 2002. Triumph of the Optimists – 101 Years of Global Investment Returns. Princeton, New Jersey: Princeton University Press.
Dowd K. 2003. Survivor Bonds – A Comment on Blake and Burrows. Journal of Risk and Insurance, 70(2), 339–348.
Dowd K. 2005. Measuring Market Risk. Chichester, England: JohnWiley & Sons Ltd.
Durbán M., Currie I., and Eilers P. 2002. Using P-splines to Smooth Two-Dimensional Poisson Data. working paper.
Durbin J. 1970. Testing for Serial Correlation in Least Squares Regression, when Some of the Regressors are Lagged Dependent Variables. Econometrica, 38(3), 410–421.
Durbin J., and Watson G.S. 1950. Testing for Serial Correlation in Least Squares Regression: I. Biometrika, 37, 409–428.
Durbin J., and Watson G.S. 1951. Testing for Serial Correlation in Least Squares Regression: II. Biometrika, 38, 159–178.
Easterbrook F.H., and Fischel D.R. 1985. Optimal Damages in Securities Cases. University of Chicago Law Review, 52(3), 611–641.
EC Capital Requirements Directive 2006/39/EC. 2006.
EC Deposit Guarantee Schemes Directive 2009/14/EC. 2009.
EC Deposit Guarantee Schemes Directive 94/19/EC. 1994.
EC Life Directive 2002/83/EC. 2002.
EC Market Abuse Directive 2003/6/EC. 2003.
EC Markets in Financial Instruments Directive 2004/39/EC. 2004.
EC Non-Life Directive 2002/13/EC. 2002.
EC Solvency II Directive 2009/138/EC. 2009.
EEC First Life Directive 79/267/EEC. 1979.
EEC First Non-Life Directive 73/239/EEC. 1973.
Eeckhoudt L., Gollier C., and Schlesinger H. 2005. Economic and Financial Decisions under Risk. Princeton, New Jersey: Princeton University Press.
Eilers P.H.C., and Marx B.D. 1996. Flexible Smoothing using Splines and Penalties. Statistical Science, 11(2), 89–121.
Eilers P.H.C., and Marx B.D. 2010. Splines, Knots and Penalties. Wiley Interdisciplinary Reviews – Computational Statistics, 2(6), 637–653.
Elkind P., and McLean B. 2004. The Smartest Guys in the Room. London, England: Penguin.
Elton E.J, Gruber M.J., Brown S.J, and Goetzmann W.N. 2003. Modern Portfolio Theory and Investment Analysis. Hoboken, New Jersey: John Wiley & Sons Ltd.
Embrechts P., Lidskog F., and McNeil A.J. 2001. Modelling Dependence with Copulas and Applications to Risk Management. Unpublished Working Paper.
Embrechts P., McNeil A.J., and Strauman D. 2002. Correlation and Dependency in Risk Management: Properties and Pitfalls. In: Dempster M. (ed), RiskManagement: Value at Risk and Beyond. Cambridge, England: Cambridge University Press.
EU Capital Requirements Directive 2013/36/EU. 2013.
EU Delegated Regulation 2015/35/EU supplementing Solvency II. 2015.
EU Deposit Guarantee Schemes Directive 2014/49/EU. 2014.
EU Markets in Financial Instruments and Amending Regulation 600/2014. 2014.
EU Markets in Financial Instruments Directive 2014/65/EU. 2014.
Exley C.J., Mehta S.J.B., and Smith A.D. 1999. Pension Funds – A CompanyManager's View. Paper Presented to the Joint Institute and Faculty of Actuaries Investment Conference.
Fama E.F., and MacBeth J.D. 1973. Risk, Return and Equilibrium – Empirical Tests. Journal of Political Economy, 81(3), 607–636.
Feynman R.P. 1988. What do You Care what Other People Think? London, England: Penguin.
Financial Conduct Authority. 2015. FCA Handbook.
Financial Reporting Council. 2005a. Guidance on Audit Committees (The Smith Guidance).
Financial Reporting Council. 2005b. Internal Control – Revised Guidance for Directors on the Combined Code.
Financial Reporting Council. 2008. Combined Code on Corporate Governance.
Financial Reporting Council. 2010. The UK Corporate Governance Code.
Financial Reporting Council. 2012. The UK Corporate Governance Code.
Financial Reporting Council. 2014. The UK Corporate Governance Code.
Financial Reporting Council. 2016. The UK Corporate Governance Code.
Financial Services Authority. 2000. The Combined Code – Principles of Good Governance and Code of Best Practice.
Financial Services Authority. 2004. Integrated Prudential Sourcebook.
Fisher J.B. 2010. When MoneyWas In Fashion: Henry Goldman, Goldman Sachs, and the Founding of Wall Street. New York, New York: Palgrave Macmillan.
Fisher R.A. 1936. The Use of Multiple Measurements in Taxonomic Problems. Annals of Eugenics, 7(2), 179–188.
Fitch Ratings. 2009. Corporate Rating Methodology.
Fréchet M. 1951. Sur les tableaux de corrélation dont les marges sont données. Annales de l'Université de Lyon Serie 3, 14, 53–77.
Fréchet M. 1957. Sur les tableaux de corrélation dont les marges et des bornes sont données. Annales de l'Université de Lyon Serie 3, 20, 13–31.
Frees E.W. 2010. Regression Modeling with Actuarial and Financial Applications. Cambridge, England: Cambridge University Press.
Frees E.W., and Valdez E.A. 1998. Understanding Relationships Using Copulas. North American Actuarial Journal, 2(1), 1–25.
Galbraith J.K. 2009. The Great Crash 1929. London, England: Penguin.
Giesecke K. 2003. A Simple ExponentialModel for DependentDefaults. Journal of Fixed Income, 13(3), 74–83.
Gilbart J.W. 1834. The History and Principles of Banking. London, England: Longman, Rees, Orme, Brown, Green and Longman.
Gladwell M. 2008. Outliers – the Story of Success. London, England: Allen Lane.
Gompertz B. 1825. On the Nature of the Function Expressive of the Law of Human Mortality, and on a New Mode of Determining the Value of Life Contingencies. Philosophical Transactions of the Royal Society, 115(1), 513–585.
Good I.J. 1969. Some Applications of the Singular Decomposition of a Matrix. Technometrics, 11(4), 823–831.
Goode R. 1993. Pension Law Reform: The Report of the Pension Law Review Committee. Pension Law Review Committee.
Gorsky M. 1998. The growth and distribution of English friendly societies in the early nineteenth century. Economic History Review, 51(3), 489–511.
Graham J.R. 1996. Proxies for the Corporate Marginal Tax Rate. Journal of Financial Economics, 42(2), 187–221.
Green E. 1989. Banking – An Illustrated History. Oxford, England: Phaedon.
Greenbury R. 1995. Directors' Remuneration. Greenbury Committee.
Greene W.H. 2003. Econometric Analysis. Upper Saddle River, New Jersey: Prentice Hall.
Gupton G.M., Finger C.C., and Bhatia M. 1997. CreditMetrics Technical Document. J.P. Morgan.
Hamilton J.D. 1994. Time Series Analysis. Princeton, New Jersey: Princeton University Press.
Hampel R. 1998. Corporate Governance. Hampel Committee.
Hannah L. 1986. Inventing Retirement – the Development of Occupational Pensions in Britain. Cambridge, England: Cambridge University Press.
Harris M., and Raviv A. 1990. Capital Structure and the Informational Role of Debt. Journal of Finance, 45(2), 321–349.
Harvard College v Amory 26 Mass 446. 1830.
Haugen R.A., and Senbet L.W. 1978. The Insignificance of Bankruptcy Costs to the Theory of Optimal Capital Structure. Journal of Finance, 33(2), 383–393.
Haugen R.A., and Senbet L.W. 1988. Bankruptcy and Agency Costs – their Significance to the Theory of Optimal Capital Structure. Journal of Finance and Quantitative Analysis, 23(1), 27–38.
He G., and Litterman R. 1999. The Intuition Behind Black-Litterman Model Portfolios. Goldman Sachs Quantitative Resources Group.
Higgs D. 2003. Review of the Role and Effectiveness of Non-Executive Directors. Department of Trade and Industry.
HM Treasury. 2004. The Orange Book – Management of Risk, Principles and Concepts.
Ho T.S.Y., and Lee S.B. 1986. Term Structure Movements and Pricing Interest Rate Contingent Claims. Journal of Finance, 41(5), 1011–1029.
Höffding W. 1940. Massstabinvariante Korrelationstheorie. Schriften des Mathematischen Seminars und des Instituts für Angewandte Mathematik der Universität Berlin, 5(3), 181–233.
Holland R.G., and Sutton N.A. 1988. The Liability Nature of Unfunded Pension Obligations Since ERISA. Journal of Risk and Insurance, 55(1), 32–58.
Hull J.C. 2009. Options, Futures and Other Derivatives. Upper Saddle River, New Jersey: Pearson.
Hull J.C., and White A. 1994a. Numerical Procedures for Implementing Term Structure Models I. Journal of Derivatives, 2(1), 7–16.
Hull J.C., and White A. 1994b. Numerical Procedures for Implementing Term Structure Models II. Journal of Derivatives, 2(2), 37–48.
Institute and Faculty of Actuaries. 2013. The Actuaries' Code.
Institute of Directors. 2008a. The Duties, Responsibilities and Liabilities of Directors.
Institute of Directors. 2008b. The Key Differences between Directors and Managers.
Institute of Risk Management, Association of Insurance and Risk Managers, and ALARM – National Forum for Risk Management in the Public Sector. 2002. A Risk Management Standard.
Institute of Risk Management, Association of Insurance and Risk Managers, and ALARM – National Forum for Risk Management in the Public Sector. 2009. A Structured Approach to Enterprise Risk Management (ERM) and the Requirements of ISO 31000.
International Actuarial Association. 2004. A Global Framework for Insurer Solvency Assessment: Report of the Insurer Solvency Assessment Working Party.
International Actuarial Association. 2008. Practice Note on Enterprise Risk Management for Capital and Solvency Purposes in the Insurance Industry.
International Organization for Standardization. 2009. Risk Management: Principles and Guidelines – ISO 31000:2009.
Jarque C.M., and Bera A.K. 1980. Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals. Economics Letters, 6(3), 255–259.
Jarque C.M., and Bera A.K. 1981. Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals: Monte Carlo Evidence. Economics Letters, 7(4), 313–318.
Jarque C.M., and Bera A.K. 1987. A Test for Normality of Observations and Regression Residuals. International Statistical Review, 55(2), 163–172.
Jensen M.C. 1986. Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers. American Economic Review, 76(2), 323–329.
Jensen M.C., and Meckling W.H. 1976. Theory of the Firm – Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics, 3(4), 305– 360.
Johnson R.A., and Bhattacharyya G.K. 2010. Statistics: Principles and Methods. Chichester, England: JohnWiley & Sons Ltd.
Johnston J., and Dinardo J. 1997. EconometricMethods. New York, New York: McGraw- Hill.
Jones A.R., Copeman P.J., Gibson E.R., Line N.J.S., Lowe J.A., Martin P., Matthews P.N., and Powell D.S. 2006. A Change Agenda for Reserving. British Actuarial Journal, 12(3), 435–619.
Jorion P. 1995. Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County. Burlington, Massachusetts: Academic Press.
Kahneman D., and Tversky A. 1979. Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), 263–291.
Kealhofer S. 2003a. Quantifying Credit Risk I: Default Prediction. Financial Analysts Journal, 59(1), 30–44.
Kealhofer S. 2003b. Quantifying Credit Risk II: Debt Valuation. Financial Analysts Journal, 59(3), 78–92.
Kelliher P.O.J., Wilmot D., Vij J., and Klumpes P.J.M. 2013. A Common Risk Classification System for the Actuarial Profession. British Actuarial Journal, 18(1), 91–121.
Keyworth J. 1994. Our Debt to the Goldsmiths. Pages 34–36 of: Goldsmiths Review. London, England: Worshipful Company of Goldsmiths.
Kim E.H. 1978. A Mean-Variance Theory of Optimal Capital Structure and Corporate Debt Capacity. Journal of Finance, 33(1), 45–63.
Kim E.H. 1982. Miller's Equilibrium, Shareholder Leverage Clienteles and Optimal Capital Structure. Journal of Finance, 37(2), 301–319.
King M.E. 1994. The King Report on Corporate Governance. Institute of Directors in Southern Africa.
King M.E. 2002. The King Report on Corporate Governance for South Africa. Institute of Directors in Southern Africa.
King M.E. 2009. The King Report on Governance for South Africa. Institute of Directors in Southern Africa.
King M.E. 2016. King IV: Report on Governance for South Africa. Institute of Directors in Southern Africa.
Kirby M. 1998. The Governance Practices of Institutional Investors: Report of the Standing Senate Committee on Banking, Trade and Commerce. Senate of Canada.
Knight F.H. 1921. Risk, Uncertainty and Profit. Boston, Massachusetts: Hart, Schaffner & Marx; Houghton Mifflin Co.
Kohn M. 1999. Merchant Banking in the Medieval and Early Modern Economy. Dartmouth College Department of EconomicsWorking Paper 99-05.
Kolari J., McInish T.H., and Saniga E. 1989. A Note on the Distribution Types of Financial Ratios in the Commercial Banking Industry. Journal of Banking and Finance, 13(3), 463–471.
Lam J. 2003. Enterprise Risk Management – from Incentives to Controls. Hoboken, New Jersey: John Wiley & Sons Ltd.
Lee P.J., and Wilkie A.D. 2000. A Comparison of Stochastic Asset Models. Paper Presented to the AFIR Colloquium at Tromsø, Norway.
Lee R.D., and Carter L.R. 1992. Modeling and Forecasting U.S. Mortality. Journal of the American Statistical Association, 87(419), 659–671.
Leitch M. 2010. ISO 31000:2009 – The New International Standard on RiskManagement. Risk Analysis, 30(6), 887–892.
Leland H.E., and Pyle D.H. 1977. Informational Asymmetries, Financial Structure, and Financial Intermediation. Journal of Finance, 32(2), 371–387.
Lewin C.G. 2003. Pensions and Insurance Before 1800 – a Social History. East Linton, Scotland: Tuckwell Press.
Li D.X. 2000. On Default Correlation – A Copula Function Approach. Riskmetrics Working Paper 99-07.
Linstone H.A., and Turoff M. 2002. The Delphi Method - Techniques and Applications. available online at http://is.njit.edu/pubs/delphibook/delphibook.pdf.
Lintner J. 1965. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47(1), 13–37.
Lloyd's of London. 2006. Famously Providing Insurance.
Lowenstein R. 2002. When Genius Failed – the Rise and Fall of Long Term Capital Management. London, England: Fourth Estate.
Mahalanobis P.C. 1936. On the Generalised Distance in Statistics. Proceedings of the National Institute of Sciences of India, 2(1), 49–55.
Malevergne Y., and Sornette D. 2006. Extreme Financial Risks: From Dependence to Risk Management. Berlin, Germany: Springer-Verlag.
Marcus A.J. 1987. Corporate Pension Policy and the Value of PBGC Insurance. In: Bodie Z., Shoven J.B., and Wise D.A. (eds), Issues in Pension Economics. Chicago, Illinois: University of Chicago Press.
Mardia K.V. 1970. Measures of Multivariate Skewness and Kurtosis with Applications. Biometrika, 57(3), 519–530.
Marshall A., and Olkin I. 1967. A Multivariate Exponential Distribution. Journal of the American Statistical Association, 62(317), 30–44.
Marx B.D., and Eilers P.H.C. 1999. Generalized Linear Regression on Sampled Signals and Curves – A P-Spline Approach. Technometrics, 41(1), 1–13.
Matsumoto M., and Nishimura T. 1998. Mersenne Twister – a 623-Dimensionally Equidistributed Uniform Pseudo-Random Number Generator. ACM Transactions on Modeling and Computer Simulation, 8(1), 3–30.
Matten C. 2000. Managing Bank Capital. Chichester, England: John Wiley & Sons Ltd.
McCarthy D.G., and Neuberger A. 2002. Pricing Pension Insurance: The Proposed Levy Structure for the Pension Protection Fund. Fiscal Studies, 26(4), 471–489.
McNeil A.J., Frey R., and Embrechts P. 2005. Quantitative RiskManagement – Concepts, Techniques and Tools. Princeton, New Jersey: Princeton University Press.
McWilliam E. (ed). 2011. Longevity Risk. London, England: Risk Books.
Merton R.C. 1973. The Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4(1), 141–183.
Merton R.C. 1974. On the Pricing of CorporateDebt – the Risk Structure of Interest Rates. Journal of Finance, 29(2), 449–470.
Merton R.C. 1976. Option Pricing when Underlying Stock Returns are Discontinuous. Journal of Financial Economics, 3(1), 125–144.
Merton R.C. 1992. Continuous-time Finance. Malden, Massachusetts: Blackwell.
Meucci A. 2009. Risk and Asset Allocation. New York, New York: Springer.
Michaud R.O. 1998. Efficient Asset Allocation. Boston, Massachusetts: HBS Press.
Miller M.H. 1977. Debt and Taxes. Journal of Finance, 32(2), 261–275.
Miller M.H., and Modigliani F. 1961. Dividend Policy, Growth and the Valuation of Shares. Journal of Business, 34(4), 411–433.
Miller M.H., and Scholes M. 1972. Rates of Return in Relation to Risk – A Reexamination of Some Recent Findings. In: Jenson M.C. (ed), Studies in the Theory of Capital Markets. New York, New York: Praeger.
Mitchell D. 1995. Innovation and the Transfer of Skill in the Goldsmiths' Trade in Restoration London. In: Mitchell D. (ed), Goldsmiths, Silversmiths and Bankers – Innovation and the Transfer of Skill, 1550-1750. London, England: Alan Sutton Publishing Ltd/Centre of Metropolitan History.
Modigliani F. 1982. Debt, Dividend Policy, Taxes, Inflation and MarketValuation. Journal of Finance, 37(2), 255–273.
Modigliani F., and Miller M.H. 1958. The Cost of Capital, Corporation Finance and the Theory of Investment. American Economic Review, 48(3), 261–297.
Modigliani F., and Miller M.H. 1959. The Cost of Capital, Corporation Finance and the Theory of Investment – Reply. American Economic Review, 49(4), 655–669.
Modigliani F., and Miller M.H. 1963. Corporate Income Taxes and the Cost of Capital – a Correction. American Economic Review, 53(3), 433–443.
Modigliani F., and Miller M.H. 1965. Corporate Income Taxes and the Cost of Capital – Reply. American Economic Review, 55(3), 524–527.
Moody's Investor Services. 2010. Corporate Default and Recovery Rates, 1920-2009.
Morris D. 2005. Morris Review of the Actuarial Profession – Final Report. HM Government.
Morrison A.D., and Wilhelm W.J. 2007. Investment Banking – Past, Present, and Future. Journal of Applied Corporate Finance, 19(1), 42–54.
Morrison A.D., and Wilhelm W.J. 2008. The Demise of Investment Banking Partnerships – Theory and Evidence. Journal of Finance, 63(1), 311–350.
Mossin J. 1966. Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768–783.
Muir M.J., Chase A., Coleman P.S., Cooper P., Finkelstein G.S., Fulcher P., Harvey C., Pereira F.R., Shamash A., and Wilkins T.J.D. 2007. Credit Derivatives. British Actuarial Journal, 13(2), 185–236.
Myers S.C. 1977. Determinants of Corporate Borrowing. Journal of Financial Economics, 5(2), 147–175.
Myers S.C. 1984. The Capital Structure Puzzle. Journal of Finance, 39(3), 575–592.
Myers S.C., and Majluf N.S. 1984. Corporate Financing and Investment Decisions when Firms Have Information that Investors Do Not Have. Journal of Financial Economics, 13(2), 187–221.
Myners P. 2001. Institutional Investment in the United Kingdom – a Review. HMTreasury.
Neal L., and Quinn S. 2001. Networks of Information, Markets, and Institutions in the Rise of London as a Financial Centre, 1660-1720. Financial History Review, 8(1), 7–26.
Nelsen R.B. 2006. An Introduction to Copulas. New York, New York: Springer.
OECD. 1999. Principles of Corporate Governance.
OECD. 2004. Principles of Corporate Governance.
OECD. 2006. Guidelines on Pension Fund Asset Management.
Patterson S. 2010. The Quants. London, England: Random House.
Penrose G.W. 2004. Report of the Equitable Life Inquiry. Penrose Inquiry.
Pensions Investment Research Consultants Limited. 2007. Review of the Impact of the Combined Code – PIRC's Response to the FRC Consultation Paper.
Porter M.E. 1980. Competitive Strategy. New York, New York: Free Press.
Purdy G. 2010. ISO 31000:2009 – Setting a New Standard for Risk Management. Risk Analysis, 30(6), 881–886.
PWC. 2014. IFRS Adoption by Country.
Quinn S. 1995. Balances and Goldsmith-Banking – the Co-ordination and Control of Inter-banker Debt Clearing in Seventeenth Century London. In: Mitchell D. (ed), Goldsmiths, Silversmiths and Bankers – Innovation and the Transfer of Skill, 1550- 1750. London, England: Alan Sutton Publishing Ltd/Centre of Metropolitan History.
Quinn S. 1997. Goldsmith-Banking – Mutual Acceptance and Interbanker Clearing in Restoration London. Explorations in Economic History, 34(4), 411–432.
Rebonato R. 1998. Interest Rate Option Models. Chichester, England: JohnWiley & Sons Ltd.
Redington F.M. 1952. Review of the Principles of Life Office Valuations. Journal of the Institute of Actuaries, 78(3), 286–340.
Renshaw A.E., and Haberman S. 2006. A Cohort-based Extension to the Lee–Carter Model for Mortality Reduction Factors. Insurance: Mathematics and Economics, 38(3), 556–570.
Richards S.J. 2008. Applying Survivor Models to Pensioner Mortality Data. British Actuarial Journal, 14(2), 257–326.
Sandström A. 2006. Solvency: Models, Assessment and Regulation. Boca Raton, Florida: Chapman & Hall/CRC.
Saucier G. 2001. Beyond Compliance – Building a Governance Culture. Canadian Institute of Chartered Accountants, the Canadian Venture Exchange and the Toronto Stock Exchange.
Scarsini M. 1984. On Measures of Concordance. Stochastica, 8(3), 201–218.
Securities and Exchange Commission, United States. 2012. Work Plan for the Consideration of Incorporating International Financial Reporting Standards into the Financial Reporting System for U.S. Issuers.
Sharpe W.F. 1964. Capital Asset Prices – A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19(3), 425–442.
Sharpe W.F. 1976. Corporate Pension Funding Policy. Journal of Financial Economics, 3(3), 183–193.
Sklar A. 1959. Fonctions de Répartition à n Dimensions et Leurs Marges. Publications de l'Institut Statistique de l'Université de Paris, 8, 229–231.
Smith R. 2003. Audit Committees – Combined Code Guidance. Financial Reporting Council.
Society of Actuaries. 2004. Speciality Guide on Economic Capital.
Standard and Poor's Global Fixed Income Research. 2010a. 2009 Annual Global Corporate Default Study and Rating Transitions.
Standard and Poor's Global Fixed Income Research. 2010b. Rating Methodology – Evaluating the Issuer.
Standards Australia, and Standards New Zealand. 2004. Risk Management Guidelines – AS/NZS4360:2004.
Sweeting P.J. 2006. Correlation and the Pension Protection Fund. Fiscal Studies, 27(2), 157–182.
Sweeting P.J., and Fotiou F. 2013. Calculating and Communicating Tail Association and the Risk of Extreme Loss. British Actuarial Journal, 18(1), 13–72.
Sweeting P.J., Christiansen C., Dyer D., Harbord P., Joubert P., Markou E., Murray C., Ng H.I., Procter K., and Tay A. 2004. An Analysis and Critique of theMethods Used by Rating Agencies. Paper Presented to the 2004 UK Actuarial Profession Finance and Investment Conference.
Switzerland Law on Occupational Benefits. 1982.
Talmor E., Haugen R., and Barnea A. 1985. The Value of the Tax Subsidy on Risky Debt. Journal of Business, 58(2), 191–202.
Taylor N. 2000. Making Actuaries Less Human – Lessons from Behavioural Finance. Paper Presented to the Staple Inn Actuarial Society.
Tepper I. 1981. Taxation and Corporate Pension Policy. Journal of Finance, 36(1), 1–13.
Treasury Board of Canada. 2001. Integrated Risk Management Framework.
Treasury Board of Canada. 2010. Framework for the Management of Risk.
Treasury Board of Canada. 2016. Guide to Integrated Risk Management.
Treynor J.L. 1961. Toward a Theory of the Market Value of Risky Assets. Unpublished Working Paper.
Treynor J.L. 1977. The Principles of Corporate Pension Finance. Journal of Finance, 32(2), 627–138.
Tripp M.H., Bradley H.L., Devitt R., Orros G.C., Overton G.L., Pryor L.M., and Shaw R.A. 2004. Quantifying Operational Risk in General Insurance Companies. British Actuarial Journal, 10(5), 919–1026.
Turnbull N. 1999. Internal Control – Guidance for Directors on the Combined Code. Institute of Chartered Accountants in England and Wales.
UK Banking Act. 1987.
UK Building Societies Act. 1987.
UK Companies Act. 1980.
UK Companies Act. 2006.
UK Company Securities (Insider Dealing) Act. 1985.
UK Employment Rights Act. 1996.
UK Finance Act. 1986.
UK Finance Act. 2004.
UK Financial Services Act. 1986.
UK Financial Services Act. 2012.
UK Financial Services and Markets Act. 2000.
UK Health and Social Security Act. 1984.
UK Income and Corporation Taxes Act. 1988.
UK Limited Liability Partnerships Act. 2000.
UK Occupational Pension Schemes (Scheme Funding) Regulations. 2005.
UK Pensions Act. 1995.
UK Pensions Act. 2004.
UK Policyholders Protection Act. 1975.
UK Social Security Act. 1973.
UK Social Security Act. 1985.
UK Social Security Act. 1986.
UK Social Security Act. 1990.
UK Trustee Investment Act. 2000.
US Banking Act. 1933.
US Depository Institutions Deregulation and Monetary Control Act. 1980.
US Employee Retirement Income Security Act. 1974.
US Financial Services Modernization Act. 1999.
US Insider Trading and Securities Fraud Enforcement Act. 1988.
US Insider Trading Sanctions Act. 1984.
US Pension Protection Act. 2006.
US Public Company Accounting Reform and Investor Protection Act. 2002.
US Securities Act. 1933.
US Securities Exchange Act. 1934.
US Single Employer Pension Plan Amendments Act. 1986.
Vanderhei J.L. 1990. An Empirical Analysis of Risk-Related Insurance Premiums for the PBGC. Journal of Risk and Insurance, 57(2), 240–259.
Vasicek O. 1977. An Equilibrium Characterisation of the Term Structure. Journal of Financial Economics, 5(2), 177–188.
Venter G.G. 2002. Tails of Copulas. Proceedings of the Casualty Actuarial Society, 89(1), 68–113.
Webb S., and Webb B. 1920. History of Trade Unionism. London, England: Longmans and Co.
Wilmott P. 2000. Paul Wilmott on Quantitative Finance. Chichester, England: JohnWiley & Sons Ltd.
Wooldridge J.M. 2002. Econometric Analysis of Cross Section and Panel Data. Cambridge, Massachusetts: MIT Press.
Würthrich M.V., and Merz M. 2008. Stochastic Claims Reserving Methods in Insurance. Chichester, England: John Wiley & Sons Ltd.

Metrics

Altmetric attention score

Full text views

Total number of HTML views: 0
Total number of PDF views: 403 *
Loading metrics...

Book summary page views

Total views: 952 *
Loading metrics...

* Views captured on Cambridge Core between 12th August 2017 - 20th November 2017. This data will be updated every 24 hours.