Financial risk management : from metrics to human conduct / Frantz Maurer.

Includes bibliographical references and index.

A brief history of the Basel framework -- The Basel I regulatory framework -- Amendment to the Basel I framework to incorporate market risks -- Implementation of the Basel II framework -- A guided tour of the Basel III framework -- Climate-related financial risks -- Historical approach of risk -- The gaussian framework -- A brief overview of monte carlo simulation -- Risk contribution -- Shortcomings of risk metrics -- Ex-post evaluation of a risk model : backtesting -- A forward-looking evaluation of risk : stress testing -- The big picture of conduct risk -- Markers of conduct risk -- A first example of a conduct risk score -- Fostering a culture of appropriate conduct outcomes -- Worked example 4 - calculating a risk-taker's conduct risk index -- Hot questions still pending -- Understanding the root causes of poor conduct.

"This book is not a comprehensive review or catalogue of financial risk management tools and methods; instead, it focuses on the core methods that are actually used by professionals, such as historical Value-at-Risk and Expected Shortfall. Without any knowledge of probabilities, the reader can fully understand the meaning of these risk indicators and how to use them when faced with real life situations that require risk analysis and decision-making. The authors then show how to marry this simple approach to financial risk with a conduct risk index designed to benchmark the conduct of natural risk-takers like traders, and measure how far these risk-takers are from a responsible behavior. A ready-to-use version of this conduct risk index calculator is provided as an Excel add-in on the book's companion website"-- Provided by publisher.