Chong Y.Y. Investment Risk Management
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208 Index
luck 92
Ludwig, Eugene 12
Malmius, Ernst 53
Marconi 1, 2, 48, 161
mark-to-market (MTM) 30–1
market capitalisation 61
market risk 13, 15–16, 94
Markowitz, Harry 22
Marsh McClellan insurance company 85, 166
Maxwell, Robert 2
MCI 168
mean-variance efficient portfolio 37
Mercury Asset Management 83
mergers and acquisitions (M&A) 74–5,
148, 162
Meriwether, John 70
Merrill Lynch 52, 83, 165
Merton, Robert 70
Messier 200
Misys 103
Monks, Bob 37
Monte Carlo simulation 28–9, 31, 203
moral hazard 159–60, 166, 167
Morgan, JP 53
Morgan Chase, JP 67
mortgages, endowment 96
MunichRe 148
Myners Reports 91
Nadir, Asil 9
National Association of Pension Funds (NAPF)
172, 173
NetRisk 37
Nigerian 419 scam 121, 122, 123–4, 128, 133,
184, 185
non-systematic trackability 59
Norton 170
NPV 64, 65
null hypothesis 166
oil companies, insuring 88
Omnimedia 136
operational risk (OpRisk) 7, 13, 16–17, 132–4,
141–2
Basel II on 49, 94, 104
protection (“roof”) 133–4
rogue trading policing and 31
scorecard 156–7
optimum risk-return point 22
organic risk management 10, 13, 40, 92, 121,
178–80
case for 184–9
flowchart 202
OTC derivatives 56, 57
overvaluation 61
P:E ratio 60, 61
Pareto 105
passive investment managers 35, 36
pecking-order theory 61–2
pensions 2–3, 136
fall in 95–6
mis-selling 52–3, 96
risk in 19
Perot, H. Ross 1, 163
PIRC (Pensions and Investment Research
Consultants) 172–3, 201
plain vanilla assets 24, 56
Polly Peck 9
portfolio management 22–31
position keeping 30–1
PRINCE 2 102, 195
probability density function (PDF) 95
pro-cyclicality 46
professional examinations 164–5
professional investor/shareholder 41–2
property boom, UK 135
Prudential Assurance 148
PSAs 88
“pump and dump” schemes 195
“quants” 38, 92
Quattrone, Frank 199
quick (acid-test) ratio 61
RAMP (risk analysis and management of
projects) 68–70, 71, 102–3, 134–5, 175, 184,
195, 197, 203
best practice 54
criteria for successful result 62
template for risk management 117–19
“reasonable man” hypothesis 54
recovery rate 82–3
red flags 55
reputational risk 13, 14, 63, 74–6, 91, 122, 180–3,
199–200
request for information (RFI) 111
request for proposal (RFP) 111
retail store theft 12
Reuters 103
risk
business and 5–10
damage and 17–19
structure of 6
types 13–17
risk-adjusted return on capital (RAROC) theory
63, 64, 65–7, 96, 155, 203
risk appetite (risk tolerance) 24, 74, 79, 104,
196–7
risk attitudes, prevailing 73–4
risk-averse investor 42, 44
risk avoidance 81
TLFeBOOK
Index 209
risk-bearers 41–4
risk catalyst 5, 195
risk countermeasures 163–4
risk detection 160–2
risk event (result) 6, 195
risk exposure 5
risk factor 25
risk firepower 164–5
risk funding 85
risk hedging 81
risk interaction 192
risk management project plan 117–19
risk management structure, appropriate 170–4
risk management system, building 109–10
business flirting 113–14
functional priorities 111–13
project life cycle 116–17
system priorities 115
risk map 75, 98, 99, 108–9, 169–70, 190
risk monitoring 51, 167–70
risk-neutral investor 45
risk offer 79
risk organisation chart 172
risk pooling 85
risk prioritisation 108–9
risk reduction 81
risk register 18, 19
risk retention 18, 81
risk-reward ratio 1
risk-seeking investor 42
risk support 68–9, 79
risk-takers 41–4, 45
risk time horizons 197–8
risk transfer 81, 85
risk triggers 55
risk universe 187, 188
risk vanities 51–2
RiskOps 37
ROCE 60
“rocket scientists” 38, 92
rogue trading 31, 129, 131
Royal-Sun Alliance (RSA) 37
Rusnak, John 10, 12, 31, 34, 73, 92, 93, 138
Sarbanes–Oxley Act 43, 75, 84, 163, 200
Saunders, Ernest 9
scenario analysis 94–6
Scholes, Myron 70
Scottish Widows 148
Searchspace Compliance Sentinel collaborative
project 97
SeemsGood management 139, 140, 142
self-assessment of risk areas 169
self-insurance (SIR) 18, 87–9, 167
September 11 2002 attacks 18, 86, 88, 89, 94–5,
97
shark attack and risk 5–6, 160, 195
shoplifting 12
Sigma 179
silos concept of viewing risk 83
Simpson, Lord 161
skill cycle 134
Skilling 137
SleepWell management 47, 139, 140, 142
Smith, Roger 163
socially responsible investment (SRI) 173
Soros Quantum Fund 136
South Sea Bubble 52
special-purpose vehicle (SPV) 132
Spitzer, Eliot 165, 200
Split Capital Investment Trusts 121, 126–8
“spray and pray” 89
Statement of Investment Principles (SIPs) 39
Stewart, Martha 136, 199
stock-market crashes 27, 31, 42
straight-through processing (STP) 106–7
strategic policy risk 170
stress testing 96–7
suitability risk 54
Sumitomo 1, 48, 186
Sungard 103, 106, 107
supplier selection matrix 115
SwissAir 1, 7
SwissRe 148
systematic trackability 59
systemic risk 29–30
tactical implementation risk 170
Teachers 172
TIAA-CREF 2
technological school of investment risk
management 10
theft 12
cost of 121–2
retail store 12
see also fraud
Theta 139, 179
too big to fail (TBTF) 136
tracker funds 36–7, 59
tracking error 59
trading
limits 33–4
and risk management 32–8
strategy 32, 33
treasurer, role of 31–2
Turecek, Peter 49–50
two-asset choice portfolio 24
Tyco 1, 2, 49
UK Football League 81–2
undervaluation 61
Unilever Pension Fund 83
TLFeBOOK
210 Index
unintentional and legal damage 126–32,
187–9
unreasonable risk 3
US RICO (anti-racketeering and institutionalised
crime) legislation 97
US Savings and Loans collapse 77
US Treasury bonds 58, 59
user system requirements (URS) 109, 111,
112
utility, investor 24
value-added chain 93–4
Value-at-Risk (VaR) 13, 25–8, 29, 31, 67,
96, 203
value-chain (fiduciary) risk 93
value for money 199
variance of return of the portfolio 24
Veritas Software Corp 50
Vivendi 200
watcher school of investment risk management
10
Watson, Chuck 74
Weinstock, Arnold 48, 161
whistle-blowing 83, 168, 171–2
Worldcom 1, 5, 40, 48, 57, 67, 79, 130,
137, 160, 168–9
XML 111
Yazuka 163
Young, Peter 9, 31, 132
zero coupon 59
Index compiled by Annette Musker
TLFeBOOK