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Integrated Risk Management
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| 27.11.2009, 23:34 |
Preface ix
Part One
Background Analysis
Chapter 1
The Convergence of Insurance Risk Management and Financial Risk Management
3
Insurance and Risk Management 4
The Growth of Derivatives Markets 6
The Intellectual Climate 8
Integrated Risk Management 10
Plan of the Book 13
References 15
Chapter 2
Risk and Utility: Economic Concepts and Decision Rules
17
Derivation of Decision Rules 18
Insurance and the Expected-Utility Rule 29
Some Risk Management Propositions for Individuals 32
Dealing with One Risk When Faced with Another 48
Alternative Decision Rules 50
Conclusion 58
References 59
Chapter 3
Moral Hazard and Adverse Selection
61
Moral Hazard 62
Ex Ante Moral Hazard 64
Adverse Selection 72
Page iv
Conclusion 81
References 81
Appendix 83
Some Problems with the Rothschild–Stiglitz Model 83
Other Adverse Selection Models 84
Chapter 4
Portfolio Theory and Risk Management
87
Description of an Insurance Portfolio 89
Risk Reduction in an Insurance Portfolio of Independent, Heterogeneous Risks 99
Measuring Correlation between Risk Units 105
Risk Reduction in an Insurance Portfolio of Interdependent Risks 109
Risk Reduction with Correlated Risks 114
Three Applications 115
Diversification and the Distribution of Aggregate Losses for the (Non-Insurance) Firm 119
Conclusion 124
References 126
Chapter 5
Capital Market Theory
127
A Capital Market in Which Investors Hold Only One Security 128
Capital Market Equilibrium with Diversification 132
Testing the Capital Asset Pricing Model 150
Implications for Financial Management 151
Implications for Risk Management 154
Conclusion 157
References 158
Chapter 6
Derivatives and Options
160
Forwards and Futures 161
Options 165
Swaps 176
Some Applications of Options 179
Page v
Conclusion 189
References 190
Part Two
Risk Management Strategies
Chapter 7
Why Is Risk Costly to Firms?
193
Risk and Shareholder Diversification 195
Why Is Risk Costly to Firms? 199
Core Risk and Incidental Risk 223
Which Firms Benefit from Managing Risk? 225
Some Evidence on the Cost of Risk and Firm Value 226
Conclusion: A Transactions Costs Explanation of Corporate Risk Management 230
References 231
Chapter 8
Risk Management Strategy: Duality and Globality
234
Duality in Risk Management Strategy 235
Classifying Risk Management Strategies 261
Integrated/Holistic Risk Management 268
Conclusion 280
References 282
Chapter 9
Post-loss Investment Decisions and the Measurement of Loss
283
Where Does the Value of a Firm Come From? 284
How Value Can Be Lost and Recaptured 287
Mitigation and Optimal Post-loss Decisions: Crisis Management 295
Measuring Loss 307
Reinvestment and Abandonment: Some Special Issues 308
Conclusion 327
References 328
Page vi
Chapter 10
Post-loss Financing: Fundability and Dysfunctional Investment
330
A Sketch of the Capital Structure Problem 332
Recapturing Value through Post-loss Reinvestment 335
Is Post-loss Investment Fundable? 337
Debt or Equity Refinancing? 348
Prime Autos Suffers a Liability Loss 358
A More General Framework for Comparing Post-loss Debt and Equity Financing 360
Reintroducing Corporate Taxes 369
The Effect of Personal Taxes on Post-loss Financing 373
Conclusion 375
References 376
Appendix 377
Problem 1 377
Problem 2 377
Chapter 11
Post-loss Financing: Liquidity and Debt Renegotiation
379
Information Asymmetry–The Pecking Order Hypothesis 380
Liquidity Problems and Post-loss Financing 384
Liquidity Crunches 401
Renegotiations of Debt and Post-loss Underinvestment 404
Conclusion 409
References 410
Chapter 12
Contingent Financing
412
Comparison of Post-loss Financing and Simple Contingent Financing 413
Contingent Financing: Size, Fundability, and Triggers 426
Ex Ante Analysis of LOC 430
Contingent Equity–Loss Put Equity Options 433
The Impact of Hedged Losses on Share Value: Feedback Effect 448
Conclusion 456
References 457
Page vii
Chapter 13
Contingent Leverage Strategies and Hybrid Debt
458
Risk Management and Capital Structure 460
Contingent Leverage Strategies and Hybrid Debt 461
Reducing Convexity of the Payoff 465
Inclusion of a Liability Hedge 486
Reduction in Bankruptcy Costs 499
Hybrid Debt and Financing Post-loss Investment 500
Conclusion 501
References 503
Chapter 14
Hedging and Insurance
504
Review of Post-loss Financing and the Introduction of Insurance 505
Pre-loss Analysis of Insurance versus Debt Financing 513
Other Hedging Instruments 521
Structuring Insurance and Hedging Programs 524
Backing off a Full Basket Option Program (The Limits of Integration) 536
Conflict Resolution: Horizontal versus Vertical Programs 544
Trading off Risk and Return in Hedging Strategy: The Efficient Frontier 548
Conclusion 552
References 553
Chapter 15
Organizational Form and Risk Management: Limited Liability
555
Externalizing Costs with Limited Liability 557
Externalizing Costs–Ex Ante Analysis 561
Limited Liability and Optimal Insurance 567
Limited Liability, Safety, and Loss Prevention 575
Implications for Social Policy 583
Conclusion 590
References 591
Page viii
Chapter 16
A Case Study: The Securitization of Catastrophe Risk
593
Catastrophe Reinsurance 595
The Design Space 604
Catastrophe Hedge Instruments 606
Revisiting the Design Space 616
Trading off Basis Risk and Moral Hazard–Indexed and Parameterized Triggers 618
Conclusion 621
References 622
Appendix 625
Index 632
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