Treść książki
Przejdź do opcji czytnikaPrzejdź do nawigacjiPrzejdź do informacjiPrzejdź do stopki
1944
1952
1963
1966
1973
1979
1983
1986
1988
1992
1993
1994
1997
1998
2000
2003
2004
2007
2009
2011
2012
DecisionTheory(J.vonNeumann,O.Morgenstern)
PortfolioTheory(H.Markowitz)
CapitalAssetPricingModel(CAPM)(W.F.Sharpe)
Multi-factormodels
Optionpricingmodel,“theGreeks”(F.Black,M.Scholes,R.Merton)
Binominaloptionpricingmodel
RAROCmodelofrisk-adjustedreturnoncapital(RAROC),(Bankers
Trust),somesaythatthestudystartedinthe70s,laterconnectedwith
RORACandRARORACmethods.
Limitsonexposurebasedontheportfolioduration
Risk-adjustedbankassets.BaselI
Stresstesting
ValueatRisk(VaR)
RiskMetrics(J.P.Morgan)
CreditMetrics(J.P.Morgan),CreditRisk+(CreditSuisse)
Methodologylinkingcreditriskandmarketrisk
TheconceptofIntegratedRiskManagement(IRM)
Lam)
COSOII,AS/NZS
PopularisationofBIAandTSAmethods–operationalrisk
ISO31000:2009RiskManagement–PrinciplesandGuidelines
PopularisationofAMAmethods–operationalrisk
GameTheory
EnterpriseRiskManagement(ERM),CasualtyActuarialSociety,(J.
Source:Basedon:P.Matkowski„Zarządzanieryzykiemoperacyjnym”WoltersKluwer,Kraków2006,
p.19andD.Wawrzyniak„Ryzykoinformatycznewdziałalnościbankowej”,WydawnictwoUniwersytetu
EkonomicznegoweWrocławiu,Wrocław2012,p.26.
Riskidentificationanddefinition
Seekingthedefinitionofrisk,letustrytorefertotheintuitiveunderstandingofthe
conceptandpresentthemostcommondefinitionsintheexistingliterature.Mostfrequently
thewordriskisassociatedwithdanger,hazard,failure.TheInteractiveEncyclopaedia
saysthatriskis„thedangerofdamageoccurring,blamedontheaffectedpartyregardlessof
itsfault”and,further,itclaimsthat“itisapossibility,probabilitythatsomethingwillnot
succeed”
18.
P.Matkowskispeaksaboutriskalongtheselines,adoptingthedefinitionthatriskis
“theuncertaintyofachievingfutureresults”.Healsoindicatesthattwokeyconceptsshould
beremembered:variabilityanduncertainty.Variabilityisaninternalfeatureoftheconcept
andcannotbereducedbybroadeningtheknowledgewhileuncertaintyreferstothelevelof
theresearcher'sknowledgeand,therefore,itcanbedecreasedbyincreasingtheknowledge
aboutthestudiedphenomenon
19.
Thus,initiallyriskmaybedefinedastheuncertaintyoftheeffectsoffutureactions
andresults.Therearesomanydefinitionsofriskthatonecanspeakabouttwobasicconcepts
ofdefiningrisk:
18
FollowingP.Matkowski,Zarządzanieryzykiemoperacyjnym,PolskieWydawnictwaProfesjonalneSp.zo.o.
WoltersKluwerSp.zo.o.,Kraków,2006,p.14.
19
Ibidemp.15.
12