2011-08-012024-05-17https://scholars.lib.ntu.edu.tw/handle/123456789/679351Abstract: Risk management is a leading research topic in academics with strong practical relevance. Economic agents and entities face various kinds of risk from time to time. Individuals must deal with medical risk and employment risk. At the firm level, there may be market risk, credit risk, liquidity risk, and operational risk. An economy may also be largely affected by unanticipated catastrophic risk, such as earthquake, hurricane, and tsunami. The financial crisis in 2007-8 further shows how the lack of risk management at financial institutions may threaten the stability of the entire world economy. In particular, it has been found during the recent financial crisis that many conventional risk management tools failed to protect investors. This prompts us to re-investigate the theory and practice of risk management. In this project, we propose a comprehensive study of risk management from different perspectives. This project targets frontier research topics and will bring together top scholars in NTU with different expertise, including macroeconomics, financial econometrics, asset pricing, corporate finance, option, financial institutions, and insurance. For example, the sub-projects “Complements for Managing Banks’ Risk” will establish a theoretical model to demonstrate that bank capital and asset diversification are complements when there is systemic risk caused by contagious bank failures. The sub-project “Risk Management of Central Bank Foreign Reserves” addresses an important issue in foreign reserve management when US dollar is no longer the only international reserve currency. The sub-project “Assessing Capital Adequacy for Financial Institutions” investigates the capital adequacy of financial institutions by assessing the regulatory capital requirement. The sub-project “Operation Risk and Changes in Corporate Governance” links operation risk to corporate governance from a dynamic perspective. The sub-project “Central Dominance and Risk Management” aims at developing new econometric tool to identify central dominance which can be used to determine if there will be changes of demand when there is a change in risk. In the second stage, we will try to invite more scholars to participate this project and engage international collaboration. Our goal is to build up an internationally renowned research team in risk management, with publications in top 5 economics journals, including American Economic Review, Econometrica, Journal of Political Economy, Quarterly Journal of Economics, Review of Economic Studies, and top 3 finance journals, including Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. This will establish NTU as the world class institution in the research of risk management.巨災風險金融危機經營風險風險管理catastrophic riskfinancial crisisoperational riskrisk management