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Risk management and value : valuation and asset pricing /

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economi...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: International Finance Conference Ḥammāmāt, Tunisia
Otros Autores: Bellalah, Mondher, Prigent, Jean-Luc, 1958-, Sahut, Jean-Michel
Formato: Electrónico Congresos, conferencias eBook
Idioma:Inglés
Publicado: Singapore ; Hackensack, NJ : World Scientific, ©2008.
Colección:World Scientific studies in international economics ; 3.
Temas:
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Ch. 1. Managing derivatives in the presence of a Smile effect and incomplete information / Mondher Bellalah
  • ch. 2. A value-at-risk approach to assess exchange risk associated to a public debt portfolio: the case of a small developing economy / Wissem Ajili
  • ch. 3. A method to find historical VaR for portfolio that follows S&P CNX Nifty Index by estimating the index value / K. V. N. M. Ramesh
  • ch. 4. Some considerations on the relationship between corruption and economic growth / Victor Dragot̮a, Laura Obreja Brasoveanu and Andreea Semenescu
  • ch. 5. Financial risk management by derivatives caused from weather conditions: its applicability for Türkiye / Turgut Özkan
  • ch. 6. The Basel II framework implementation and securitization / Marie-Florence Lamy
  • ch. 7. Stochastic time change, volatility, and normality of returns: a high-frequency data analysis with a sample of LSE stocks / Olfa Borsali and Amel Zenaidi
  • ch. 8. The behavior of the implied volatility surface: evidence from crude oil futures options / Amine Bouden
  • ch. 9. Procyclical behavior of loan loss provisions and banking strategies: an application to the European banks / Didelle Dilou Dinamona
  • ch. 10. Market power and banking competition on the credit market / Ion Lapteacru
  • ch. 11. Early warning detection of banking distress
  • is failure possible for European banks? / Anissa Naouar
  • ch. 12. Portfolio diversification and market share analysis for Romanian insurance companies / Mihaela Dragot̮a, Cosmin Iuliu Ṣerb̮anescu and Daniel Traian Pele
  • ch. 13. On the closed-end funds discounts/ premiums in the context of the investor sentiment theory / Ana Paula Carvalho do Monte and Manuel José da Rocha Armada
  • ch. 14. Why has idiosyncratic volatility increased in Europe? / Jean-Etienne Palard
  • ch. 15. Debt valuation, enterprise assessment and applications / Didier Vanoverberghe
  • ch. 16. Does The Tunisian Stock Market overreact? / Fatma Hammami and Ezzeddine Abaoub
  • ch. 17. Investor-venture capitalist relationship: asymmetric information, uncertainty, and monitoring / Mondher Cherif and Skander Sraieb
  • ch. 18. Threshold mean reversion in stock prices / Fredi Jawadi
  • ch. 19. Households' expectations of unemployment: new evidence from French microdata / Salah Ghabri
  • ch. 20. Corporate governance and managerial risk taking: empirical study in the Tunisian context / Amel Belanes Aroui and Fatma Wyème Ben Mrad Douagi
  • ch. 21. Nonlinearity and genetic algorithms in the decision-making process / Nizar Hachicha and Abdelfettah Bouri
  • ch. 22. ICT and performance of the companies: the case of the Tunisian companies / Jameleddine Ziadi
  • ch. 23. Option market microstructure / Jean-Michel Sahut
  • ch. 24. Does the standardization of business processes improve management? the case of enterprise resource planning systems / Tawhid Chtioui
  • ch. 25. Does macroeconomic transparency help governments be solvent? Evidence from recent data / Ramzi Mallat and Duc Khuong Nguyen.