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Quantitative financial risk management : theory and practice /
Preface About the Editors Section I: Supervisory Risk Management Chapter 1: Measuring Systemic Risk: Structural ApproachesRaimund M. Kovacevic and Georg Ch. Pflug Chapter 2: Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management Michael Jaco...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
Wiley,
2015.
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| Colección: | Frank J. Fabozzi series.
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| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
| Sumario: | Preface About the Editors Section I: Supervisory Risk Management Chapter 1: Measuring Systemic Risk: Structural ApproachesRaimund M. Kovacevic and Georg Ch. Pflug Chapter 2: Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management Michael Jacobs Jr. Chapter 3: Nonperforming Loans in the Bank Production TechnologyHirofumi Fukuyama and William L. Weber Section II: Risk Models and Measures Chapter 4: A Practical Guide to Regime Switching in Financial EconomicsIain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zhang Chapter 5: Output Analysis and Stress Testing for Risk-Constrained PortfoliosJitka Dupaeová and Miloš Kopa Chapter 6: Risk Measures and Management in the Energy SectorMarida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci Section III: Portfolio Management Chapter 7: Portfolio Optimization: Theory and PracticeWilliam T. Ziemba Chapter 8: Portfolio Optimization and Transaction CostsRenata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza Chapter 9: Statistical Properties and Tests of Efficient Frontier PortfoliosChris J Adcock Section IV: Credit Risk Modeling Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and PracticesMichael Jacobs Jr. Chapter 11: A Critique of Credit Risk Models with Evidence from Mid-Cap FirmsDavid E. Allen. Robert J. Powell, and Abhay K. Singh Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria ApproachConstantin Zopounidis Section V: Financial Markets Chapter 13: Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) MetricJung Heon Song, Kesheng Wu, and Horst D. Simon Chapter 14: Covariance Specification Tests for Multivariate GARCH ModelsGregory Koutmos Chapter 15: Accounting Information in the Prediction of. Securities Class ActionsVassiliki Balla About the Contributors Index. |
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| Notas: | Includes index. Machine generated contents note: Preface About the Editors Section I: Supervisory Risk Management Chapter 1: Measuring Systemic Risk: Structural Approaches Raimund M. Kovacevic and Georg Ch. Pflug Chapter 2: Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management Michael Jacobs Jr. Chapter 3: Nonperforming Loans in the Bank Production Technology Hirofumi Fukuyama and William L. Weber Section II: Risk Models and Measures Chapter 4: A Practical Guide to Regime Switching in Financial Economics Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zhang Chapter 5: Output Analysis and Stress Testing for Risk-Constrained Portfolios Jitka Dupa a and Milos Kopa Chapter 6: Risk Measures and Management in the Energy Sector Marida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci Section III: Portfolio Management Chapter 7: Portfolio Optimization: Theory and Practice William T. Ziemba Chapter 8: Portfolio Optimization and Transaction Costs Renata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza Chapter 9: Statistical Properties and Tests of Efficient Frontier Portfolios Chris J Adcock Section IV: Credit Risk Modeling Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices Michael Jacobs Jr. Chapter 11: A Critique of Credit Risk Models with Evidence from Mid-Cap Firms David E. Allen. Robert J. Powell, and Abhay K. Singh Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria Approach Constantin Zopounidis Section V: Financial Markets Chapter 13: Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric Jung Heon Song, Kesheng Wu, and Horst D. Simon Chapter 14: Covariance Specification Tests for Multivariate GARCH Models Gregory Koutmos Chapter 15: Accounting Information in the Prediction of Securities Class Actions Vassiliki Balla About the Contributors Index. |
| Descripción Física: | 1 online resource (xx, 422 pages) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781118738221 1118738225 9781118738405 1118738403 9781119080305 1119080304 1118738187 9781118738184 |