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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 |
|---|---|
| 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) |
MARC
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| 100 | 1 | |a Zopounidis, Constantin. | |
| 245 | 1 | 0 | |a Quantitative financial risk management : |b theory and practice / |c Constantin Zopounidis, Emilios Galariotis. |
| 264 | 1 | |a Hoboken, New Jersey : |b Wiley, |c 2015. | |
| 300 | |a 1 online resource (xx, 422 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 347 | |a text file | ||
| 490 | 1 | |a The Frank J. Fabozzi series | |
| 500 | |a Includes index. | ||
| 500 | |a 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. | ||
| 588 | 0 | |a Print version record and CIP data provided by publisher. | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Cover -- Title Page -- Copyright -- Contents -- Preface -- About the Editors -- Section One Supervisory Risk Management -- Chapter 1 Measuring Systemic Risk: Structural Approaches -- Systemic Risk: Definitions -- From Structural Models to Systemic Risk -- Measuring Systemic Risk -- Systemic Risk and Copula Models -- Conclusions -- References -- Chapter 2 Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management -- Introduction -- Review of the Literature -- Supervisory Requirements for CCR -- Conceptual Issues in CCR: Risk versus Uncertainty -- Conclusions -- References -- Chapter 3 Nonperforming Loans in the Bank Production Technology -- Introduction -- Selective Literature Review -- Method -- Empirical Application -- Summary and Conclusion -- Appendix 3.1 Bank Names and Type -- References -- Section Two Risk Models and Measures -- Chapter 4 A Practical Guide to Regime Switching in Financial Economics -- A Brief Look at Markov Regime Switching in Academic Economics and Finance -- Regime Switching and Interest Rate Processes -- Regime Switching and Exchange Rates -- Regime Switching, Stock Returns, and Asset Allocation -- Single-Asset Markov Models -- Two-State Estimation -- Three-State Estimation -- Markov Models for Multiple Assets -- Practical Application of Regime Switching Models for Investment Purposes -- Intuitive Appeal of Such Models -- Implementation Challenges -- Selecting the "Right" Model Structure -- Calibrating the Selected Model Type to Suitable Data -- Drawing the Right Conclusions from the Model -- References -- Chapter 5 Output Analysis and Stress Testing for Risk Constrained Portfolios -- Introduction -- Worst-Case Analysis -- Stress Testing via Contamination -- Conclusions and New Problems -- References. | |
| 505 | 8 | |a Chapter 6 Risk Measures and Management in the Energy Sector -- Introduction -- Uncertainty Characterization via Scenarios -- Measures of Risks -- Case Studies -- Summary -- References -- Section Three Portfolio Management -- Chapter 7 Portfolio Optimization: Theory and Practice -- Static Portfolio Theory -- Importance of Means -- Stochastic Programming Approach to Asset Liability Management -- Siemens InnoALM Pension Fund Model -- Dynamic Portfolio Theory and Practice: The Kelly Capital Growth Approach -- Transactions Costs -- Some Great Investors -- Appendix 7.1: Estimating Utility Functions and Risk Aversion -- References -- Chapter 8 Portfolio Optimization and Transaction Costs -- Introduction -- Literature Review on Transaction Costs -- An LP Computable Risk Measure: The Semi-MAD -- Modeling Transaction Costs -- Non-Unique Minimum Risk Portfolio -- Experimental Analysis -- Conclusions -- Appendix -- References -- Chapter 9 Statistical Properties and Tests of Efficient Frontier Portfolios -- Introduction -- Notation and Setup -- Distribution of Portfolio Weights -- Empirical Study -- Discussion and Concluding Remarks -- References -- Section Four Credit Risk Modelling -- Chapter 10 Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices -- Introduction and Motivation -- Conceptual Issues in Stress Testing: Risk versus Uncertainty -- The Function of Stress Testing -- Supervisory Requirements and Expectations -- Empirical Methodology: A Simple ST Example -- Conclusion and Future Directions -- References -- Chapter 11 A Critique of Credit Risk Models with Evidence from Mid-Cap Firms -- Introduction -- Summary of Credit Model Methodologies -- Our Empirical Methodology -- Critique -- Conclusions -- References. | |
| 505 | 8 | |a Chapter 12 Predicting Credit Ratings Using a Robust Multicriteria Approach -- Introduction -- Credit Scoring and Rating -- Multicriteria Methodology -- Empirical Analysis -- Conclusions and Future Perspectives -- References -- Section Five Financial Markets -- Chapter 13 Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric -- Introduction -- Definition of VPIN -- Computational Cost -- Optimization of FPR -- Uncertainty Quantification (UQ) -- Conclusion -- References -- Chapter 14 Covariance Specification Tests for Multivariate GARCH Models -- Introduction -- Covariance Specification Tests -- Application of Covariance Specification Tests -- Empirical Findings and Discussion -- Conclusion -- References -- Chapter 15 Accounting Information in the Prediction of Securities Class Actions -- Introduction -- Literature Review -- Methodology -- Data -- Results -- Conclusions -- References -- About the Contributors -- Glossary -- Index -- EULA. | |
| 505 | 0 | |a Section one, 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., PhD, CFA -- Chapter 3, Nonperforming loans in the bank production technology / Hirofumi Fukuyama and William l. Weber -- Section two, 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 Dupacová and Miloš Kopa -- Chapter 6, Risk measures and management in the energy sector / Marida Bertocchi, Rosella Giacometti and Maria Teresa Vespucci -- Section three, 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 / C J Adcock -- Section four, Credit risk modelling. 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 five, 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 authors -- Glossary. | |
| 520 | |a 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. | ||
| 520 | 8 | |a Securities Class ActionsVassiliki Balla About the Contributors Index. | |
| 546 | |a English. | ||
| 590 | |a O'Reilly |b O'Reilly Online Learning: Academic/Public Library Edition | ||
| 650 | 0 | |a Financial risk management. | |
| 650 | 6 | |a Finances |x Gestion du risque. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Financial risk management |2 fast | |
| 700 | 1 | |a Galariotis, Emilios. | |
| 776 | 0 | 8 | |i Print version: |a Zopounidis, Constantin. |t Quantitative financial risk management. |d Hoboken, New Jersey : Wiley, 2015 |z 9781118738184 |w (DLC) 2015005400 |
| 830 | 0 | |a Frank J. Fabozzi series. | |
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