Quantitative financial risk management : theory and practice /

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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Zopounidis, Constantin
Otros Autores: Galariotis, Emilios
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, New Jersey : Wiley, 2015.
Colección:Frank J. Fabozzi series.
Temas:
Financial risk management.
Finances > Gestion du risque.
BUSINESS & ECONOMICS > Finance.
Financial risk management
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • 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.
  • 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.
  • 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.
  • 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.

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