Details

Quantitative Financial Risk Management


Quantitative Financial Risk Management

Theory and Practice
Frank J. Fabozzi Series 1. Aufl.

von: Constantin Zopounidis, Emilios Galariotis

80,99 €

Verlag: Wiley
Format: EPUB
Veröffentl.: 08.06.2015
ISBN/EAN: 9781118738221
Sprache: englisch
Anzahl Seiten: 448

DRM-geschütztes eBook, Sie benötigen z.B. Adobe Digital Editions und eine Adobe ID zum Lesen.

Beschreibungen

<p><b>A Comprehensive Guide to Quantitative Financial Risk Management</b></p> <p>Written by an international team of experts in the field, <i>Quantitative Financial Risk Management: Theory and Practice</i> provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets.</p> <p>This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in <i>Quantitative Financial Risk Management</i> can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis.</p> <p><i>Quantitative Financial Risk Management</i> delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.</p>
<p>Preface xvii</p> <p>About the Editors xix</p> <p><b>Section One Supervisory Risk Management</b></p> <p><b>Chapter 1 Measuring Systemic Risk: Structural Approaches 3<br /> </b><i>Raimund M. Kovacevic and Georg Ch. Pflug</i></p> <p>Systemic Risk: Definitions 4</p> <p>From Structural Models to Systemic Risk 6</p> <p>Measuring Systemic Risk 10</p> <p>Systemic Risk and Copula Models 15</p> <p>Conclusions 20</p> <p>References 20</p> <p><b>Chapter 2 Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management 22</b><br /> <i>Michael Jacobs Jr., PhD, CFA</i></p> <p>Introduction 22</p> <p>Review of the Literature 25</p> <p>Supervisory Requirements for CCR 26</p> <p>Conceptual Issues in CCR: Risk versus Uncertainty 41</p> <p>Conclusions 44</p> <p>References 44</p> <p><b>Chapter 3 Nonperforming Loans in the Bank Production Technology 46</b><br /> <i>Hirofumi Fukuyama and William L. Weber</i></p> <p>Introduction 46</p> <p>Selective Literature Review 47</p> <p>Method 51</p> <p>Empirical Application 57</p> <p>Summary and Conclusion 65</p> <p>Appendix 3.1 Bank Names and Type 66</p> <p>References 67</p> <p><b>Section Two Risk Models and Measures</b></p> <p><b>Chapter 4 A Practical Guide to Regime Switching in Financial Economics 73</b><br /> <i>Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp and Qi Zhang</i></p> <p>A Brief Look at Markov Regime Switching in Academic Economics and Finance 74</p> <p>Regime Switching and Interest Rate Processes 75</p> <p>Regime Switching and Exchange Rates 76</p> <p>Regime Switching, Stock Returns, and Asset Allocation 77</p> <p>Single-Asset Markov Models 79</p> <p>Two-State Estimation 82</p> <p>Three-State Estimation 84</p> <p>Markov Models for Multiple Assets 85</p> <p>Practical Application of Regime Switching Models for Investment Purposes 87</p> <p>Intuitive Appeal of Such Models 87</p> <p>Implementation Challenges 89</p> <p>Selecting the “Right" Model Structure 89</p> <p>Calibrating the Selected Model Type to Suitable Data 90</p> <p>Drawing the Right Conclusions from the Model 93</p> <p>References 95</p> <p><b>Chapter 5 Output Analysis and Stress Testing for Risk Constrained Portfolios 98</b><br /> <i>Jitka Dupačová and Miloš Kopa</i></p> <p>Introduction 98</p> <p>Worst-Case Analysis 107</p> <p>Stress Testing via Contamination 110</p> <p>Conclusions and New Problems 122</p> <p>References 122</p> <p><b>Chapter 6 Risk Measures and Management in the Energy Sector 126</b><br /> <i>Marida Bertocchi, Rosella Giacometti and Maria Teresa Vespucci</i></p> <p>Introduction 126</p> <p>Uncertainty Characterization via Scenarios 128</p> <p>Measures of Risks 132</p> <p>Case Studies 137</p> <p>Summary 147</p> <p>References 147</p> <p><b>Section Three Portfolio Management</b></p> <p><b>Chapter 7 Portfolio Optimization: Theory and Practice 155</b><br /> <i>William T. Ziemba</i></p> <p>Static Portfolio Theory 155</p> <p>Importance of Means 163</p> <p>Stochastic Programming Approach to Asset Liability Management 167</p> <p>Siemens InnoALM Pension Fund Model 182</p> <p>Dynamic Portfolio Theory and Practice: The Kelly Capital Growth Approach 194</p> <p>Transactions Costs 199</p> <p>Some Great Investors 201</p> <p>Appendix 7.1: Estimating Utility Functions and Risk Aversion 206</p> <p>References 208</p> <p><b>Chapter 8 Portfolio Optimization and Transaction Costs 212<br /> </b><i>Renata Mansini, Wlodzimierz Ogryczak and M. Grazia Speranza</i></p> <p>Introduction 212</p> <p>Literature Review on Transaction Costs 215</p> <p>An LP Computable Risk Measure: The Semi-MAD 221</p> <p>Modeling Transaction Costs 223</p> <p>Non-Unique Minimum Risk Portfolio 232</p> <p>Experimental Analysis 234</p> <p>Conclusions 237</p> <p>Appendix 238</p> <p>References 239</p> <p><b>Chapter 9 Statistical Properties and Tests of Efficient Frontier Portfolios 242</b><br /> <i>c J Adcock</i></p> <p>Introduction 242</p> <p>Notation and Setup 245</p> <p>Distribution of Portfolio Weights 247</p> <p>Empirical Study 255</p> <p>Discussion and Concluding Remarks 267</p> <p>References 268</p> <p><b>Section Four Credit Risk Modelling</b></p> <p><b>Chapter 10 Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices 273</b><br /> <i>Michael Jacobs Jr.</i></p> <p><b>Introduction and Motivation 273</b></p> <p>Conceptual Issues in Stress Testing: Risk versus Uncertainty 276</p> <p>The Function of Stress Testing 277</p> <p>Supervisory Requirements and Expectations 280</p> <p>Empirical Methodology: A Simple ST Example 281</p> <p>Conclusion and Future Directions 291</p> <p>References 293</p> <p><b>Chapter 11 A Critique of Credit Risk Models with Evidence from Mid-Cap Firms 296</b><br /> <i>David E. Allen, Robert J. Powell and Abhay K. Singh</i></p> <p>Introduction 296</p> <p>Summary of Credit Model Methodologies 297</p> <p>Our Empirical Methodology 302<br /> Critique 303</p> <p>Conclusions 310</p> <p>References 310</p> <p><b>Chapter 12 Predicting Credit Ratings Using a Robust Multicriteria Approach 312</b><br /> <i>Constantin Zopounidis</i></p> <p>Introduction 312</p> <p>Credit Scoring and Rating 315</p> <p>Multicriteria Methodology 319</p> <p>Empirical Analysis 325</p> <p>Conclusions and Future Perspectives 330</p> <p>References 331</p> <p><b>Section Five Financial Markets</b></p> <p><b>Chapter 13 Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric 337</b><br /> <i>Jung Heon Song, Kesheng Wu and Horst D. Simon</i></p> <p>Introduction 337</p> <p>Definition of VPIN 341</p> <p>Computational Cost 346</p> <p>Optimization of FPR 348</p> <p>Uncertainty Quantification (UQ) 353</p> <p>Conclusion 360</p> <p>References 362</p> <p><b>Chapter 14 Covariance Specification Tests for Multivariate GARCH Models 364<br /> </b><i>Gregory Koutmos</i></p> <p>Introduction 364</p> <p>Covariance Specification Tests 365</p> <p>Application of Covariance Specification Tests 367</p> <p>Empirical Findings and Discussion 368</p> <p>Conclusion 370</p> <p>References 370</p> <p><b>Chapter 15 Accounting Information in the Prediction of Securities Class Actions 372</b><br /> <i>Vassiliki Balla</i></p> <p>Introduction 372</p> <p>Literature Review 375</p> <p>Methodology 376</p> <p>Data 378</p> <p>Results 387</p> <p>Conclusions 394</p> <p>References 395</p> <p>About the Contributors 399</p> <p>Glossary 413</p> <p>Index 421</p>
<p><b>CONSTANTIN ZOPOUNIDIS, P<small>H</small>D,</b> is professor of Financial Engineering and Operations Research at Technical University of Crete in Greece and distinguished research professor at Audencia Nantes School of Management in France. <p><b>EMILIOS GALARIOTIS, P<small>H</small>D (Dunelm), HDR,</b> is professor of Finance at Audencia Nantes School of Management in France. He is the founder and director of the Centre for Financial and Risk Management and head of research in the area of finance, risk, and accounting performance at Audencia. He is also joint-Head of the Accounting and Finance Department.
<p><b>A Comprehensive Guide to Quantitative Financial Risk Management</b> <p>Written by an international team of experts in the field, <i>Quantitative Financial Risk Management: Theory and Practice</i> provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets. <p>This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in <i>Quantitative Financial Risk Management</i> can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis. <p><i>Quantitative Financial Risk Management</i> delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.

Diese Produkte könnten Sie auch interessieren:

Agile Project Management
Agile Project Management
von: Project Management Journal
EPUB ebook
23,99 €
Make Change Work
Make Change Work
von: Randy Pennington
PDF ebook
14,99 €
Nonprofit Law Made Easy
Nonprofit Law Made Easy
von: Bruce R. Hopkins
EPUB ebook
53,99 €