Advances in Risk Management
eBook - PDF

Advances in Risk Management

  1. English
  2. PDF
  3. Available on iOS & Android
eBook - PDF

Advances in Risk Management

About this book

This important book brings together an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics and Portfolio Diversification, this book is vital for optimal portfolio allocation for private and institutional investors, and is an indispensable tool.

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Yes, you can access Advances in Risk Management by G. Gregoriou in PDF and/or ePUB format, as well as other popular books in Betriebswirtschaft & Unternehmensfinanzen. We have over one million books available in our catalogue for you to explore.

Table of contents

  1. Cover
  2. Contents
  3. Acknowledgements
  4. Notes on the Contributors
  5. Introduction
  6. 1 Impact of the Collection Threshold on the Determination of the Capital Charge for Operational Risk
  7. 2 Incorporating Diversification into Risk Management
  8. 3 Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies
  9. 4 Managing Interest Rate Risk under Non-Parallel Changes: An Application of a Two-Factor Model
  10. 5 An Essay on Stochastic Volatility and the Yield Curve
  11. 6 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation
  12. 7 A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-Style Credit Risk Models
  13. 8 The Modeling of Weather Derivative Portfolio Risk
  14. 9 Optimal Investment with Inflation-Linked Products
  15. 10 Model Risk and Financial Derivatives
  16. 11 Evaluating Value-at-Risk Estimates: A Cross-Section Approach
  17. 12 Correlation Breakdowns in Asset Management
  18. 13 Sequential Procedures for Monitoring Covariances of Asset Returns
  19. 14 An Empirical Study of Time-Varying Return Correlations and the Efficient Set of Portfolios
  20. 15 The Derivation of the NPV Probability Distribution of Risky Investments with Autoregressive Cash Flows
  21. 16 Have Volatility Transmission Patterns between the USA and Spain Changed after September 11?
  22. 17 Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates
  23. 18 On Model Selection and its Impact on the Hedging of Financial Derivatives
  24. Index