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" Quantitative financial risk management : "
Constantin Zopounidis, Emilios Galariotis
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BL
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662118
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dltt
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| Main Entry
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Zopounidis, Constantin.
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| Title & Author
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Quantitative financial risk management : : theory and practice /\ Constantin Zopounidis, Emilios Galariotis
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| Series Statement
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The Frank J. Fabozzi series
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1 online resource
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| ISBN
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9781118738221 (epub)
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: 1118738225 (epub)
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: 9781118738405 (pdf)
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: 1118738403 (pdf)
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9781118738184 (hardback)
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: 9781119080305
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: 1119080304
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: 1118738187
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: 9781118738184
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| Notes
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Includes index
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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
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Includes bibliographical references and index
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| Contents
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Supervisory Bisk Management -- Measuring Systemic Risk: Structural Approaches / Raimund M. Kovacevic, Georg Ch. Pllug -- Systemic Risk: Definitions -- From Structural Models to Systemic Risk -- Measuring Systemic Risk -- Systemic Risk and Copula Models -- Conclusions -- References -- Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management / Michael Jacobs -- Introduction -- Review of the Literature -- Supervisory Requirements for CCR -- Conceptual Issues in CCR: Risk versus Uncertainty -- Conclusions -- References -- Nonperforming Loans in the Bank Production Technology / Hirofumi Fukuyama, William L. Weber -- Introduction -- Selective Literature Review -- Method -- Empirical Application -- Summary and Conclusion -- Bank Names and Type -- References -- Risk Models and Measures -- A Practical Guide to Regime Switching in Financial Economics / Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, Qi Zhang -- 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 -- Output Analysis and Stress Testing for Risk Constrained Portfolios / Jitka Dupacová, Mileš Kopa -- Introduction -- Worst-Case Analysis -- Stress Testing via Contamination -- Conclusions and New Problems -- References -- Risk Measures and Management in the Energy Sector / Marida Bertocchi, Rosella Giacometti, Maria Teresa Vespucci -- Introduction -- Uncertainty Characterization via Scenarios -- Measures of Risks -- Case Studies -- Summary -- References -- Portfolio Management -- Portfolio Optimization: Theory and Practice / William T. Ziemba -- 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 -- Estimating Utility Functions and Risk Aversion -- References -- Portfolio Optimization aid Transaction Costs / Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza -- 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 -- Statistical Properties and Tests of Efficient Frontier Portfolios / C J Adcock -- Introduction -- Notation and Setup -- Distribution of Portfolio Weights -- Empirical Study -- Discussion and Concluding Remarks -- References -- Credit Risk Modelling -- Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices / Michael Jacobs Jr. -- 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 -- A Critique if Credit Risk Models with Evidence from Mid-Cap Firms / David B. Allen, Robert J. Powell, Abhay K. Singh -- Introduction -- Summary of Credit Model Methodologies -- Our Empirical Methodology -- Critique -- Conclusions -- References -- Predicting Credit Ratings Using a Robust Multicriteria Approach / Constantin Zopounidis -- Introduction -- Credit Scoring and Rating -- Multicriteria Methodology -- Empirical Analysis -- Conclusions and Future Perspectives -- References -- Financial Markets -- Parameter Analysis of tin VPN (Volume-Synchronized Probability of Informed Trading) Metric / Jung Heon Song, Kesheng Wu, Horst D. Simon -- Introduction -- Definition of VPIN -- Computational Cost -- Optimization of FPR -- Uncertainty Quantification (UQ) -- Conclusion -- References -- Covariance Specification Tests for Multivariate Garch Models / Gregory Koutmos -- Introduction -- Covariance Specification Tests -- Application of Covariance Specification Tests -- Empirical Findings and Discussion -- Conclusion -- References -- Accounting Information in the Prediction of Securities Class Actions / Vassiliki Balla -- Introduction -- Literature Review -- Methodology -- Data -- Results -- Conclusions -- References
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| Subject
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Financial risk management.
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| Dewey Classification
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332
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| LC Classification
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HD61
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| Added Entry
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Galariotis, Emilios.
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Ohio Library and Information Network.
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