| Document Type
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BL
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| Record Number
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768280
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| Doc. No
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b588266
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| Main Entry
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edited by Georg Bol, Svetlozar T. Rachev, Reinhold Würth.
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| Title & Author
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Risk assessment : : decisions in banking and finance\ edited by Georg Bol, Svetlozar T. Rachev, Reinhold Würth.
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| Publication Statement
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Heidelberg : Physica ; London : Springer [distributor], ©2009.
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| Series Statement
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Contributions to economics.
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| ISBN
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1281876658
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: 3790820490
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: 3790820504
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: 9781281876652
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: 9783790820492
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: 9783790820508
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| Contents
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Automotive Finance: The Case for an Industry-Specific Approach to Risk Management --; Evidence on Time-Varying Factor Models for Equity Portfolio Construction --; Time Dependent Relative Risk Aversion --; Portfolio Selection with Common Correlation Mixture Models --; A New Tempered Stable Distribution and Its Application to Finance --; Estimation of a-stable Sub-Gaussian Distributions for Asset Returns --; Risk Measures for Portfolio Vectors and Allocation of Risks --; The Road to Hedge Fund Replications: The Very First Steps --; Asset Securisation as a Profits Management Instrument --; Recent Advances in Credit Risk Management --; Stable ETL Optimal Portfolios and Extreme Risk Management --; Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research.
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| Abstract
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New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.
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| Subject
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Banks and banking -- Risk management.
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| Subject
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BUSINESS ECONOMICS -- Banks Banking.
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| Subject
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Financial risk management.
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| LC Classification
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HG4521.E358 2009
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| Added Entry
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G Bol
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Reinhold Würth
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S T Rachev
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