Ebook: Risk Assessment: Decisions in Banking and Finance
- Tags: Finance /Banking, Quantitative Finance
- Series: Contributions to Economics
- Year: 2008
- Publisher: Physica-Verlag Heidelberg
- Edition: 1
- Language: English
- pdf
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.
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.
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.
Content:
Front Matter....Pages I-VIII
Automotive Finance: The Case for an Industry-Specific Approach to Risk Management....Pages 1-9
Evidence on Time-Varying Factor Models for Equity Portfolio Construction....Pages 11-14
Time Dependent Relative Risk Aversion....Pages 15-46
Portfolio Selection with Common Correlation Mixture Models....Pages 47-76
A New Tempered Stable Distribution and Its Application to Finance....Pages 77-109
Estimation of ?-Stable Sub-Gaussian Distributions for Asset Returns....Pages 111-152
Risk Measures for Portfolio Vectors and Allocation of Risks....Pages 153-164
The Road to Hedge Fund Replication: The Very First Steps....Pages 165-203
Asset Securitisation as a Profits Management Instrument....Pages 205-213
Recent Advances in Credit Risk Management....Pages 215-234
Stable ETL Optimal Portfolios and Extreme Risk Management....Pages 235-262
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research....Pages 263-286
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.
Content:
Front Matter....Pages I-VIII
Automotive Finance: The Case for an Industry-Specific Approach to Risk Management....Pages 1-9
Evidence on Time-Varying Factor Models for Equity Portfolio Construction....Pages 11-14
Time Dependent Relative Risk Aversion....Pages 15-46
Portfolio Selection with Common Correlation Mixture Models....Pages 47-76
A New Tempered Stable Distribution and Its Application to Finance....Pages 77-109
Estimation of ?-Stable Sub-Gaussian Distributions for Asset Returns....Pages 111-152
Risk Measures for Portfolio Vectors and Allocation of Risks....Pages 153-164
The Road to Hedge Fund Replication: The Very First Steps....Pages 165-203
Asset Securitisation as a Profits Management Instrument....Pages 205-213
Recent Advances in Credit Risk Management....Pages 215-234
Stable ETL Optimal Portfolios and Extreme Risk Management....Pages 235-262
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research....Pages 263-286
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