Quantitative financial risk management : theory and practice
Constantin Zopounidis; Emilios Galariotis
| Year of publication: |
c 2015
|
|---|---|
| Authors: | Zopounidis, Constantin ; Galariotis, Emilios |
| Publisher: |
Hoboken, N.J. : Wiley |
| Subject: | Portfolio-Management | Portfolio selection | Kapitalmarktrendite | Capital market returns | Kreditrisiko | Credit risk | Welt | World | Finanzierung | Portfoliomanagement | Risikomanagement |
| Description of contents: | Table of Contents [gbv.de] ; Description [catalogimages.wiley.com] ; Description [swbplus.bsz-bw.de] |
| Extent: | XIX, 428 S. graph. Darst. |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Aufsatzsammlung ; Glossar enthalten ; Glossary included |
| Language: | English |
| Notes: | Includes index 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 . |
| ISBN: | 978-1-118-73818-4 ; 978-1-118-73840-5 ; 978-1-118-73840-5 |
| Classification: | Geld, Inflation, Kapitalmarkt ; Investition, Finanzierung |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010533351