This book is a guide to asset and risk management from a practical point of view. It is centered around two questions … triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … they should not? - How do investors deal with such crises in terms of their risk measurement and management and, as a …

Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is … priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross … pricing story: higher asset returns must be associated with lower prices and higher risk exposure. In particular, he …

This book is a comprehensive guide to several aspects of risk, including information systems, disaster management … operations research models that have been (or could be) applied to enterprise supply risk management, especially from the supply …, definitions and discussion notes. This book comes at a time when the world is increasingly challenged by different forms of risk …

theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new … theory is not an adequate foundation for modeling systemic and extreme risk in complex financial systems. He proposes a new …Christian Hugo Hoffmann undermines the citadel of risk assessment and management, arguing that classical probability …

Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code. …In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in … particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she …

Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk …-Hochfrequente Finanzdaten Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle Analyse von …

Portfoliotheorie -- Arbitragefreie Ein-Perioden-Modelle und CAPM -- Value at Risk -- Kohärente Risikomaße und der … Rendite versprechen. Risiko wird hier definiert als die Standardabweichung der Portfoliorendite. Für arbitragefreie Ein … Value at Risk vorgestellt, das den größten Verlust eines Portfolios quantifiziert, der mit einer vorgegebenen …