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 …

Performance Evaluation -- Selected Algorithms from the Literature -- Proposed Algorithms with Risk Management … problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author …-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk …

Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk … exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss … distribution that comprises various risk types are analyzed. PD Dr. Peter Grundke habilitierte am Seminar für Allgemeine …

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management … risk management to diverse business environments. Included are traditional market and credit risk management models such as …

Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting …Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the … asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the …

and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade … ratio and the reward-to-VaR ratio are proposed for loan portfolios although it is not assessed whether their risk … optimal risk-return trade-offs of commercial banks and to compare them with those of reward-to-risk ratios. The risk …

Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under … Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector … Concentration Risk in Credit Portfolios -- Conclusion …

of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and … -- 10 Random Fuzzy Mean-Risk Model -- Bibliography -- List of Frequently Used Symbols …