Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially explored risks or risk takers in a wide variety of...

In this paper we canvass the use of a duration measure based on approximate duration which has the advantage of not being sensitive to non-parallel shifts in the term structure in the same manner as the Macaulay duration. The paper compares the performance of bond immunization strategies based...

Macaulay duration matched strategy is a key tool in bond portfolio immunization. It is well known that if term structures are not flat or changes are not parallel, then Macaulay duration matched portfolio can not guarantee adequate immunization. In this paper the approximate duration is proposed...

We investigate the provision of liquidity by different trader types on the Australian Securities Exchange using data that spans an extended sample period of 2003 to 2012. We find the familiar intraday U-shaped pattern in order volume and frequency where the lunch time session is associated with...

This paper provides a Markov chain model for the term structure and credit risk spreads of bond prices. It allows dependency between the stochastic process modeling the interest rate and the Markov chain process describing changes in the credit rating of the bonds by their mutual dependency on a...

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...