E-Book, Englisch, 286 Seiten
Reihe: Contributions to Economics
Bol / Würth / Rachev Risk Assessment
1. Auflage 2008
ISBN: 978-3-7908-2050-8
Verlag: Physica-Verlag HD
Format: PDF
Kopierschutz: 1 - PDF Watermark
Decisions in Banking and Finance
E-Book, Englisch, 286 Seiten
Reihe: Contributions to Economics
ISBN: 978-3-7908-2050-8
Verlag: Physica-Verlag HD
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Autoren/Hrsg.
Weitere Infos & Material
1;Preface;5
2;Contents;6
3;Automotive Finance: The Case for an Industry-Specific Approach to Risk Management;8
4;Evidence on Time-Varying Factor Models for Equity Portfolio Construction;17
5;Time Dependent Relative Risk Aversion;21
6;Portfolio Selection with Common Correlation Mixture Models;53
7;A New Tempered Stable Distribution and Its Application to Finance;83
8;Estimation of a-Stable Sub-Gaussian Distributions for Asset Returns;116
9;Risk Measures for Portfolio Vectors and Allocation of Risks;158
10;The Road to Hedge Fund Replication: The Very First Steps;170
11;Asset Securitisation as a Profits Management Instrument;209
12;Recent Advances in Credit Risk Management;218
13;Stable ETL Optimal Portfolios and Extreme Risk Management;238
14;Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research;266
