Quantitative Financial Risk Management: Theory and Practice

INDICE: Preface .About the Editors .Section I: Supervisory Risk Management .Chapter 1: Measuring Systemic Risk: Structural ApproachesRaimund 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 TechnologyHirofumi Fukuyama and William L. Weber .Section II: Risk Models and Measures .Chapter 4: A Practical Guide to Regime Switching in Financial EconomicsIain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zhang .Chapter 5: Output Analysis and Stress Testing for Risk–Constrained PortfoliosJitka Dupaèová and Milo Kopa .Chapter 6: Risk Measures and Management in the Energy SectorMarida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci .Section III: Portfolio Management .Chapter 7: Portfolio Optimization: Theory and PracticeWilliam T. Ziemba .Chapter 8: Portfolio Optimization and Transaction CostsRenata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza .Chapter 9: Statistical Properties and Tests of Efficient Frontier PortfoliosChris J Adcock .Section IV: Credit Risk Modeling .Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and PracticesMichael Jacobs Jr. .Chapter 11: A Critique of Credit Risk Models with Evidence from Mid–Cap FirmsDavid E. Allen. Robert J. Powell, and Abhay K. Singh .Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria ApproachConstantin Zopounidis .Section V: Financial Markets .Chapter 13: Parameter Analysis of the VPIN (Volume–Synchronized Probability of Informed Trading) MetricJung Heon Song, Kesheng Wu, and Horst D. Simon .Chapter 14: Covariance Specification Tests for Multivariate GARCH ModelsGregory Koutmos .Chapter 15: Accounting Information in the Prediction of Securities Class ActionsVassiliki Balla .About the Contributors .Index

• ISBN: 978-1-118-73818-4
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 416
• Fecha Publicación: 17/06/2015
• Nº Volúmenes: 1
• Idioma: Inglés