Risk assessment: decisions in banking and finance
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 measur...
Gespeichert in:
Format: | Buch |
---|---|
Sprache: | English |
Veröffentlicht: |
Heidelberg
Physica-Verl.
2009
|
Schriftenreihe: | Contributions to economics
|
Schlagworte: | |
Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
Zusammenfassung: | 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. TOC:Automotive Finance: The Case for an Industry-Specific Approach to Risk Management.- Evidence on Time-Varying Factor Models for Equity Portfolio Construction.- Portfolio Selection with Common Correlation Mixture Models.- A New Tempered Stable Distribution and Its Application to Finance.- Estimation of a-stable Sub-Gaussian Distributions for Asset Returns.- Risk Measures for Portfolio Vectors and Allocation of Risks.- The Road to Hedge Fund Replications: The Very First Steps.- Asset Securisation as a Profits Management Instrument.- Recent Advances in Credit Risk Management.- Stable ETL Optimal Portfolios and Extreme Risk Management.- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research. |
Beschreibung: | Literaturangaben |
Beschreibung: | VIII, 286 S. graph. Darst. |
ISBN: | 3790820490 9783790820492 |
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CONTENTS AUTOMOTIVE FINANCE: THE CASE FOR AN INDUSTRY-SPECIFIC APPROACH
TO RISK MANAGEMENT CHRISTIAN DIEKMANN
. 1 EVIDENCE ON
TIME-VARYING FACTOR MODELS FOR EQUITY PORTFOLIO CONSTRUCTION MARKUS
EBNER AND THORSTEN NEUMANN . 11 TIME
DEPENDENT RELATIVE RISK AVERSION ENZO GIACOMINI, MICHAEL HANDEL, AND
WOLFGANG K. H¨ ARDLE . 15 PORTFOLIO SELECTION WITH COMMON
CORRELATION MIXTURE MODELS MARKUS HAAS AND STEFAN MITTNIK
. 47 A NEW TEMPERED STABLE
DISTRIBUTION AND ITS APPLICATION TO FINANCE YOUNG SHIN KIM, SVETLOZAR T.
RACHEV, MICHELE LEONARDO BIANCHI, AND FRANK J. FABOZZI
. 77 ESTIMATION OF * -STABLE
SUB-GAUSSIAN DISTRIBUTIONS FOR ASSET RETURNS SEBASTIAN KRING, SVETLOZAR
T. RACHEV, MARKUS H¨ OCHST¨ OTTER, AND FRANK J. FABOZZI
. 111 RISK
MEASURES FOR PORTFOLIO VECTORS AND ALLOCATION OF RISKS LUDGER R¨
USCHENDORF . 153 THE ROAD
TO HEDGE FUND REPLICATION: THE VERY FIRST STEPS LARS JAEGER
. 165 ASSET
SECURITISATION AS A PROFITS MANAGEMENT INSTRUMENT MARKUS SCHMIDTCHEN
. 205 VIII CONTENTS RECENT
ADVANCES IN CREDIT RISK MANAGEMENT FRANCES COWELL, BORJANA RACHEVA, AND
STEFAN TR¨ UCK . 215 STABLE ETL OPTIMAL PORTFOLIOS AND
EXTREME RISK MANAGEMENT SVETLOZAR T. RACHEV, R. DOUGLAS MARTIN, BORJANA
RACHEVA, AND STOYAN STOYANOV
. 235 PRICING
TRANCHES OF A CDO AND A CDS INDEX: RECENT ADVANCES AND FUTURE RESEARCH
DEZHONG WANG, SVETLOZAR T. RACHEV, AND FRANK J. FABOZZI . 263 |
adam_txt |
CONTENTS AUTOMOTIVE FINANCE: THE CASE FOR AN INDUSTRY-SPECIFIC APPROACH
TO RISK MANAGEMENT CHRISTIAN DIEKMANN
. 1 EVIDENCE ON
TIME-VARYING FACTOR MODELS FOR EQUITY PORTFOLIO CONSTRUCTION MARKUS
EBNER AND THORSTEN NEUMANN . 11 TIME
DEPENDENT RELATIVE RISK AVERSION ENZO GIACOMINI, MICHAEL HANDEL, AND
WOLFGANG K. H¨ ARDLE . 15 PORTFOLIO SELECTION WITH COMMON
CORRELATION MIXTURE MODELS MARKUS HAAS AND STEFAN MITTNIK
. 47 A NEW TEMPERED STABLE
DISTRIBUTION AND ITS APPLICATION TO FINANCE YOUNG SHIN KIM, SVETLOZAR T.
RACHEV, MICHELE LEONARDO BIANCHI, AND FRANK J. FABOZZI
. 77 ESTIMATION OF * -STABLE
SUB-GAUSSIAN DISTRIBUTIONS FOR ASSET RETURNS SEBASTIAN KRING, SVETLOZAR
T. RACHEV, MARKUS H¨ OCHST¨ OTTER, AND FRANK J. FABOZZI
. 111 RISK
MEASURES FOR PORTFOLIO VECTORS AND ALLOCATION OF RISKS LUDGER R¨
USCHENDORF . 153 THE ROAD
TO HEDGE FUND REPLICATION: THE VERY FIRST STEPS LARS JAEGER
. 165 ASSET
SECURITISATION AS A PROFITS MANAGEMENT INSTRUMENT MARKUS SCHMIDTCHEN
. 205 VIII CONTENTS RECENT
ADVANCES IN CREDIT RISK MANAGEMENT FRANCES COWELL, BORJANA RACHEVA, AND
STEFAN TR¨ UCK . 215 STABLE ETL OPTIMAL PORTFOLIOS AND
EXTREME RISK MANAGEMENT SVETLOZAR T. RACHEV, R. DOUGLAS MARTIN, BORJANA
RACHEVA, AND STOYAN STOYANOV
. 235 PRICING
TRANCHES OF A CDO AND A CDS INDEX: RECENT ADVANCES AND FUTURE RESEARCH
DEZHONG WANG, SVETLOZAR T. RACHEV, AND FRANK J. FABOZZI . 263 |
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dewey-hundreds | 300 - Social sciences |
dewey-ones | 332 - Financial economics |
dewey-raw | 332.10681 |
dewey-search | 332.10681 |
dewey-sort | 3332.10681 |
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discipline | Mathematik Wirtschaftswissenschaften |
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spelling | Risk assessment decisions in banking and finance Georg Bol ... (ed.) Heidelberg Physica-Verl. 2009 VIII, 286 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contributions to economics Literaturangaben 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. TOC:Automotive Finance: The Case for an Industry-Specific Approach to Risk Management.- Evidence on Time-Varying Factor Models for Equity Portfolio Construction.- Portfolio Selection with Common Correlation Mixture Models.- A New Tempered Stable Distribution and Its Application to Finance.- Estimation of a-stable Sub-Gaussian Distributions for Asset Returns.- Risk Measures for Portfolio Vectors and Allocation of Risks.- The Road to Hedge Fund Replications: The Very First Steps.- Asset Securisation as a Profits Management Instrument.- Recent Advances in Credit Risk Management.- Stable ETL Optimal Portfolios and Extreme Risk Management.- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research. Banks and banking - Risk management Financial risk management Money and finance (economics) Bank Bank (DE-588)4004436-1 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2006 Karlsruhe gnd-content Bank (DE-588)4004436-1 s Risikoanalyse (DE-588)4137042-9 s DE-604 Bol, Georg 1943- Sonstige (DE-588)107891042 oth Erscheint auch als Online-Ausgabe 978-3-7908-2050-8 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3070333&prov=M&dok_var=1&dok_ext=htm Inhaltstext SWBplus Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016440998&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
spellingShingle | Risk assessment decisions in banking and finance Banks and banking - Risk management Financial risk management Money and finance (economics) Bank Bank (DE-588)4004436-1 gnd Risikoanalyse (DE-588)4137042-9 gnd |
subject_GND | (DE-588)4004436-1 (DE-588)4137042-9 (DE-588)1071861417 |
title | Risk assessment decisions in banking and finance |
title_auth | Risk assessment decisions in banking and finance |
title_exact_search | Risk assessment decisions in banking and finance |
title_exact_search_txtP | Risk assessment decisions in banking and finance |
title_full | Risk assessment decisions in banking and finance Georg Bol ... (ed.) |
title_fullStr | Risk assessment decisions in banking and finance Georg Bol ... (ed.) |
title_full_unstemmed | Risk assessment decisions in banking and finance Georg Bol ... (ed.) |
title_short | Risk assessment |
title_sort | risk assessment decisions in banking and finance |
title_sub | decisions in banking and finance |
topic | Banks and banking - Risk management Financial risk management Money and finance (economics) Bank Bank (DE-588)4004436-1 gnd Risikoanalyse (DE-588)4137042-9 gnd |
topic_facet | Banks and banking - Risk management Financial risk management Money and finance (economics) Bank Risikoanalyse Konferenzschrift 2006 Karlsruhe |
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