Advances in risk management:
Gespeichert in:
| Weitere Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Basingstoke [u.a.]
Palgrave Macmillan
2007
|
| Schriftenreihe: | Finance and capital markets
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturangaben |
| Beschreibung: | XXIV, 376 S. graph. Darst. |
| ISBN: | 0230019161 9780230019164 |
Internformat
MARC
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| 245 | 1 | 0 | |a Advances in risk management |c ed. by Greg N. Gregoriou |
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Datensatz im Suchindex
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| adam_text | Contents
Acknowledgements xi
Notes on the Contributors xii
Introduction xxi
1 Impact of the Collection Threshold on the
Determination of the Capital Charge for
Operational Risk 1
Yves drama, Georges Hubner and Jean-Philippe Peters
1.1 Introduction 1
1.2 Measuring operational risk 3
1.3 The collection threshold 8
1.4 Empirical analysis 11
1.5 Conclusion 16
2 Incorporating Diversification into Risk Management 22
Amiyatosh Purnanandam, Mitch Warachka, Yonggan Zhao and
William T. Ziemba
2.1 Introduction 22
2.2 Risk measure with diversification 24
2.3 Numerical example 31
2.4 Implementation 33
2.5 Pricing portfolio insurance 37
2.6 Conclusion 43
CONTENTS
3 Sensitivity Analysis of Portfolio Volatility:
Importance of Weights, Sectors and Impact of
Trading Strategies 47
Emanuele Borgonovo and Marco Percoco
3.1 Introduction 47
3.2 Sensitivity analysis background 50
3.3 Effect of relative weight changes 51
3.4 Importance of portfolio weights in GARCH volatility
estimation models 53
3.5 Empirical results: trading strategies through sensitivity
analysis 56
3.6 Conclusion 64
4 Managing Interest Rate Risk under Non-Parallel
Changes: An Application of a Two-Factor Model 69
Manuel Moreno
4.1 Introduction 69
4.2 The model 70
4.3 Generalized duration and convexity 72
4.4 Hedging ratios 74
4.5 A proposal of a solution for the limitations of the
conventional duration 75
4.6 Conclusion 83
5 An Essay on Stochastic Volatility and the
Yield Curve 86
Raymond Theoret, Pierre Rostan and
Abdeljalil El-Moussadek
5.1 Introduction 86
5.2 Variations on stochastic volatility and conditional
volatility 88
5.3 Interest rate term structure forecasting 92
5.4 Interest rate term structure models 92
5.5 Methodology 94
5.6 Data and calibration of the Fong and Vasicek model 97
5.7 Simulation 98
5.8 Empirical results 99
5.9 Conclusion 102
CONTENTS
6 Idiosyncratic Risk, Systematic Risk and Stochastic
Volatility: An Implementation of Merlon s Credit
Risk Valuation 107
Hayette Catfaoui
6.1 Introduction 107
6.2 The general model 110
6.3 A stochastic volatility model 114
6.4 Simulation study 118
6.5 Conclusion 126
7 A Comparative Analysis of Dependence
Levels in Intensity-Based and Merton-Style
Credit Risk Models 132
jean-David Fermanian and Mohammed Sbai
7.1 Introduction 132
7.2 Merton-style models 133
7.3 Intensity-based models 136
7.4 Comparisons between some dependence indicators 139
7.5 Extensions of the basic intensity-based model 143
7.6 Conclusion 150
8 The Modeling of Weather Derivative Portfolio Risk 156
Stephen Jewson
8.1 Introduction 156
8.2 What are weather derivatives? 157
8.3 Defining risk for weather derivative portfolios 159
8.4 Basic methods for estimating the risk in weather
derivative portfolios 160
8.5 The incorporation of sampling error in simulations 162
8.6 Accurate estimation of the correlation matrix 162
8.7 Dealing with non-normality 163
8.8 Estimating model error 164
8.9 Incorporating hedging constraints 165
8.10 Consistency between the valuation of single
contracts and portfolios 166
8.11 Estimating sampling error 167
8.12 Estimating VaR 167
8.13 Conclusion 168
9 Optimal Investment with Inflation-Linked Products 170
Taras Beletski and Ralf Korn
9.1 Introduction 170
9.2 Modeling the evolution of an inflation index 171
9.3 Optimal portfolios with inflation linked products 173
9.4 Hedging with inflation linked products 182
9.5 Conclusion 189
10 Model Risk and Financial Derivatives 191
Francois-Serge Lhabitant
10.1 Introduction 191
10.2 From mathematical theory to financial practise 194
10.3 An illustration of model risk 195
10.4 The role of models for derivatives 197
10.5 The model-building process and model
risk-creation 199
10.6 What if the model is wrong? a case study 201
10.7 Eleven rules for managing model risk 203
10.8 Conclusion 210
11 Evaluating Value-at-Risk Estimates: A Cross-Section
Approach 213
Raffaele Zenti, Massimiliano Pallotta and Claudio Marsala
11.1 Introduction 213
11.2 Value-at-risk 214
11.3 Review of existing methods for backtesting 214
11.4 An extension: the cross-section approach 217
11.5 Applications 219
11.6 Conclusion 224
12 Correlation Breakdowns in Asset Management 226
Riccardo Bramante and Giampaolo Gabbi
12.1 Introduction 226
12.2 Data and descriptive statistics 226
12.3 Correlation jumps and volatility behavior 228
12.4 Impact on portfolio optimization 237
12.5 Conclusion 237
13 Sequential Procedures for Monitoring Covariances
of Asset Returns 241
Olha Bodnar
13.1 Introduction 241
13.2 Covariance structure of asset returns and optimal
portfolio weights 243
13.3 Multivariate statistical surveillance 246
13.4 Simultaneous statistical surveillance 251
13.5 A comparison of the multivariate and simultaneous
control charts 253
13.6 Conclusion 258
14 An Empirical Study of Time-Varying Return
Correlations and the Efficient Set of Portfolios 265
Thadavillil Jithendranathan
14.1 Introduction 265
14.2 Empirical Methodology and Data 267
14.3 Results 270
14.4 Conclusion 276
15 The Derivation of the NPV Probability Distribution
of Risky Investments with Autoregressive Cash Flows 278
jean-Paul Paquin, Annick Lambert and Alain Charbonneau
15.1 Introduction 278
15.2 Systematic risk and the perfect economy 280
15.3 Total risk and the real economy 282
15.4 The NPV probability distribution and the CLT: theoretical
results 285
15.5 The NPV probability distribution and the CLT: simulation
models and statistical tests 288
15.6 The NPV probability distribution and the CLT:
simulation results 289
15.7 Conclusion 293
16 Have Volatility Transmission Patterns between
the USA and Spain Changed after September 11? 303
Helena Chulia, Francisco j. Climent, Pilar Soriano and Hipolit Torro
16.1 Introduction 303
16.2 Data 305
16.3 The econometric approach 309
16.4 Empirical results 312
16.5 Conclusion 321
17 Large and Small Cap Stocks in Europe: Covariance
Asymmetry, Volatility Spillovers and Beta Estimates 327
Helena Chulia and Hipolit Torro
17.1 Introduction 327
17.2 The econometric framework 329
17.3 Data and preliminary analysis 331
17.4 Results 335
17.5 Asymmetries analysis 342
17.6 Volatility spillovers 345
17.7 Conclusion 348
18 On Model Selection and its Impact on the Hedging of
Financial Derivatives 353
Giuseppe Di Graziano and Stefano Galluccio
18.1 Introduction 353
18.2 Model and Mathematical setup 355
18.3 Analytical expression of the total hedging error 357
18.4 Numerical results 359
18.5 Conclusion 363
Index 365
|
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| indexdate | 2024-07-09T22:35:50Z |
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| isbn | 0230019161 9780230019164 |
| language | English |
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| physical | XXIV, 376 S. graph. Darst. |
| publishDate | 2007 |
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| publisher | Palgrave Macmillan |
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| series2 | Finance and capital markets |
| spelling | Advances in risk management ed. by Greg N. Gregoriou Basingstoke [u.a.] Palgrave Macmillan 2007 XXIV, 376 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finance and capital markets Literaturangaben Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Anlagepolitik (DE-588)4206018-7 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Anlagepolitik (DE-588)4206018-7 s Portfolio Selection (DE-588)4046834-3 s Risikomanagement (DE-588)4121590-4 s DE-604 Gregoriou, Greg N. 1956- (DE-588)132185016 edt HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020126906&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Advances in risk management Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd Anlagepolitik (DE-588)4206018-7 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4121590-4 (DE-588)4206018-7 (DE-588)4143413-4 |
| title | Advances in risk management |
| title_auth | Advances in risk management |
| title_exact_search | Advances in risk management |
| title_full | Advances in risk management ed. by Greg N. Gregoriou |
| title_fullStr | Advances in risk management ed. by Greg N. Gregoriou |
| title_full_unstemmed | Advances in risk management ed. by Greg N. Gregoriou |
| title_short | Advances in risk management |
| title_sort | advances in risk management |
| topic | Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd Anlagepolitik (DE-588)4206018-7 gnd |
| topic_facet | Portfolio Selection Risikomanagement Anlagepolitik Aufsatzsammlung |
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