Advances in risk management Ebook. - Originally published in: 2006 (Palgrave Macmillan, 2006)
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Acknowledgements Notes on the Contributors Introduction Optimal Determination of the Collection Threshold for Operational Losses-- Y. Crama, G. Hubner and J. Peters Incorporating Diversification into Risk Management-- A. Purnanandam, M. Warachka, Y. Zhao, and W. T. Ziemba Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies-- E. Borgonovo and M. Percoco Managing Interest Rate Risk under Non-Parallel Changes: An Application of a Two-Factor Model-- M. Moreno An Essay on Stochastic Volatility and the Yield Curve-- R. Theoret, P. Rostan and A. El-Moussadek Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation-- H. Gatfaoui A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-style Credit Risk Models-- J. Fermanian and M. Sbai The Modeling of Weather Derivative Portfolio Risk-- S. Jewson Optimal Investment with Inflation-linked Products-- T. Beletski and R. Korn Model Risk and Financial Derivatives-- F. Lhabitant Evaluating Value-at-risk Estimates: A Cross-section Approach-- R. Zenti, M. Pallotta, and C. Marsala Correlation Breakdowns and the Impact for Asset Management-- R. Bramante and G. Gabbi Sequential Procedures for Monitoring Covariance's of Asset Returns-- O. Bodnar An Empirical Study of Time-Varying Return Correlations and Efficient Set of Portfolios-- T. Jithendranathan The Derivation of the NPV Probability Distribution of Risky Investments with Autoregressive Cash Flows-- J. Paquin, A. Lambert, and A. Charbonneau Have Volatility Transmission Patterns between Spain and USA changed after September 11?-- H. Chulia, F.J. Climent, P. Soriano, and H. Torro Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates-- H. Chulia and H. Torro On Model Selection and its Impact on the Hedging of Financial Derivatives-- G. Di Graziano and S. Galluccio Index
This important book brings together an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics and Portfolio Diversification, this book is vital for optimal portfolio allocation for private and institutional investors, and is an indispensable tool