Financial risk measurement and management:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Cheltenham [u.a.]
Elgar
2012
|
| Series: | The International library of critical writings in economics series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | L, 990 S. |
| ISBN: | 9781849803908 |
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MARC
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| 245 | 1 | 0 | |a Financial risk measurement and management |c ed. by Francis X. Diebold |
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| adam_text | Contents
Acknowledgements
Introduction
100+
Years of Financial Risk Measurement and Management
Francis X. Die bold
PART I THE ROLE OF FINANCIAL RISK MEASUREMENT AND
MANAGEMENT?
1.
Kenneth J. Arrow and Gerard Debreu
( 1954),
Existence of an
Equilibrium for a Competitive Economy ,
Econometrica,
22 (3),
July,
265-90
2. K.J.
Arrow
(1964),
The Role of Securities in the Optimal
Allocation of Risk-bearing , Review of Economic Studies,
31 (2),
April,
91-6
3.
Franco
Modigliani
and Merton H. Miller
(1958),
The Cost of
Capital, Corporation Finance and the Theory of Investment ,
American Economic Review,
XLVIII
(3),
June,
261-97
4.
Kenneth A. Froot and Jeremy C. Stein
(1998),
Risk Management,
Capital Budgeting, and Capital Structure Policy for Financial
Institutions . An Integrated Approach , Journal of Financial
Economics,
47 (1),
January,
55-82
5.
Fischer Black and Myron Scholes
(1973),
The Pricing of Options
and Corporate Liabilities , Journal of Political Economy,
81 (3),
May-June,
637-54
6.
Robert E. Whaley
(1993),
Derivatives on Market Volatility:
Hedging Tools Long Overdue , Journal of Derivatives,
1,
Fall,
71-84
PART II STOCHASTIC FINANCIAL MODELLING AND THE FAILURE
OF NORMALITY
7.
Louis
Bachelier
([1900] 1964),
Theory of Speculation , in Paul H.
Cootner
(ed.),
The Random Character of Stock Market Prices,
Cambridge, MA: MIT Press,
17-78
8. Harry Markowitz (1952),
Portfolio Selection , Journal of Finance.
7 (1),
March,
77-91
9.
William F.
Sharpe
( 1964),
Capital Asset Prices: A Theory of
Market Equilibrium under Conditions of Risk , Journal of Finance
,
XIX (3),
September,
425-42
10.
Benoit
Mandelbrot
( 1963),
The Variation of Certain Speculative
Prices , Journal of Business,
36 (4),
October,
394-419
ix
ХШ
29
35
72
100
118
135
197
212
230
Financial
Risk Measurement and Management
11.
Eugene F.
Fama
( 1965),
The Behavior of
Stock-Market
Prices
,
Journal of Business,
38 (1),
January,
34-105 256
12.
Darrell Duffle and
Jun
Pan
(1997),
An Overview of Value at Risk ,
Journal of Derivatives,
4 (3),
Spring,
7-49 328
13.
Philippe Artzner, Freddy Delbaen, Jean-Marc
Eber
and David
Heath
(1999),
Coherent Measures of Risk
,
Mathematical Finance,
9 (3),
July,
203-28 371
PART III TIME-VARYING VOLATILITY
14.
Robert F. Engle
(1982),
Autoregressive
Conditional
Heteroscedasticity with Estimates of the Variance of United
Kingdom Inflation ,
Econometrica,
50 (4),
July,
987-1007 399
15.
Tim Bollerslev
(1986),
Generalized
Autoregressive
Conditional
Heteroskedasticity , Journal of Econometrics,
31 (3),
April,
307-27 420
16.
Stephen J. Taylor
(1982),
Financial Returns Modelled by the
Product of Two Stochastic Processes
-
A Study of Daily Sugar
Prices,
1961-79 ,
in O.D. Anderson
(ed.),
Time Series Analysis:
Theory and Practice
1,
Amsterdam, Holland, New York, NY and
Oxford, UK: North-Holland Publishing Company,
203-26 441
17.
Peter K. Clark
(1973),
A Subordinated Stochastic Process Model
with Finite Variance for Speculative Prices ,
Econometrica,
41 (1),
January,
135-55 465
18.
Ole E. Barndorff-Nielsen
and
Neil Shephard (2002),
Econometric
Analysis of Realized Volatility and its Use in Estimating Stochastic
Volatility Models , Journal of the Royal Statistical Society, Series
B,
64,
Part
2, 253-80 486
19. Torben
G.
Andersen, Tim Bollerslev, Francis X. Diebold and Paul
Labys
(2003),
Modeling and Forecasting Realized Volatility ,
Econometrica,
71 (2),
March,
579-625 514
20.
Ole E.
Barndorff-Nielsen and Neil Shephard
(2004),
Power and
В
ipower Variation with Stochastic Volatility and Jumps , Journal of
Financial Econometrics
2 ( 1 ), 1 -37 561
2
1
.
Francis X. Diebold and Marc Nerlove
(1989),
The Dynamics of
Exchange Rate Volatility: A Multivariate Latent Factor ARCH
Model , Journal of Applied Econometrics,
4(1).
January-March,
1-21 598
22.
Robert Engle
(2002),
Dynamic Conditional Correlation: A Simple
Class of Multivariate Generalized
Autoregressive
Conditional
Heteroskedasticity Models , Journal of Business and Economic
Statistics,
20 (3),
July,
339-50 619
23.
Jeff Fleming, Chris Kirby and Barbara Ostdiek
(2003),
The
Economic Value of Volatility Timing Using Realized Volatility ,
Journal of Financial Economics,
67 (3),
March,
473-509 631
Financial Risk Measurement and Management
PART IV BOND MARKETS
24.
Charles R. Nelson and Andrew
F. Siegel (1987),
Parsimonious
Modeling of Yield Curves , Journal of Business,
60 (4),
October.
473-89
25.
Robert Litterman and
José Scheinkman
(1991),
Common Factors
Affecting Bond Returns , Journal of Fixed Income.
1 (1).
June.
54-61
26.
Francis X. Diebold and Canlin Li
(2006),
Forecasting the Term
Structure of Government Bond Yields , Journal of Econometrics,
130 (2),
February,
337-64
27.
Oldřich
Vasicek
( 1977),
An Equilibrium Characterization of the
Term Structure , Journal of Financial Economics,
5 (2),
November,
177-88
28.
Darrell Duffie and
Rui
Kan
(1996),
A Yield-Factor Model of
Interest Rates , Mathematical Finance,
6 (4),
October,
379-406
29.
Jens H.E. Christensen, Francis X. Diebold and Glenn D. Rudebusch
(2011),
The
Affine
Arbitrage-Free Class of
Nelson-Siegel
Term
Structure Models , Journal of Econometrics,
164 (1),
September,
4-20
PART V RARE EVENT RISK
30.
François
Longin
and Bruno Solnik
(2001),
Extreme Correlation of
International Equity Markets , Journal of Finance,
LVI (2),
April,
649-76
31.
Robert
С
Merton
(1974),
On the Pricing of Corporate Debt: The
Risk Structure of Interest Rates , Journal of Finance,
29 (2),
May,
449-70
32.
Patrick
de
Fontnouvelle, Virginia DeJesus-Rueff, John S. Jordan
and Eric S.
Rosengren
(2006),
Capital and Risk: New Evidence on
Implications of Large Operational Losses , Journal of Money;
Credit and Banking,
38 (7),
October,
1819-46
33.
Joshua V. Rosenberg and Til Schuermann
(2006),
A General
Approach to Integrated Risk Management with Skewed, Fat-Tailed
Risks , Journal of Financial Economics,
79 (3),
March,
569-614
PART VI FINANCIAL RISK AND THE BUSINESS CYCLE
34.
James D. Hamilton and Gang Lin
( 1996),
Stock Market Volatility
and the Business Cycle , Journal of Applied Econometrics,
11 (5),
September-October,
573-93
35.
Jeremy Berkowitz
(1999/2000),
A Coherent Framework for Stress
Testing , Journal of Risk,
2,
Winter,
5-15
36.
Franklin Allen and Douglas Gale
(2000),
Bubbles and Crises
,
Economic Journal,
110 (460),
January,
236-55
671
688
696
724
736
764
783
811
833
861
909
930
941
viii Financial
Risk Measurement and Management
37.
Francis X. Diebold, Neil A. Doherty and Richard J. Herring
(2010),
Introduction , in Francis X. Diebold, Neil A. Doherty and Richard
J. Herring
(eds),
The Known, the Unknown, and the Unknowable in
Financial Risk Management: Measurement and Theory Advancing
Practice, Chapter
1,
Princeton, NJ: Princeton University Press,
1-30 961
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| spelling | Financial risk measurement and management ed. by Francis X. Diebold Cheltenham [u.a.] Elgar 2012 L, 990 S. txt rdacontent n rdamedia nc rdacarrier The International library of critical writings in economics series Finanzmanagement (DE-588)4139075-1 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzmanagement (DE-588)4139075-1 s Risikomanagement (DE-588)4121590-4 s b DE-604 Diebold, Francis X. 1959- Sonstige (DE-588)123909104 oth Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024720639&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Financial risk measurement and management Finanzmanagement (DE-588)4139075-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4139075-1 (DE-588)4121590-4 (DE-588)4143413-4 |
| title | Financial risk measurement and management |
| title_auth | Financial risk measurement and management |
| title_exact_search | Financial risk measurement and management |
| title_full | Financial risk measurement and management ed. by Francis X. Diebold |
| title_fullStr | Financial risk measurement and management ed. by Francis X. Diebold |
| title_full_unstemmed | Financial risk measurement and management ed. by Francis X. Diebold |
| title_short | Financial risk measurement and management |
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| topic | Finanzmanagement (DE-588)4139075-1 gnd Risikomanagement (DE-588)4121590-4 gnd |
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