Quantitative financial risk management: theory and practice
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 Jaco...
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| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Hoboken, New Jersey
Wiley
2015
|
| Schriftenreihe: | The Frank J. Fabozzi series
|
| Schlagwörter: | |
| Links: | https://learning.oreilly.com/library/view/-/9781118738184/?ar |
| Zusammenfassung: | 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 Dupaeová and Miloš 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. |
| Beschreibung: | Includes index. - Machine generated contents note: Preface About the Editors Section I: Supervisory Risk Management Chapter 1: Measuring Systemic Risk: Structural Approaches Raimund 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 Technology Hirofumi Fukuyama and William L. Weber Section II: Risk Models and Measures Chapter 4: A Practical Guide to Regime Switching in Financial Economics Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zhang Chapter 5: Output Analysis and Stress Testing for Risk-Constrained Portfolios Jitka Dupa a and Milos Kopa Chapter 6: Risk Measures and Management in the Energy Sector Marida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci Section III: Portfolio Management Chapter 7: Portfolio Optimization: Theory and Practice William T. Ziemba Chapter 8: Portfolio Optimization and Transaction Costs Renata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza Chapter 9: Statistical Properties and Tests of Efficient Frontier Portfolios Chris J Adcock Section IV: Credit Risk Modeling Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices Michael Jacobs Jr. Chapter 11: A Critique of Credit Risk Models with Evidence from Mid-Cap Firms David E. Allen. Robert J. Powell, and Abhay K. Singh Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria Approach Constantin Zopounidis Section V: Financial Markets Chapter 13: Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric Jung Heon Song, Kesheng Wu, and Horst D. Simon Chapter 14: Covariance Specification Tests for Multivariate GARCH Models Gregory Koutmos Chapter 15: Accounting Information in the Prediction of Securities Class Actions Vassiliki Balla About the Contributors Index. - Includes bibliographical references and index. - Print version record and CIP data provided by publisher |
| Umfang: | 1 Online-Ressource (xx, 422 Seiten) |
| ISBN: | 9781118738221 1118738225 9781118738405 1118738403 9781119080305 1119080304 1118738187 9781118738184 |
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| 500 | |a Includes index. - Machine generated contents note: Preface About the Editors Section I: Supervisory Risk Management Chapter 1: Measuring Systemic Risk: Structural Approaches Raimund 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 Technology Hirofumi Fukuyama and William L. Weber Section II: Risk Models and Measures Chapter 4: A Practical Guide to Regime Switching in Financial Economics Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zhang Chapter 5: Output Analysis and Stress Testing for Risk-Constrained Portfolios Jitka Dupa a and Milos Kopa Chapter 6: Risk Measures and Management in the Energy Sector Marida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci Section III: Portfolio Management Chapter 7: Portfolio Optimization: Theory and Practice William T. Ziemba Chapter 8: Portfolio Optimization and Transaction Costs Renata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza Chapter 9: Statistical Properties and Tests of Efficient Frontier Portfolios Chris J Adcock Section IV: Credit Risk Modeling Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices Michael Jacobs Jr. Chapter 11: A Critique of Credit Risk Models with Evidence from Mid-Cap Firms David E. Allen. Robert J. Powell, and Abhay K. Singh Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria Approach Constantin Zopounidis Section V: Financial Markets Chapter 13: Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric Jung Heon Song, Kesheng Wu, and Horst D. Simon Chapter 14: Covariance Specification Tests for Multivariate GARCH Models Gregory Koutmos Chapter 15: Accounting Information in the Prediction of Securities Class Actions Vassiliki Balla About the Contributors Index. - Includes bibliographical references and index. - Print version record and CIP data provided by publisher | ||
| 520 | |a 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 Dupaeová and Miloš 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. | ||
| 520 | |a Securities Class ActionsVassiliki Balla About the Contributors Index. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Financial risk management | |
| 650 | 4 | |a Finances ; Gestion du risque | |
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| id | ZDB-30-ORH-047541792 |
| illustrated | Not Illustrated |
| indexdate | 2025-01-17T11:21:29Z |
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| spelling | Zopounidis, Constantin VerfasserIn aut Quantitative financial risk management theory and practice Constantin Zopounidis, Emilios Galariotis Hoboken, New Jersey Wiley 2015 1 Online-Ressource (xx, 422 Seiten) Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier The Frank J. Fabozzi series Includes index. - Machine generated contents note: Preface About the Editors Section I: Supervisory Risk Management Chapter 1: Measuring Systemic Risk: Structural Approaches Raimund 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 Technology Hirofumi Fukuyama and William L. Weber Section II: Risk Models and Measures Chapter 4: A Practical Guide to Regime Switching in Financial Economics Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zhang Chapter 5: Output Analysis and Stress Testing for Risk-Constrained Portfolios Jitka Dupa a and Milos Kopa Chapter 6: Risk Measures and Management in the Energy Sector Marida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci Section III: Portfolio Management Chapter 7: Portfolio Optimization: Theory and Practice William T. Ziemba Chapter 8: Portfolio Optimization and Transaction Costs Renata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza Chapter 9: Statistical Properties and Tests of Efficient Frontier Portfolios Chris J Adcock Section IV: Credit Risk Modeling Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices Michael Jacobs Jr. Chapter 11: A Critique of Credit Risk Models with Evidence from Mid-Cap Firms David E. Allen. Robert J. Powell, and Abhay K. Singh Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria Approach Constantin Zopounidis Section V: Financial Markets Chapter 13: Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric Jung Heon Song, Kesheng Wu, and Horst D. Simon Chapter 14: Covariance Specification Tests for Multivariate GARCH Models Gregory Koutmos Chapter 15: Accounting Information in the Prediction of Securities Class Actions Vassiliki Balla About the Contributors Index. - Includes bibliographical references and index. - Print version record and CIP data provided by publisher 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 Dupaeová and Miloš 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. English. Financial risk management Finances ; Gestion du risque BUSINESS & ECONOMICS ; Finance Galariotis, Emilios MitwirkendeR ctb 9781118738184 Erscheint auch als Druck-Ausgabe 9781118738184 |
| spellingShingle | Zopounidis, Constantin Quantitative financial risk management theory and practice Financial risk management Finances ; Gestion du risque BUSINESS & ECONOMICS ; Finance |
| title | Quantitative financial risk management theory and practice |
| title_auth | Quantitative financial risk management theory and practice |
| title_exact_search | Quantitative financial risk management theory and practice |
| title_full | Quantitative financial risk management theory and practice Constantin Zopounidis, Emilios Galariotis |
| title_fullStr | Quantitative financial risk management theory and practice Constantin Zopounidis, Emilios Galariotis |
| title_full_unstemmed | Quantitative financial risk management theory and practice Constantin Zopounidis, Emilios Galariotis |
| title_short | Quantitative financial risk management |
| title_sort | quantitative financial risk management theory and practice |
| title_sub | theory and practice |
| topic | Financial risk management Finances ; Gestion du risque BUSINESS & ECONOMICS ; Finance |
| topic_facet | Financial risk management Finances ; Gestion du risque BUSINESS & ECONOMICS ; Finance |
| work_keys_str_mv | AT zopounidisconstantin quantitativefinancialriskmanagementtheoryandpractice AT galariotisemilios quantitativefinancialriskmanagementtheoryandpractice |