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Quantitative Financial Risk Management : Theory and Practice.

By: Contributor(s): Series: Frank J. Fabozzi SerPublisher: New York : John Wiley & Sons, Incorporated, 2015Copyright date: ©2015Edition: 1st edDescription: 1 online resource (448 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781118738405
Subject(s): Genre/Form: Additional physical formats: Print version:: Quantitative Financial Risk Management : Theory and PracticeDDC classification:
  • 332
LOC classification:
  • HD61 .Z67 2015
Online resources:
Contents:
Cover -- Title Page -- Copyright -- Contents -- Preface -- About the Editors -- Section One Supervisory Risk Management -- Chapter 1 Measuring Systemic Risk: Structural Approaches -- Systemic Risk: Definitions -- From Structural Models to Systemic Risk -- Measuring Systemic Risk -- Systemic Risk and Copula Models -- Conclusions -- References -- Chapter 2 Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management -- Introduction -- Review of the Literature -- Supervisory Requirements for CCR -- Conceptual Issues in CCR: Risk versus Uncertainty -- Conclusions -- References -- Chapter 3 Nonperforming Loans in the Bank Production Technology -- Introduction -- Selective Literature Review -- Method -- Empirical Application -- Summary and Conclusion -- Appendix 3.1 Bank Names and Type -- References -- Section Two Risk Models and Measures -- Chapter 4 A Practical Guide to Regime Switching in Financial Economics -- A Brief Look at Markov Regime Switching in Academic Economics and Finance -- Regime Switching and Interest Rate Processes -- Regime Switching and Exchange Rates -- Regime Switching, Stock Returns, and Asset Allocation -- Single-Asset Markov Models -- Two-State Estimation -- Three-State Estimation -- Markov Models for Multiple Assets -- Practical Application of Regime Switching Models for Investment Purposes -- Intuitive Appeal of Such Models -- Implementation Challenges -- Selecting the "Right" Model Structure -- Calibrating the Selected Model Type to Suitable Data -- Drawing the Right Conclusions from the Model -- References -- Chapter 5 Output Analysis and Stress Testing for Risk Constrained Portfolios -- Introduction -- Worst-Case Analysis -- Stress Testing via Contamination -- Conclusions and New Problems -- References -- Chapter 6 Risk Measures and Management in the Energy Sector.
Introduction -- Uncertainty Characterization via Scenarios -- Measures of Risks -- Case Studies -- Summary -- References -- Section Three Portfolio Management -- Chapter 7 Portfolio Optimization: Theory and Practice -- Static Portfolio Theory -- Importance of Means -- Stochastic Programming Approach to Asset Liability Management -- Siemens InnoALM Pension Fund Model -- Dynamic Portfolio Theory and Practice: The Kelly Capital Growth Approach -- Transactions Costs -- Some Great Investors -- Appendix 7.1: Estimating Utility Functions and Risk Aversion -- References -- Chapter 8 Portfolio Optimization and Transaction Costs -- Introduction -- Literature Review on Transaction Costs -- An LP Computable Risk Measure: The Semi-MAD -- Modeling Transaction Costs -- Non-Unique Minimum Risk Portfolio -- Experimental Analysis -- Conclusions -- Appendix -- References -- Chapter 9 Statistical Properties and Tests of Efficient Frontier Portfolios -- Introduction -- Notation and Setup -- Distribution of Portfolio Weights -- Empirical Study -- Discussion and Concluding Remarks -- References -- Section Four Credit Risk Modelling -- Chapter 10 Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices -- Introduction and Motivation -- Conceptual Issues in Stress Testing: Risk versus Uncertainty -- The Function of Stress Testing -- Supervisory Requirements and Expectations -- Empirical Methodology: A Simple ST Example -- Conclusion and Future Directions -- References -- Chapter 11 A Critique of Credit Risk Models with Evidence from Mid-Cap Firms -- Introduction -- Summary of Credit Model Methodologies -- Our Empirical Methodology -- Critique -- Conclusions -- References -- Chapter 12 Predicting Credit Ratings Using a Robust Multicriteria Approach -- Introduction -- Credit Scoring and Rating -- Multicriteria Methodology -- Empirical Analysis.
Conclusions and Future Perspectives -- References -- Section Five Financial Markets -- Chapter 13 Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric -- Introduction -- Definition of VPIN -- Computational Cost -- Optimization of FPR -- Uncertainty Quantification (UQ) -- Conclusion -- References -- Chapter 14 Covariance Specification Tests for Multivariate GARCH Models -- Introduction -- Covariance Specification Tests -- Application of Covariance Specification Tests -- Empirical Findings and Discussion -- Conclusion -- References -- Chapter 15 Accounting Information in the Prediction of Securities Class Actions -- Introduction -- Literature Review -- Methodology -- Data -- Results -- Conclusions -- References -- About the Contributors -- Glossary -- Index -- EULA.
Summary: 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 ofSummary: Securities Class ActionsVassiliki Balla About the Contributors Index.
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Cover -- Title Page -- Copyright -- Contents -- Preface -- About the Editors -- Section One Supervisory Risk Management -- Chapter 1 Measuring Systemic Risk: Structural Approaches -- Systemic Risk: Definitions -- From Structural Models to Systemic Risk -- Measuring Systemic Risk -- Systemic Risk and Copula Models -- Conclusions -- References -- Chapter 2 Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management -- Introduction -- Review of the Literature -- Supervisory Requirements for CCR -- Conceptual Issues in CCR: Risk versus Uncertainty -- Conclusions -- References -- Chapter 3 Nonperforming Loans in the Bank Production Technology -- Introduction -- Selective Literature Review -- Method -- Empirical Application -- Summary and Conclusion -- Appendix 3.1 Bank Names and Type -- References -- Section Two Risk Models and Measures -- Chapter 4 A Practical Guide to Regime Switching in Financial Economics -- A Brief Look at Markov Regime Switching in Academic Economics and Finance -- Regime Switching and Interest Rate Processes -- Regime Switching and Exchange Rates -- Regime Switching, Stock Returns, and Asset Allocation -- Single-Asset Markov Models -- Two-State Estimation -- Three-State Estimation -- Markov Models for Multiple Assets -- Practical Application of Regime Switching Models for Investment Purposes -- Intuitive Appeal of Such Models -- Implementation Challenges -- Selecting the "Right" Model Structure -- Calibrating the Selected Model Type to Suitable Data -- Drawing the Right Conclusions from the Model -- References -- Chapter 5 Output Analysis and Stress Testing for Risk Constrained Portfolios -- Introduction -- Worst-Case Analysis -- Stress Testing via Contamination -- Conclusions and New Problems -- References -- Chapter 6 Risk Measures and Management in the Energy Sector.

Introduction -- Uncertainty Characterization via Scenarios -- Measures of Risks -- Case Studies -- Summary -- References -- Section Three Portfolio Management -- Chapter 7 Portfolio Optimization: Theory and Practice -- Static Portfolio Theory -- Importance of Means -- Stochastic Programming Approach to Asset Liability Management -- Siemens InnoALM Pension Fund Model -- Dynamic Portfolio Theory and Practice: The Kelly Capital Growth Approach -- Transactions Costs -- Some Great Investors -- Appendix 7.1: Estimating Utility Functions and Risk Aversion -- References -- Chapter 8 Portfolio Optimization and Transaction Costs -- Introduction -- Literature Review on Transaction Costs -- An LP Computable Risk Measure: The Semi-MAD -- Modeling Transaction Costs -- Non-Unique Minimum Risk Portfolio -- Experimental Analysis -- Conclusions -- Appendix -- References -- Chapter 9 Statistical Properties and Tests of Efficient Frontier Portfolios -- Introduction -- Notation and Setup -- Distribution of Portfolio Weights -- Empirical Study -- Discussion and Concluding Remarks -- References -- Section Four Credit Risk Modelling -- Chapter 10 Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices -- Introduction and Motivation -- Conceptual Issues in Stress Testing: Risk versus Uncertainty -- The Function of Stress Testing -- Supervisory Requirements and Expectations -- Empirical Methodology: A Simple ST Example -- Conclusion and Future Directions -- References -- Chapter 11 A Critique of Credit Risk Models with Evidence from Mid-Cap Firms -- Introduction -- Summary of Credit Model Methodologies -- Our Empirical Methodology -- Critique -- Conclusions -- References -- Chapter 12 Predicting Credit Ratings Using a Robust Multicriteria Approach -- Introduction -- Credit Scoring and Rating -- Multicriteria Methodology -- Empirical Analysis.

Conclusions and Future Perspectives -- References -- Section Five Financial Markets -- Chapter 13 Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric -- Introduction -- Definition of VPIN -- Computational Cost -- Optimization of FPR -- Uncertainty Quantification (UQ) -- Conclusion -- References -- Chapter 14 Covariance Specification Tests for Multivariate GARCH Models -- Introduction -- Covariance Specification Tests -- Application of Covariance Specification Tests -- Empirical Findings and Discussion -- Conclusion -- References -- Chapter 15 Accounting Information in the Prediction of Securities Class Actions -- Introduction -- Literature Review -- Methodology -- Data -- Results -- Conclusions -- References -- About the Contributors -- Glossary -- Index -- EULA.

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.

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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2019. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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