Screen LibraryQuantitative 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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| Main Authors: | |
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| Corporate Authors: | |
| Group Author: | |
| Published: |
Wiley,
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| Publisher Address: | Hoboken, New Jersey : |
| Publication Dates: | 2015. |
| Literature type: | eBook |
| Language: | English |
| Series: |
The Frank J. Fabozzi series
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| Subjects: | |
| Online Access: |
http://onlinelibrary.wiley.com/book/10.1002/9781119080305 |
| 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: Securities Class ActionsVassiliki Balla About the Contributors Index. |
| Item Description: |
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, M |
| Carrier Form: | 1 online resource. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: |
9781118738221 (electronic bk.) 1118738225 (electronic bk.) 9781118738405 (pdf) 1118738403 (pdf) 9781119080305 1119080304 1118738187 9781118738184 |
| Index Number: | HD61 |
| CLC: | F830.9 |
| 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 Uncert 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 Function 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 -- Introducti |