Risk management and value : valuation and asset pricing /
This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economi...
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Corporate Authors: | ; |
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Group Author: | ; ; |
Published: |
World Scientific Pub. Co.,
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Publisher Address: | Singapore ; Hackensack, N.J. : |
Publication Dates: | 2008 |
Literature type: | eBook |
Language: | English |
Series: |
World scientific studies in international economics,
3 |
Subjects: | |
Online Access: |
http://www.worldscientific.com/worldscibooks/10.1142/6574#t=toc |
Summary: |
This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a "high level" one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the |
Carrier Form: | 1 online resource (x,634pages) : illustrations (some color). |
Bibliography: | Includes bibliographical references and index. |
ISBN: |
9812770747 (electronic bk.) 9789812770745 (electronic bk.) |
CLC: | F275-532 |
Contents: | ch. 1. Managing derivatives in the presence of a Smile effect and incomplete information / Mondher Bellalah -- ch. 2. A value-at-risk approach to assess exchange risk associated to a public debt portfolio: the case of a small developing economy / Wissem Ajili -- ch. 3. A method to find historical VaR for portfolio that follows S&P CNX Nifty Index by estimating the index value / K. V. N. M. Ramesh -- ch. 4. Some considerations on the relationship between corruption and economic growth / Victor Dragot a, Laura Obreja Brasoveanu and Andreea Semenescu -- ch. 5. Financial risk management by deriv |