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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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Bibliographic Details
Corporate Authors: International Finance Conference Hamm am et, Tunisia; World Scientific Firm
Group Author: Bellalah, Mondher; Prigent, Jean-Luc, 1958; Sahut, Jean-Michel
Published: World Scientific Pub. Co.,
Publisher Address: Singapore ; Hackensack, N.J. :
Publication Dates: 2008
Literature type: eBook
Language: English
Series: World scientific studies in international economics, 3
Subjects:
Risk management > Congresses
Valuation > Management > Congresses
Electronic books
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

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