Quantitative Financial Risk Management - Theory and Practice

Informationen zum Autor CONSTANTIN ZOPOUNIDIS, PHD, is professor of Financial Engineering and Operations Research at Technical University of Crete in Greece and distinguished research professor at Audencia Nantes School of Management in France. EMILIOS GALARIOTIS, PHD (Dunelm), HDR, is professor of Finance at Audencia Nantes School of Management in France. He is the founder and director of the Centre for Financial and Risk Management and head of research in the area of finance, risk, and accounting performance at Audencia. He is also joint-Head of the Accounting and Finance Department. Klappentext A Comprehensive Guide to Quantitative Financial Risk ManagementWritten by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets.This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis.Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars. Zusammenfassung A Comprehensive Guide to Quantitative Financial Risk ManagementWritten by an international team of experts in the field! Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management! portfolio management! credit risk modeling! and worldwide financial markets.This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics! accounting! statistics! econometrics! mathematics! stochastic processes! and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage! monitor! and measure risk! especially in today's uncertain world of globalization! market volatility! and geo-political crisis.Quantitative Financial Risk Management delivers the information! tools! techniques! and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts! financial professionals! and academic scholars. Inhaltsverzeichnis Preface xvii About the Editors xix Section One Supervisory Risk Management Chapter 1 Measuring Systemic Risk: Structural Approaches 3 Raimund M. Kovacevic and Georg Ch. Pflug Systemic Risk: Definitions 4 From Structural Models to Systemic Risk 6 Measuring Systemic Risk 10 Systemic Risk and Copula Models 15 Conclusions 20 References 20 Chapter 2 Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management 22 Michael Jacobs Jr., PhD, CFA Introduction 22 Review of the Literature 25 Supervisory Requirements for CCR 26 Conceptual Issues in CCR: Risk versus Uncertainty 41 Conclusions 44 References 44 Chapter 3 Nonperforming Loans in the Bank Production Technology 46 Hirofumi Fukuyama and William L. Weber Introduction 46 Selective Literature Review 47 Method 51 Empirical Application 57 Summary and...

List of contents

Preface xvii
 
About the Editors xix
 
SECTION ONE Supervisory Risk Management
 
CHAPTER 1 Measuring Systemic Risk: Structural Approaches 3
Raimund M. Kovacevic and Georg Ch. Pflug
 
Systemic Risk: Definitions 4
 
From Structural Models to Systemic Risk 6
 
Measuring Systemic Risk 10
 
Systemic Risk and Copula Models 15
 
Conclusions 20
 
References 20
 
CHAPTER 2 Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management 22
Michael Jacobs Jr., PhD, CFA
 
Introduction 22
 
Review of the Literature 25
 
Supervisory Requirements for CCR 26
 
Conceptual Issues in CCR: Risk versus Uncertainty 41
 
Conclusions 44
 
References 44
 
CHAPTER 3 Nonperforming Loans in the Bank Production Technology 46
Hirofumi Fukuyama and William L. Weber
 
Introduction 46
 
Selective Literature Review 47
 
Method 51
 
Empirical Application 57
 
Summary and Conclusion 65
 
Appendix 3.1 Bank Names and Type 66
 
References 67
 
SECTION TWO Risk Models and Measures
 
CHAPTER 4 A Practical Guide to Regime Switching in Financial Economics 73
Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp and Qi Zhang
 
A Brief Look at Markov Regime Switching in Academic Economics and Finance 74
 
Regime Switching and Interest Rate Processes 75
 
Regime Switching and Exchange Rates 76
 
Regime Switching, Stock Returns, and Asset Allocation 77
 
Single-Asset Markov Models 79
 
Two-State Estimation 82
 
Three-State Estimation 84
 
Markov Models for Multiple Assets 85
 
Practical Application of Regime Switching Models for Investment Purposes 87
 
Intuitive Appeal of Such Models 87
 
Implementation Challenges 89
 
Selecting the "Right" Model Structure 89
 
Calibrating the Selected Model Type to Suitable Data 90
 
Drawing the Right Conclusions from the Model 93
 
References 95
 
CHAPTER 5 Output Analysis and Stress Testing for Risk Constrained Portfolios 98
Jitka Dupa¡cová and Milos Kopa
 
Introduction 98
 
Worst-Case Analysis 107
 
Stress Testing via Contamination 110
 
Conclusions and New Problems 122
 
References 122
 
CHAPTER 6 Risk Measures and Management in the Energy Sector 126
Marida Bertocchi, Rosella Giacometti and Maria Teresa Vespucci
 
Introduction 126
 
Uncertainty Characterization via Scenarios 128
 
Measures of Risks 132
 
Case Studies 137
 
Summary 147
 
References 147
 
SECTION THREE Portfolio Management
 
CHAPTER 7 Portfolio Optimization: Theory and Practice 155
William T. Ziemba
 
Static Portfolio Theory 155
 
Importance of Means 163
 
Stochastic Programming Approach to Asset Liability Management 167
 
Siemens InnoALM Pension Fund Model 182
 
Dynamic Portfolio Theory and Practice: The Kelly Capital Growth Approach 194
 
Transactions Costs 199
 
Some Great Investors 201
 
Appendix 7.1: Estimating Utility Functions and Risk Aversion 206
 
References 208
 
CHAPTER 8 Portfolio Optimization and Transaction Costs 212
Renata Mansini, Wlodzimierz Ogryczak and M. Grazia Speranza
 
Introduction 212
 
Literature Review on Transaction Costs 215
 
An LP Computable Risk Measure: The Semi-MAD 221
 
Modeling Transaction Costs 223
 
Non-Unique Minimum Risk Portfolio 232
 
Experimental Analysis 234
 
Con

Product details

• Authors: Emilios Galariotis, Galariotis Emilios, C Zopounidis, Constanti Zopounidis, Constantin Zopounidis, Constantin Galariotis Zopounidis, Zopounidis Constantin
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 12.06.2015
• EAN: 9781118738184
• ISBN: 978-1-118-73818-4
• No. of pages: 448
• Series: Frank J. Fabozzi Series; Frank J. Fabozzi; Frank J. Fabozzi Series
• Subjects: Social sciences, law, business > Business > Business administration; Finanzwesen, Finance & Investments, Finanz- u. Anlagewesen, Spezialthemen Finanz- u. Anlagewesen, Finance & Investments Special Topics