A Comprehensive Guide to Quantitative Financial Risk Management
Written 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.
Daftar Isi
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, Malcolm Kemp, and Qi Zhang
Chapter 5: Output Analysis and Stress Testing for Risk-Constrained Portfolios
Jitka Dupaeová and Milos Kopa
Chapter 6: Risk Measures and Management in the Energy Sector
Marida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci
Section III: Portfolio Management
Chapter 7: Portfolio Optimization: Theory and Practice
William T. Ziemba
Chapter 8: Portfolio Optimization and Transaction Costs
Renata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza
Chapter 9: Statistical Properties and Tests of Efficient Frontier Portfolios
Chris J Adcock
Section IV: Credit Risk Modeling
Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices
Michael Jacobs Jr.
Chapter 11: A Critique of Credit Risk Models with Evidence from Mid-Cap Firms
David E. Allen. Robert J. Powell, and Abhay K. Singh
Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria Approach
Constantin Zopounidis
Section V: Financial Markets
Chapter 13: Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric
Jung Heon Song, Kesheng Wu, and Horst D. Simon
Chapter 14: Covariance Specification Tests for Multivariate GARCH Models
Gregory Koutmos
Chapter 15: Accounting Information in the Prediction of Securities Class Actions
Vassiliki Balla
About the Contributors
Index
Tentang Penulis
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.
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