Constantin Zopounidis, Emilios Galariotis

Quantitative Financial Risk Management

Theory and Practice

• Gebundenes Buch

Produktbeschreibung

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.

Produktdetails

• Frank J. Fabozzi Series
• Verlag: Wiley & Sons
• 1. Auflage
• Seitenzahl: 448
• Erscheinungstermin: 18. Mai 2015
• Englisch
• Abmessung: 231mm x 155mm x 43mm
• Gewicht: 672g
• ISBN-13: 9781118738184
• ISBN-10: 1118738187
• Artikelnr.: 42294728

Autorenporträt

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.

Inhaltsangabe

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 Conclusions 237 Appendix 238 References 239
CHAPTER 9 Statistical Properties and Tests of Efficient Frontier Portfolios
242 C J Adcock Introduction 242 Notation and Setup 245 Distribution of
Portfolio Weights 247 Empirical Study 255 Discussion and Concluding Remarks
267 References 268 SECTION FOUR Credit Risk Modelling CHAPTER 10 Stress
Testing for Portfolio Credit Risk: Supervisory Expectations and Practices
273 Michael Jacobs Jr. Introduction and Motivation 273 Conceptual Issues in
Stress Testing: Risk versus Uncertainty 276 The Function of Stress Testing
277 Supervisory Requirements and Expectations 280 Empirical Methodology: A
Simple ST Example 281 Conclusion and Future Directions 291 References 293
CHAPTER 11 A Critique of Credit Risk Models with Evidence from Mid-Cap
Firms 296 David E. Allen, Robert J. Powell and Abhay K. Singh Introduction
296 Summary of Credit Model Methodologies 297 Our Empirical Methodology 302
Critique 303 Conclusions 310 References 310 CHAPTER 12 Predicting Credit
Ratings Using a Robust Multicriteria Approach 312 Constantin Zopounidis
Introduction 312 Credit Scoring and Rating 315 Multicriteria Methodology
319 Empirical Analysis 325 Conclusions and Future Perspectives 330
References 331 SECTION FIVE Financial Markets CHAPTER 13 Parameter Analysis
of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric
337 Jung Heon Song, Kesheng Wu and Horst D. Simon Introduction 337
Definition of VPIN 341 Computational Cost 346 Optimization of FPR 348
Uncertainty Quantification (UQ) 353 Conclusion 360 References 362 CHAPTER
14 Covariance Specification Tests for Multivariate GARCH Models 364 Gregory
Koutmos Introduction 364 Covariance Specification Tests 365 Application of
Covariance Specification Tests 367 Empirical Findings and Discussion 368
Conclusion 370 References 370 CHAPTER 15 Accounting Information in the
Prediction of Securities Class Actions 372 Vassiliki Balla Introduction 372
Literature Review 375 Methodology 376 Data 378 Results 387 Conclusions 394
References 395 About the Contributors 399 Glossary 413 Index 421