Advances in Financial Risk Management [electronic resource] : Corporates, Intermediaries and Portfolios /
Batten, Jonathan A.author.
MacKay, Peter.author.
Mackay, P.editor.
Wagner, N.editor.
The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.
Description based upon print version of record.
Cover; Half-Title; Title; Copyright; Contents; List of Figures; List of Tables; Preface; Notes on Contributors; Part I Corporate; 1 Strategic Risk Management and Product Market Competition; 2 The Cash-Flow Risk of Corporate Market Investments; 3 Foreign Currency Hedging and Firm Value: A Dynamic Panel~Approach; 4 Repurchases, Employee Stock Option Grants, and Hedging; 5 Do Managers Exhibit Loss Aversion in Their Risk Management Practices? Evidence from the Gold Mining Industry; Part II Intermediaries; 6 Does Securitization Affect Banks' Liquidity Risk? The Case of Italy
7 Stress Testing Interconnected Banking Systems8 Estimating Endogenous Liquidity Using Transaction and Order Book Information; 9 The 2008 UK Banking Crash: Evidence from Option Implied Volatility; 10 International Portfolio Diversification and the 2007 Financial~Crisis; 11 A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting; Part III Portfolios; 12 Robust Consumption and Portfolio Rules When Asset Returns Are Predictable; 13 A Diversification Measure for Portfolios of Risky Assets; 14 Hedge Fund Portfolio Allocation with Higher Moments and MVG Models
15 The Statistics of the Maximum Drawdown in Financial Time~Series16 On the Effectiveness of Dynamic Stock Index Portfolio Hedging: Evidence from Emerging Markets Futures; 17 An Optimal Timing Approach to Option Portfolio Risk Management; Index
Includes bibliographical references and index.
The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.
Risk management.
Business enterprises—Finance.
Corporations—Finance.
Investment banking.
Securities.
Macroeconomics.
International economics.
Risk Management.
Business Finance.
Corporate Finance.
Investments and Securities.
Macroeconomics/Monetary Economics//Financial Economics.
International Economics.