Risk Assessment [electronic resource] : Decisions in Banking and Finance /
Bol, Georg.editor.
Rachev, Svetlozar T.editor.
Würth, Reinhold.editor.
New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.
Description based upon print version of record.
Automotive Finance: The Case for an Industry-Specific Approach to Risk Management -- Evidence on Time-Varying Factor Models for Equity Portfolio Construction -- Time Dependent Relative Risk Aversion -- Portfolio Selection with Common Correlation Mixture Models -- A New Tempered Stable Distribution and Its Application to Finance -- Estimation of ?-Stable Sub-Gaussian Distributions for Asset Returns -- Risk Measures for Portfolio Vectors and Allocation of Risks -- The Road to Hedge Fund Replication: The Very First Steps -- Asset Securitisation as a Profits Management Instrument -- Recent Advances in Credit Risk Management -- Stable ETL Optimal Portfolios and Extreme Risk Management -- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research.
New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.
Finance.
Economics, Mathematical .
Finance, general.
Quantitative Finance.
Contributions to Economics