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· 분류 : 외국도서 > 경제경영 > 기업재정 > 일반
· ISBN : 9780230019164
· 쪽수 : 376쪽
목차
Acknowledgements Notes on the Contributors Introduction Optimal Determination of the Collection Threshold for Operational Losses; Y. Crama, G. Hubner and J. Peters Incorporating Diversification into Risk Management; A. Purnanandam, M. Warachka, Y. Zhao, and W. T. Ziemba Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies; E. Borgonovo and M. Percoco Managing Interest Rate Risk under Non-Parallel Changes: An Application of a Two-Factor Model; M. Moreno An Essay on Stochastic Volatility and the Yield Curve; R. Theoret, P. Rostan and A. El-Moussadek Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation; H. Gatfaoui A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-style Credit Risk Models; J. Fermanian and M. Sbai The Modeling of Weather Derivative Portfolio Risk; S. Jewson Optimal Investment with Inflation-linked Products; T. Beletski and R. Korn Model Risk and Financial Derivatives; F. Lhabitant Evaluating Value-at-risk Estimates: A Cross-section Approach; R. Zenti, M. Pallotta , and C. Marsala Correlation Breakdowns and the Impact for Asset Management; R. Bramante and G. Gabbi Sequential Procedures for Monitoring Covariance's of Asset Returns; O. Bodnar An Empirical Study of Time-Varying Return Correlations and Efficient Set of Portfolios; T. Jithendranathan The Derivation of the NPV Probability Distribution of Risky Investments with Autoregressive Cash Flows; J. Paquin, A. Lambert , and A. Charbonneau Have Volatility Transmission Patterns between Spain and USA changed after September 11?; H. Chulia, F.J. Climent, P. Soriano , and H. Torro Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates; H. Chulia and H. Torro On Model Selection and its Impact on the Hedging of Financial Derivatives; G. Di Graziano and S. Galluccio Index