Book description
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.
Table of contents
- Cover Page
- The Frank J. Fabozzi Series
- Title Page
- Copyright
- Dedication
- Contents
- Preface
- About the Editors
- SECTION One: Supervisory Risk Management
-
SECTION Two: Risk Models and Measures
-
CHAPTER 4: A Practical Guide to Regime Switching in Financial Economics
- A BRIEF LOOK AT MARKOV REGIME SWITCHING IN ACADEMIC ECONOMICS AND FINANCE
- REGIME SWITCHING AND INTEREST RATE PROCESSES
- REGIME SWITCHING AND EXCHANGE RATES
- REGIME SWITCHING, STOCK RETURNS, AND ASSET ALLOCATION
- SINGLE-ASSET MARKOV MODELS
- TWO-STATE ESTIMATION
- THREE-STATE ESTIMATION
- MARKOV MODELS FOR MULTIPLE ASSETS
- PRACTICAL APPLICATION OF REGIME SWITCHING MODELS FOR INVESTMENT PURPOSES
- INTUITIVE APPEAL OF SUCH MODELS
- IMPLEMENTATION CHALLENGES
- SELECTING THE “RIGHT” MODEL STRUCTURE
- CALIBRATING THE SELECTED MODEL TYPE TO SUITABLE DATA
- DRAWING THE RIGHT CONCLUSIONS FROM THE MODEL
- REFERENCES
- CHAPTER 5: Output Analysis and Stress Testing for Risk Constrained Portfolios
- CHAPTER 6: Risk Measures and Management in the Energy Sector
-
CHAPTER 4: A Practical Guide to Regime Switching in Financial Economics
-
SECTION Three: Portfolio Management
-
CHAPTER 7: Portfolio Optimization: Theory and Practice
- STATIC PORTFOLIO THEORY
- IMPORTANCE OF MEANS
- STOCHASTIC PROGRAMMING APPROACH TO ASSET LIABILITY MANAGEMENT
- SIEMENS INNOALM PENSION FUND MODEL
- DYNAMIC PORTFOLIO THEORY AND PRACTICE: THE KELLY CAPITAL GROWTH APPROACH
- TRANSACTIONS COSTS
- SOME GREAT INVESTORS
- APPENDIX 7.1: ESTIMATING UTILITY FUNCTIONS AND RISK AVERSION
- REFERENCES
- CHAPTER 8: Portfolio Optimization and Transaction Costs
- CHAPTER 9: Statistical Properties and Tests of Efficient Frontier Portfolios
-
CHAPTER 7: Portfolio Optimization: Theory and Practice
- SECTION Four: Credit Risk Modelling
- SECTION Five: Financial Markets
- About the Contributors
- Glossary
- Index
Product information
- Title: Quantitative Financial Risk Management: Theory and Practice
- Author(s):
- Release date: May 2015
- Publisher(s): Wiley
- ISBN: 9781118738184
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