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Quantitative Financial Risk Management: Theory and Practice by Emilios Galariotis, Constantin Zopounidis

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Contents

Preface

About the Editors

SECTION ONE

Supervisory Risk Management

CHAPTER 1

Measuring Systemic Risk: Structural Approaches

Raimund M. Kovacevic and Georg Ch. Pflug

Systemic Risk: Definitions

From Structural Models to Systemic Risk

Measuring Systemic Risk

Systemic Risk and Copula Models

Conclusions

References

CHAPTER 2

Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management

Michael Jacobs Jr., PhD, CFA

Introduction

Review of the Literature

Supervisory Requirements for CCR

Conceptual Issues in CCR: Risk versus Uncertainty

Conclusions

References

CHAPTER 3

Nonperforming Loans in the Bank Production Technology

Hirofumi Fukuyama and William L. Weber

Introduction

Selective Literature Review

Method

Empirical Application

Summary and Conclusion

Appendix 3.1 Bank Names and Type

References

SECTION TWO

Risk Models and Measures

CHAPTER 4

A Practical Guide to Regime Switching in Financial Economics

Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp and Qi Zhang

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 ...

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