book

Quantitative Financial Risk Management: Theory and Practice

by Constantin Zopounidis, Emilios Galariotis

May 2015

Beginner

448 pages

12h 17m

English

Wiley

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SYSTEMIC RISK: DEFINITIONSFROM STRUCTURAL MODELS TO SYSTEMIC RISKMEASURING SYSTEMIC RISKSYSTEMIC RISK AND COPULA MODELSCONCLUSIONSREFERENCES

INTRODUCTIONREVIEW OF THE LITERATURESUPERVISORY REQUIREMENTS FOR CCRCONCEPTUAL ISSUES IN CCR: RISK VERSUS UNCERTAINTYCONCLUSIONSREFERENCES
INTRODUCTIONSELECTIVE LITERATURE REVIEWMETHODEMPIRICAL APPLICATIONSUMMARY AND CONCLUSIONAPPENDIX 3.1 BANK NAMES AND TYPEREFERENCES
A BRIEF LOOK AT MARKOV REGIME SWITCHING IN ACADEMIC ECONOMICS AND FINANCEREGIME SWITCHING AND INTEREST RATE PROCESSESREGIME SWITCHING AND EXCHANGE RATESREGIME SWITCHING, STOCK RETURNS, AND ASSET ALLOCATIONSINGLE-ASSET MARKOV MODELSTWO-STATE ESTIMATIONTHREE-STATE ESTIMATIONMARKOV MODELS FOR MULTIPLE ASSETSPRACTICAL APPLICATION OF REGIME SWITCHING MODELS FOR INVESTMENT PURPOSESINTUITIVE APPEAL OF SUCH MODELSIMPLEMENTATION CHALLENGESSELECTING THE “RIGHT” MODEL STRUCTURECALIBRATING THE SELECTED MODEL TYPE TO SUITABLE DATADRAWING THE RIGHT CONCLUSIONS FROM THE MODELREFERENCES
INTRODUCTIONWORST-CASE ANALYSISSTRESS TESTING VIA CONTAMINATIONCONCLUSIONS AND NEW PROBLEMSREFERENCES
INTRODUCTIONUNCERTAINTY CHARACTERIZATION VIA SCENARIOSMEASURES OF RISKSCASE STUDIESSUMMARYREFERENCES
STATIC PORTFOLIO THEORYIMPORTANCE OF MEANSSTOCHASTIC PROGRAMMING APPROACH TO ASSET LIABILITY MANAGEMENTSIEMENS INNOALM PENSION FUND MODELDYNAMIC PORTFOLIO THEORY AND PRACTICE: THE KELLY CAPITAL GROWTH APPROACHTRANSACTIONS COSTSSOME GREAT INVESTORSAPPENDIX 7.1: ESTIMATING UTILITY FUNCTIONS AND RISK AVERSIONREFERENCES
INTRODUCTIONLITERATURE REVIEW ON TRANSACTION COSTSAN LP COMPUTABLE RISK MEASURE: THE SEMI-MADMODELING TRANSACTION COSTSNON-UNIQUE MINIMUM RISK PORTFOLIOEXPERIMENTAL ANALYSISCONCLUSIONSAPPENDIXREFERENCES
INTRODUCTIONNOTATION AND SETUPDISTRIBUTION OF PORTFOLIO WEIGHTSEMPIRICAL STUDYDISCUSSION AND CONCLUDING REMARKSREFERENCES
INTRODUCTION AND MOTIVATIONCONCEPTUAL ISSUES IN STRESS TESTING: RISK VERSUS UNCERTAINTYTHE FUNCTION OF STRESS TESTINGSUPERVISORY REQUIREMENTS AND EXPECTATIONSEMPIRICAL METHODOLOGY: A SIMPLE ST EXAMPLECONCLUSION AND FUTURE DIRECTIONSREFERENCES
INTRODUCTIONSUMMARY OF CREDIT MODEL METHODOLOGIESOUR EMPIRICAL METHODOLOGYCRITIQUECONCLUSIONSREFERENCES
INTRODUCTIONCREDIT SCORING AND RATINGMULTICRITERIA METHODOLOGYEMPIRICAL ANALYSISCONCLUSIONS AND FUTURE PERSPECTIVESREFERENCES
INTRODUCTIONDEFINITION OF VPINCOMPUTATIONAL COSTOPTIMIZATION OF FPRUNCERTAINTY QUANTIFICATION (UQ)CONCLUSIONREFERENCES
INTRODUCTIONCOVARIANCE SPECIFICATION TESTSAPPLICATION OF COVARIANCE SPECIFICATION TESTSEMPIRICAL FINDINGS AND DISCUSSIONCONCLUSIONREFERENCES
INTRODUCTIONLITERATURE REVIEWMETHODOLOGYDATARESULTSCONCLUSIONSREFERENCES

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Publisher Resources

ISBN: 9781118738184Purchase book

SECTION Five

Financial Markets

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,and much more.

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Quantitative Risk Management: A Practical Guide to Financial Risk, + Website

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Publisher Resources

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.