Details

Advances in Financial Risk Management

Corporates, Intermediaries and Portfolios

von: Jonathan A. Batten, P. Mackay, N. Wagner, Peter MacKay
96,29 €
Verlag:	Palgrave Macmillan
Format:	PDF
Veröffentl.:	04.12.2015
ISBN/EAN:	9781137025098
Sprache:	englisch
Anzahl Seiten:	440

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Beschreibungen

Titelbeschreibung

The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.

Inhaltsverzeichnis

PART I: CORPORATE 1. Strategic Risk Management and Product Market Competition; Tim R. Adam and Amrita Nain 2. The Cash-Flow Risk of Corporate Market Investments; Craig O. Brown 3. Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach; Shane Magee 4. Repurchases, Employee Stock Option Grants, and Hedging; Daniel A. Rogers 5. Do Managers Exhibit Loss Aversion in their Risk Management Practices?: Evidence from the Gold Mining Industry; Tim R. Adam, Chitru S. Fernando and Evgenia Golubeva PART II: INTERMEDIARIES 6. Does Securitization Affect Banks' Liquidity Risk? The Case of Italy; Francesca Battaglia and Maria Mazzuca 7. Stress Testing Interconnected Banking Systems; Rodolfo Maino and Kalin Tintchev  8. Estimating Endogenous Liquidity Using Transaction and Order Book Information; Philippe Durand, Yal?n Gündüz and Isabelle Thomazeau 9. The 2008 UK Banking Crash: Evidence from Option Implied Volatility; Ha Yan Raymond So, Tarik Driouchi and Zhiyuan Simon Tan 10. International Portfolio Diversification and the 2007 Financial Crisis; Jacek Niklewski and Timothy Rodgers 11. A Hybrid Fuzzy GJR-GARCH Modelling Approach for Stock Market Volatility: Forecasting; Leandro Maciel PART III: PORTFOLIOS 12. Robust Consumption and Portfolio Rules when Asset Returns are Predictable; Abraham Lioui 13. A Diversification Measure for Portfolios of Risky Assets; Gabriel Frahm and Christof Wiechers 14. Portfolio Allocation with Higher Moments; Asmerilda Hitaj and Lorenzo Mercuri 15. The Statistics of the Maximum Drawdown in Financial Time Series; Alessandro Casati and Serge Tabachnik 16. On the Effectiveness of Dynamic Stock Index Portfolio Hedging; Mohammad S. Hasan and Taufiq Choudhry 17. An Optimal Timing Approach to Option Portfolio Risk Management; Tim Leung and Peng Liu

Autorenportrait

Gabriel Frahm, Helmut Schmidt University, Germany
Christof Wiechers, University of Cologne, Germany
Asmerilda Hitaj, University of Milan, Italy
Lorenzo Mercuri, University of Milan, Italy
Alessandro Casati, Antares Technologies, France
Serge Tabachnik, Antares Technologies, France
Mohammad S. Hasan, University of Kent, UK
Taufiq Choudhry, University of Southampton, UK
Tim Leung, Columbia University, USA
Peng Liuz, Johns Hopkins University, USA
Leandro Maciel, University of Campinas, Brazil
Philippe Durand, Banque de France, Paris, France
Yalin Gündüz, Deutsche Bundesbank, Frankfurt, Germany
Isabelle Thomazeau, Banque de France, Paris, France
Tim R. Adam, Humboldt University of Berlin, Germany
Chitru S. Fernando, University of Oklahoma, USA
Evgenia Golubeva, University of Oklahoma, USA
Abraham Lioui, EDHEC Business School, France
Ha Yan Raymond So, MacroValue Investors Ltd, Hong Kong, and King's College London, UK
Tarik Driouchi, King's College London, UK
Zhiyuan Simon Tan, King's College London, UK
Craig O. Brown, National University of Singapore, Singapore
Daniel A. Rogers, Portland State University, USA
Jacek Niklewski, Coventry University, UK
Timothy Rodgers, Coventry University, UK
Francesca Battaglia, Università Parthenope, Italy
Maria Mazzuca, Università della Calabria, Italy
Shane Magee, Macquarie University, Australia
Rodolfo Maino, International Monetary Fund, USA
Kalin Tintchev, International Monetary Fund, USA
Amrita Nain,University of Iowa, USA