This important book brings together an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics and Portfolio Diversification, this book is vital for optimal portfolio allocation for private and institutional investors, and is an indispensable tool
Contents
Acknowledgements Notes on the Contributors Introduction Optimal Determination of the Collection Threshold for Operational Losses; Y. Crama, G. Hübner 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. Théoret, 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. Chuliá, F.J. Climent, P. Soriano, and H. Torró Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates; H. Chuliá and H. Torró On Model Selection and its Impact on the Hedging of Financial Derivatives; G. Di Graziano and S. Galluccio Index
Author Biographies
GREG N. GREGORIOU is Associate Professor of Finance and coordinator of faculty research in the School of Business and Economics at State University of New York (Plattsburgh). He obtained his PhD (Finance) from the University of Quebec at Montreal and is the hedge fund editor for the peer-reviewed journal Derivatives Use, Trading and Regulation published by Palgrave-MacMillan based in the U.K. He has authored over 50 articles on hedge funds, and managed futures in various U.S. and U.K. peer-reviewed publications, including the Journal of Portfolio Management, Journal of Futures Markets, European Journal of Finance, Journal of Asset Management, European Journal of Operational Research, and Annals of Operations Research. He has edited twelve books on hedge funds, funds of hedge funds, CTAs, IPOs, Corporate Governance and investment management.
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