: Reinhold Würth, Svetlozar T. Rachev, Georg Bol
: Georg Bol, Svetlozar T. Rachev, Reinhold Würth
: Risk Assessment Decisions in Banking and Finance
: Physica-Verlag
: 9783790820508
: 1
: CHF 132.70
:
: Betriebswirtschaft
: English
: 286
: Wasserzeichen
: PC/MAC/eReader/Tablet
: PDF

New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.

Preface5
Contents6
Automotive Finance: The Case for an Industry-Specific Approach to Risk Management8
Evidence on Time-Varying Factor Models for Equity Portfolio Construction17
Time Dependent Relative Risk Aversion21
Portfolio Selection with Common Correlation Mixture Models53
A New Tempered Stable Distribution and Its Application to Finance83
Estimation of a-Stable Sub-Gaussian Distributions for Asset Returns116
Risk Measures for Portfolio Vectors and Allocation of Risks158
The Road to Hedge Fund Replication: The Very First Steps170
Asset Securitisation as a Profits Management Instrument209
Recent Advances in Credit Risk Management218
Stable ETL Optimal Portfolios and Extreme Risk Management238
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research266