Gregoriou G.N. (Ed.) Advances in Risk Management (Finance and Capital Markets)

Palgrave Macmillan – 2006, 400 pages
ISBN: 0230019161, 9780230019164This book comprises an edited series of papers about risk management and the latest developments in the field. Covering topics such as Stochastic Volatility, Risk Dynamics, Weather Derivatives and Portfolio Diversification, this book will have broad international appeal. It is highly relevany for optimal portfolio allocation for both private and institutional investors worldwide.Incorporating Diversification into Risk Management; A. Purnanandam, M. Warachka, Y. Zhao & W. T. Ziemba – Sensitivity Analysis of Portfolio Volatility: An Application to Financial Risk Management; E. Borgonovo & M. Percoco – Decomposing Interest Rates in Level and Slope: An Application to Risk Management; M. Moreno – An Essay on Stochastic Volatility and the Yield Curve; R. Théoret, P. Rostan & A. El Moussadek – Credit Risk Dynamics: Forecasting Rating Transistion Matrices; F. Couderc, O. Renault & O. Scaillet – Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation; H. Gatfaoui – Comparative Analysis of Dependence Levels in Intensity-based and Merton-style Credit Risk Models; J. Fermanian & M. Sbai Ixis – Advances in the Modelling of Weather Derivative Portfolios; S. Jewson – Optimal Investment with Inflation Linked Products; T. Beletski& R. Korn – The "Art" of Portfolio Diversification; R. Campbell & K. Koedijk – The Derivation of the NPV Probability Distribution of Risky Investments with Autocorrelated Cash Flows; J., Annick Lambert & A. Charbonneau – How does Systematic Risk impact Stocks? A study on the French Financial Market; H. Gatfaoui – Correlation Breakdowns and the Impact for Asset Management; R. Bramante & G. Gabbi – Market Heterogeneity Measure; I. Pouchkarev, J. Spronk & J. E. Trinidad – Have Volatility Transmission Patterns between Spain and USA changed after September 11?; H. Chuliá, F. J. Climent, P. Soriano & H. Torró – Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates; H. Chuliá & H. Torró – Sequential Procedures for Monitoring Covariances of Asset Returns; O. Bodnar