Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios

ISBN-13: 9781349438747 / Angielski / Miękka / 2013 / 411 str.

J. Batten;P. Mackay;N. Wagner

Opis

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.

Spis treści

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

O autorze

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