Advances in Financial Risk Management : Corporates, Intermediaries and Portfolios

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. Front Matter....Pages i-xxvi Front Matter....Pages 1-1 Strategic Risk Management and Product Market Competition....Pages 3-29 The Cash-Flow Risk of Corporate Market Investments....Pages 30-56 Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach....Pages 57-80 Repurchases, Employee Stock Option Grants, and Hedging....Pages 81-104 Do Managers Exhibit Loss Aversion in Their Risk Management Practices? Evidence from the Gold Mining Industry....Pages 105-124 Front Matter....Pages 125-125 Does Securitization Affect Banks’ Liquidity Risk? The Case of Italy....Pages 127-147 Stress Testing Interconnected Banking Systems....Pages 148-180 Estimating Endogenous Liquidity Using Transaction and Order Book Information....Pages 181-200 The 2008 UK Banking Crash: Evidence from Option Implied Volatility....Pages 201-224 International Portfolio Diversification and the 2007 Financial Crisis....Pages 225-252 A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting....Pages 253-283 Front Matter....Pages 285-285 Robust Consumption and Portfolio Rules When Asset Returns Are Predictable....Pages 287-311 A Diversification Measure for Portfolios of Risky Assets....Pages 312-330 Hedge Fund Portfolio Allocation with Higher Moments and MVG Models....Pages 331-346 The Statistics of the Maximum Drawdown in Financial Time Series....Pages 347-363 On the Effectiveness of Dynamic Stock Index Portfolio Hedging: Evidence from Emerging Markets Futures....Pages 364-390 An Optimal Timing Approach to Option Portfolio Risk Management....Pages 391-404 Back Matter....Pages 405-411 "Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios is essential reading to those interested in better understanding developments in the post-Global Financial Crisis (GFC) environment. There are seventeen papers that provide the latest research on measuring, managing and pricing financial risk, allocated into three very broad perspectives: risk management in non-financial corporations; in financial intermediaries such as banks, which must comply with regulatory standards on measuring and managing risk; and finally within the context of a portfolio of securities of different credit quality and marketability. This unique compilation of papers provides an expansive view of the latest techniques available to academics and practitioners to measure and manage risk"-- Provided by publisher