Advances in Risk Management (Finance and Capital Markets Series)

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. Front Matter....Pages i-xxiv Impact of the Collection Threshold on the Determination of the Capital Charge for Operational Risk....Pages 1-21 Incorporating Diversification into Risk Management....Pages 22-46 Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies....Pages 47-68 Managing Interest Rate Risk under Non-Parallel Changes: An Application of a Two-Factor Model....Pages 69-85 An Essay on Stochastic Volatility and the Yield Curve....Pages 86-106 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation....Pages 107-131 A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-Style Credit Risk Models....Pages 132-155 The Modeling of Weather Derivative Portfolio Risk....Pages 156-169 Optimal Investment with Inflation-Linked Products....Pages 170-190 Model Risk and Financial Derivatives....Pages 191-212 Evaluating Value-at-Risk Estimates: A Cross-Section Approach....Pages 213-225 Correlation Breakdowns in Asset Management....Pages 226-240 Sequential Procedures for Monitoring Covariances of Asset Returns....Pages 241-264 An Empirical Study of Time-Varying Return Correlations and the Efficient Set of Portfolios....Pages 265-277 The Derivation of the NPV Probability Distribution of Risky Investments with Autoregressive Cash Flows....Pages 278-302 Have Volatility Transmission Patterns between the USA and Spain Changed after September 11?....Pages 303-326 Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates....Pages 327-352 On Model Selection and its Impact on the Hedging of Financial Derivatives....Pages 353-364 Back Matter....Pages 365-376

This 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.

This 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 relevant for optimal portfolio allocation for both private and institutional investors worldwide