Greg N. Gregoriou's Advances in Risk Management (Finance and Capital Markets) PDF

By Greg N. Gregoriou

ISBN-10: 0230019161

ISBN-13: 9780230019164

ISBN-10: 0230625843

ISBN-13: 9780230625846

This ebook contains an edited sequence of papers approximately probability administration and the most recent advancements within the box. overlaying themes resembling Stochastic Volatility, danger Dynamics, climate Derivatives and Portfolio Diversification, this ebook may have vast overseas allure. it truly is hugely relevany for optimum portfolio allocation for either deepest and institutional traders world wide.

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Extra info for Advances in Risk Management (Finance and Capital Markets)

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J. and Palm, F. (2001) “Tail-Index Estimates in Small Samples”, Journal of Business and Economic Statistics, 19(1): 208–16. H. E. (1998) Loss Models – From Data to Decisions (New York: Wiley Series on Probability and Statistics). N. (1933) “Sulla Determinazione Empiricadi una Legge di Distribuzione”, Giornale dell’ Istituto Attuari, 4: 83–91. M. D. (2000) Simulation Modeling and Analysis, 3rd edn (New York: McGraw-Hill). Longin, F. and Solnik, B. (2001) “Extreme Correlation of International Equity Markets”, Journal of Finance, 56(2): 649–76.

MSE(Um )); Uopt is retained as estimator of the cut-off threshold and the fitted distribution is the GPD(ξopt , βopt , Uopt ). NOTES 1. The Basel Committee thus assumes perfect positive dependence between operational risks; alternatively, it also allows banks to use internally defined correlations. See paragraph 669 of BCBS (2004). 2. Basel II states: “Supervisors will require the bank to calculate its regulatory capital requirement as the sum of expected loss (EL) and unexpected loss (UL), unless the bank can demonstrate that it is adequately capturing EL in its internal business practices” (BCBS, 2004, §669).

Given the widespread usage of Value-at-Risk (VaR), firms actively manage their risk. Unfortunately, VaR is not derived from fundamental economic principles and may lead to sub-optimal decisions as shown by Shapiro and Basak (2001). Substantial progress in the academic risk management literature began with Artzner, Delbaen, Eber and Heath (1999), abbreviated ADEH hereafter, who develop an axiomatic framework for risk measurement. Their axioms stem from intuitive economic principles that define a coherent risk measure.

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Advances in Risk Management (Finance and Capital Markets) by Greg N. Gregoriou

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