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Quantitative financial risk management : theory and practice / Constantin Zopounidis, Emilios Galariotis.

By: Zopounidis, Constantin.
Contributor(s): Galariotis, Emilios.
Material type: materialTypeLabelBookSeries: Frank J. Fabozzi series: Publisher: Hoboken, New Jersey : Wiley, 2015Description: 1 online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9781118738221 (epub); 1118738225 (epub); 9781118738405 (pdf); 1118738403 (pdf); 9781119080305; 1119080304; 1118738187; 9781118738184.Subject(s): Financial risk management | BUSINESS & ECONOMICS / Finance | Financial risk managementGenre/Form: Electronic books. | Electronic books.Additional physical formats: Print version:: Quantitative financial risk managementDDC classification: 332 Other classification: BUS027000 Online resources: Wiley Online Library
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Includes index.

Machine generated contents note: Preface About the Editors Section I: Supervisory Risk Management Chapter 1: Measuring Systemic Risk: Structural Approaches Raimund M. Kovacevic and Georg Ch. Pflug Chapter 2: Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management Michael Jacobs Jr. Chapter 3: Nonperforming Loans in the Bank Production Technology Hirofumi Fukuyama and William L. Weber Section II: Risk Models and Measures Chapter 4: A Practical Guide to Regime Switching in Financial Economics Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zhang Chapter 5: Output Analysis and Stress Testing for Risk-Constrained Portfolios Jitka Dupa a and Milos Kopa Chapter 6: Risk Measures and Management in the Energy Sector Marida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci Section III: Portfolio Management Chapter 7: Portfolio Optimization: Theory and Practice William T. Ziemba Chapter 8: Portfolio Optimization and Transaction Costs Renata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza Chapter 9: Statistical Properties and Tests of Efficient Frontier Portfolios Chris J Adcock Section IV: Credit Risk Modeling Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices Michael Jacobs Jr. Chapter 11: A Critique of Credit Risk Models with Evidence from Mid-Cap Firms David E. Allen. Robert J. Powell, and Abhay K. Singh Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria Approach Constantin Zopounidis Section V: Financial Markets Chapter 13: Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric Jung Heon Song, Kesheng Wu, and Horst D. Simon Chapter 14: Covariance Specification Tests for Multivariate GARCH Models Gregory Koutmos Chapter 15: Accounting Information in the Prediction of Securities Class Actions Vassiliki Balla About the Contributors Index .

Description based on print version record and CIP data provided by publisher.

Includes bibliographical references and index.

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