Quantitative Financial Risk Management: Theory and Practice
- 7h 1m
- Constantin Zopounidis, Emilios Galariotis
- John Wiley & Sons (US)
- 2015
A Comprehensive Guide to Quantitative Financial Risk Management
Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets.
This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis.
Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.
About the Authors
CONSTANTIN ZOPOUNIDIS, PHD, is professor of Financial Engineering and Operations Research at Technical University of Crete in Greece and distinguished research professor at Audencia Nantes School of Management in France.
EMILIOS GALARIOTIS, PHD (Dunelm), HDR, is professor of Finance at Audencia Nantes School of Management in France. He is the founder and director of the Centre for Financial and Risk Management and head of research in the area of finance, risk, and accounting performance at Audencia. He is also joint-Head of the Accounting and Finance Department.
In this Book
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Measuring Systemic Risk—Structural Approaches
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Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management
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Nonperforming Loans in the Bank Production Technology
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A Practical Guide to Regime Switching in Financial Economics
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Output Analysis and Stress Testing for Risk Constrained Portfolios
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Risk Measures and Management in the Energy Sector
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Portfolio Optimization—Theory and Practice
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Portfolio Optimization and Transaction Costs
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Statistical Properties and Tests of Efficient Frontier Portfolios
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Stress Testing for Portfolio Credit Risk—Supervisory Expectations and Practices
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A Critique of Credit Risk Models with Evidence from Mid-Cap Firms
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Predicting Credit Ratings Using a Robust Multicriteria Approach
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Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric
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Covariance Specification Tests for Multivariate GARCH Models
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Accounting Information in the Prediction of Securities Class Actions
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Glossary
