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Risk Analysis and Portfolio Modelling
Elisa Luciano and David Allen
2019
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Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
This book is included in DOAB.
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Keywords
- African countries
- analytic hierarchy process
- Asian firms
- asset-backed securities
- capital allocation
- contagion
- contagion effect
- Copulas
- credit ratings
- credit scoring
- crop insurance
- debt maturity structure
- Decentralization
- dependence
- Exchange traded funds
- factor investing
- hedonic modeling
- herding
- housing segments
- insider trade
- institutional holding
- inverse coefficient of variation
- liquidity risk
- matched filter
- modern portfolio theory
- mortgage portfolio
- multiresolution analysis
- Mutual funds
- outperformance probability
- performance measurement
- portfolio analysis
- portfolio optimization
- probability of default
- RAROC
- rearrangement algorithm
- Risk
- Risk Analysis
- Risk assessment
- risk attribution
- risk capital
- risk premium
- rolling wavelet correlation
- securitized real estate and local stock markets
- Sharpe ratio
- small and medium enterprises
- sovereign defaults
- sovereign risk/debt
- spillover effect
- value-at-risk
- wavelet coherence and phase difference
Links
DOI: 10.3390/books978-3-03921-625-3Editions
