04434nam 2200649 450 991014064710332120200520144314.01-118-73822-51-119-08030-4(CKB)2670000000615888(EBL)1895569(SSID)ssj0001482687(PQKBManifestationID)11854480(PQKBTitleCode)TC0001482687(PQKBWorkID)11412434(PQKB)10701049(DLC) 2015009043(Au-PeEL)EBL1895569(CaPaEBR)ebr11053028(CaONFJC)MIL783579(OCoLC)904400144(CaSebORM)9781118738184(MiAaPQ)EBC1895569(PPN)189245042(EXLCZ)99267000000061588820150519h20152015 uy 0engurcnu||||||||txtccrQuantitative financial risk management theory and practice /Constantin Zopounidis, Emilios Galariotis1st editionHoboken, New Jersey :Wiley,2015.©20151 online resource (451 p.)Frank J. Fabozzi SeriesIncludes index.1-118-73840-3 1-118-73818-7 Includes bibliographical references at the end of each chapters and 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 Counter party 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 .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 EconomicsIain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi ZhaFrank J. Fabozzi series.Financial risk managementFinancial risk management.332BUS027000bisacshZopounidis Constantin732748Galariotis EmiliosMiAaPQMiAaPQMiAaPQBOOK9910140647103321Quantitative financial risk management2296921UNINA