03314nam 22010093a 450 991036775230332120250203235425.09783039216253303921625210.3390/books978-3-03921-625-3(CKB)4100000010106194(oapen)https://directory.doabooks.org/handle/20.500.12854/58513(ScCtBLL)eee2ca56-59b5-4fbd-8a38-9ad898a9e35a(OCoLC)1163841436(oapen)doab58513(EXLCZ)99410000001010619420250203i20192019 uu engurmn|---annantxtrdacontentcrdamediacrrdacarrierRisk Analysis and Portfolio ModellingDavid Allen, Elisa LucianoMDPI - Multidisciplinary Digital Publishing Institute2019Basel, Switzerland :MDPI,2019.1 electronic resource (224 p.)9783039216246 3039216244 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.risk assessmentmortgage portfolioinsider tradecontagion effectrisk capitalliquidity riskhedonic modelingrolling wavelet correlationinverse coefficient of variationexchange traded fundssovereign risk/debtsecuritized real estate and local stock marketsportfolio optimizationportfolio analysisrisk premiumperformance measurementrisk analysiscontagionoutperformance probabilitySharpe ratioprobability of defaultsmall and medium enterprisesRAROCsovereign defaultsrisk attributionmultiresolution analysiscredit ratingsdebt maturity structureherdingasset-backed securitiesmodern portfolio theoryhousing segmentsanalytic hierarchy processAfrican countriesAsian firmsdecentralizationcredit scoringdependencemutual fundsspillover effectcapital allocationcopulasmatched filterinstitutional holdingcrop insurancefactor investingwavelet coherence and phase differenceriskvalue-at-riskrearrangement algorithmAllen David373746Luciano ElisaScCtBLLScCtBLLBOOK9910367752303321Risk Analysis and Portfolio Modelling3036539UNINA