LEADER 04434nam 2200649 450 001 9910140647103321 005 20200520144314.0 010 $a1-118-73822-5 010 $a1-119-08030-4 035 $a(CKB)2670000000615888 035 $a(EBL)1895569 035 $a(SSID)ssj0001482687 035 $a(PQKBManifestationID)11854480 035 $a(PQKBTitleCode)TC0001482687 035 $a(PQKBWorkID)11412434 035 $a(PQKB)10701049 035 $a(DLC) 2015009043 035 $a(Au-PeEL)EBL1895569 035 $a(CaPaEBR)ebr11053028 035 $a(CaONFJC)MIL783579 035 $a(OCoLC)904400144 035 $a(CaSebORM)9781118738184 035 $a(MiAaPQ)EBC1895569 035 $a(PPN)189245042 035 $a(EXLCZ)992670000000615888 100 $a20150519h20152015 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aQuantitative financial risk management $etheory and practice /$fConstantin Zopounidis, Emilios Galariotis 205 $a1st edition 210 1$aHoboken, New Jersey :$cWiley,$d2015. 210 4$dİ2015 215 $a1 online resource (451 p.) 225 1 $aFrank J. Fabozzi Series 300 $aIncludes index. 311 $a1-118-73840-3 311 $a1-118-73818-7 320 $aIncludes bibliographical references at the end of each chapters and index. 327 $aMachine 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 . 330 $aPreface About the Editors Section I: Supervisory Risk Management Chapter 1: Measuring Systemic Risk: Structural Approaches Raimund M. Kovacevic and Georg Ch. Pflug Chapter 2: Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management Michael Jacobs Jr. Chapter 3: Nonperforming Loans in the Bank Production Technology Hirofumi Fukuyama and William L. Weber Section II: Risk Models and Measures Chapter 4: A Practical Guide to Regime Switching in Financial EconomicsIain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zha 410 0$aFrank J. Fabozzi series. 606 $aFinancial risk management 615 0$aFinancial risk management. 676 $a332 686 $aBUS027000$2bisacsh 700 $aZopounidis$b Constantin$0732748 702 $aGalariotis$b Emilios 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910140647103321 996 $aQuantitative financial risk management$92296921 997 $aUNINA