Risk Assessment: Decisions in Banking and Finance

Book Overview

Automotive Finance: The Case for an Industry-Specific Approach to Risk Management.- Evidence on Time-Varying Factor Models for Equity Portfolio Construction.- Time Dependent Relative Risk Aversion.- Portfolio Selection with Common Correlation Mixture Models.- A New Tempered Stable Distribution and Its Application to Finance.- Estimation of ?-Stable Sub-Gaussian Distributions for Asset Returns.- Risk Measures for Portfolio Vectors and Allocation of Risks.- The Road to Hedge Fund Replication: The Very First Steps.- Asset Securitisation as a Profits Management Instrument.- Recent Advances in Credit Risk Management.- Stable ETL Optimal Portfolios and Extreme Risk Management.- Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research.

• Format: Paperback
• Language: English
• ISBN: 3790825573
• ISBN13: 9783790825572
• Release Date: October 2010
• Publisher: Physica-Verlag
• Length: 286 Pages
• Weight: 0.92 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"