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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 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 .
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