Financial Risk and Financial Risk Management
Published on 24. May 2002
Book
Hardback
568 pages
978-0-7623-0858-3 (ISBN)
Description
Financial Risk Measurement and Management is an area of endeavor that has had its profile raised every time a significant monetary loss occurs as a result of the utilization (or abuse) of derivative instruments. However, the subject has transcended being only a subject of topical interest. An understanding of Financial Risk Measurement and Management has become essential to survival in all business activity. Financial Risk relates to the volatility of unexpected outcome or movements in financial variables. Financial risk variables arise generically in the form of interest rate risk, foreign exchange risk, equity risk and commodity risk. This volume provides empirical or theoretical insight on those risk variables. The goal of "Financial Risk and Financial Risk Management" is to provide both laymen and professionals with current analysis, theoretical risk measurement models and empirical findings that will extend their understanding of the financial risk environment. This volume contains findings of many leading academic, professional and regulatory figures in the Financial Risk Arena. The Financial Risk coverage in the volume is eclectic and not encyclopedic. It is impossible to be all-inclusive in one volume and as such the editors included what they felt were an excellent array of current research efforts pertinent to Financial Risk.
Reviews / Votes
...Twenty papers address financial risk measurement and management. Journal of Economic LiteratureMore details
Series
Language
English
Place of publication
United States
Publishing group
Emerald Publishing Limited
Target group
Professional and scholarly
Dimensions
Height: 240 mm
Width: 161 mm
Thickness: 35 mm
Weight
1010 gr
ISBN-13
978-0-7623-0858-3 (9780762308583)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Content
Overview. The current financial risk scene J.A. Batten, T.A. Fetherston). Recent global financial crises: Lessons learned (W.C. Hunter). The ability of regulatory capital models to meet prudential objectives: A credit derivative perspective (E. Wong, T.A. Fetherston, J.A. Batten). Financial Risk Management Procedures. Cointegration and asset allocation: A new active hedge fund strategy (C. Alexander, I. Giblin, W. Weddington III). Improving value at risk for non-normal return distributions (D. Nam, B.E. Gup). Equity volatility trading strategy in two closely related indices - a risk management perspective (H.R. Kubli, W. Kemmsies). The choice of foreign exchange hedging techniques: An international study (R. Faff, A.P. Marshall). The hill estimator in Financial Risk Assessment and an Application to Extremal exchange rate risk (N. Wagner). Using regression techniques to estimate futures hedge ratios, some results from alternative approaches applied to Australian 10 Year Treasury Bond Futures (D.E. Allen et al.).Optimal Asian multi-currency strategy portfolios with exact risk attribution (C. Los). Tracking errors, changing risks and the asset universe (P. Poomimars, J. Cadle, M. Theobald). Improvements on value at risk measures by combining conditional autoregressive and extreme value approaches (D. Meneguzzo, W. Vecchiato). Interest rate models in risk management: Results for U.S. treasury yields (K.B. Nowman). Financial Risk Measurement. Increasing linkages of stock market and price volatility (N.R. Sabri). Testing for contagion during the Asian crisis (B. Gerard, K. Thanyalakpark, D. Filson). An analysis of private loan guarantee portfolios (M. Gendron, V.S. Lai, I. Soumare). Assessing market risk for hedge funds and hedge funds portfolios (F.-S. Lhabitant). ADR risk characteristics and measurement. (T. Arnold, L. Nail, T.D. Nixon). Operational risk and the BIS capital charge: Foreign versus Australian bank practice (C. Viney). Credit spreads between German and Italian Medium Term Zero Coupon Government Bonds - empirical assessment of a three-factor defaultable term structure model (B. Schmid, A. Kalemanova). Estimation of mean and variance episodes in the price return of the stock exchange of Thailand (T. Bos, P. Hoontrakul).