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Quantitative Financial Risk Management

  • Conference proceedings
  • © 2011

Overview

Editors:
  1. Dash Wu

    1. , Risklab, University of Toronto, Toronto, Canada

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  • Provides approaches and instruments for handling financial risks Based on latest research data, up-to-date content Some approaches have been approved in the microeconomic environment Sheds a light on financial risk management in various types of enterprises

Part of the book series: Computational Risk Management (Comp. Risk Mgmt, volume 1)

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Table of contents (24 papers)

  1. Front Matter

    Pages i-ix
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  2. Market Risk Management

    1. Front Matter

      Pages 1-1
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    2. Empirical Analysis of Risk Measurement of Chinese Mutual Funds

      • Ju Yang
      Pages 3-14

    3. Assess the Impact of Asset Price Shocks on the Banking System

      • Yuan Fang-Ying
      Pages 15-28

    4. Comparative Study on Minimizing the Risk of Options for Hedge Ratio Model of Futures

      • Luo Wenhui
      Pages 29-38

    5. The Application of Option Pricing Theory in Participating Life Insurance Pricing Based On Vasicek Model

      • Danwei Qiu, Yue Hu, Lifang Wang
      Pages 39-46

    6. The Study of Applying Black-Scholes Option Pricing Model to the Term Life Insurance

      • Lifang Wang, Yue Hu, Danwei Qiu
      Pages 47-54

    7. Evolutionary Variation of Service Trade Barriers in Banking: A Case of ASEAN+3

      • Xiaobing Feng
      Pages 55-61

    8. Corporate Board Governance and Risk Taking

      • Shenglan Chen
      Pages 63-69

    9. The Risk Factors Analysis of the Term Structure of Interest Rate in the Interbank Bond Market

      • Yujun Yang, Hui Huang, Jing Pang
      Pages 71-76

    10. Pricing of Convertible Bond Based on GARCH Model

      • Mengxian Wang, Yuan Li
      Pages 77-86

    11. Sentiment Capital Asset Cognitive Price and Empirical Evidence from China’s Stock Market

      • Wei Yan, Chunpeng Yang, Jun Xie
      Pages 87-93

    12. Carbon Emission Markets

      • Walid Mnif, Matt Davison
      Pages 95-108

  3. Credit Risk Management

    1. Front Matter

      Pages 109-109
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  5. Risk Management in Enterprises

    1. Front Matter

      Pages 189-189
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Keywords

About this book

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management to diverse business environments. Included are traditional market and credit risk management models such as the Black-Scholes Option Pricing Model, the Vasicek Model, Factor models, CAPM models, GARCH models, KMV models and credit scoring models.

Editors and Affiliations

  • , Risklab, University of Toronto, Toronto, Canada

    Dash Wu

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