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Risk Assessment

Decisions in Banking and Finance

  • Conference proceedings
  • © 2009

Overview

Editors:
  1. Georg Bol

    1. Kollegium am Schloss, University of Karlsruhe (TH), Karlsruhe, Germany

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  2. Svetlozar T. Rachev

    1. Kollegium am Schloss, University of Karlsruhe (TH), Karlsruhe, Germany

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    You can also search for this editor in PubMed   Google Scholar

  3. Reinhold Würth

    1. Germany

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Part of the book series: Contributions to Economics (CE)

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Table of contents (12 papers)

  1. Front Matter

    Pages I-VIII
    Download chapter PDF

  2. Automotive Finance: The Case for an Industry-Specific Approach to Risk Management

    • Christian Diekmann
    Pages 1-9

  3. Evidence on Time-Varying Factor Models for Equity Portfolio Construction

    • Markus Ebner, Thorsten Neumann
    Pages 11-14

  4. Time Dependent Relative Risk Aversion

    • Enzo Giacomini, Michael Handel, Wolfgang K. Härdle
    Pages 15-46

  5. Portfolio Selection with Common Correlation Mixture Models

    • Markus Haas, Stefan Mittnik
    Pages 47-76

  6. A New Tempered Stable Distribution and Its Application to Finance

    • Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Frank J. Fabozzi
    Pages 77-109

  7. Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns

    • Sebastian Kring, Svetlozar T. Rachev, Markus Höchstötter, Frank J. Fabozzi
    Pages 111-152

  8. Risk Measures for Portfolio Vectors and Allocation of Risks

    • Ludger Rüschendorf
    Pages 153-164

  9. The Road to Hedge Fund Replication: The Very First Steps

    • Lars Jaeger
    Pages 165-203

  10. Asset Securitisation as a Profits Management Instrument

    • Markus Schmidtchen
    Pages 205-213

  11. Recent Advances in Credit Risk Management

    • Frances Cowell, Borjana Racheva, Stefan Trück
    Pages 215-234

  12. Stable ETL Optimal Portfolios and Extreme Risk Management

    • Svetlozar T. Rachev, R. Douglas Martin, Borjana Racheva, Stoyan Stoyanov
    Pages 235-262

  13. Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research

    • Dezhong Wang, Svetlozar T. Rachev, Frank J. Fabozzi
    Pages 263-286
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Keywords

About this book

New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.

Editors and Affiliations

  • Kollegium am Schloss, University of Karlsruhe (TH), Karlsruhe, Germany

    Georg Bol, Svetlozar T. Rachev

  • Germany

    Reinhold Würth

Bibliographic Information

  • Book Title: Risk Assessment

  • Book Subtitle: Decisions in Banking and Finance

  • Editors: Georg Bol, Svetlozar T. Rachev, Reinhold Würth

  • Series Title: Contributions to Economics

  • DOI: https://doi.org/10.1007/978-3-7908-2050-8

  • Publisher: Physica Heidelberg

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Physica-Verlag Heidelberg 2009

  • Hardcover ISBN: 978-3-7908-2049-2Published: 19 November 2008

  • Softcover ISBN: 978-3-7908-2557-2Published: 19 October 2010

  • eBook ISBN: 978-3-7908-2050-8Published: 14 November 2008

  • Series ISSN: 1431-1933

  • Series E-ISSN: 2197-7178

  • Edition Number: 1

  • Number of Pages: VIII, 286

  • Topics: Finance, general, Quantitative Finance

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