This important new book brings together an edited series of papers about risk management and the latest developments in this fascinating field. Covering topics such as Stochastic Volatility, Risk Dynamics, Weather Derivatives and Portfolio Diversification, this fundamental volume will have broad international appeal. It is vital for optimal portfolio allocation for both private and institutional investors worldwide, and will quickly become an indispensable tool.
Acknowledgements
Notes on the Contributors
Introduction
Optimal Determination of the Collection Threshold for Operational Losses; Y. Crama, G. Hübner and J. Peters
Incorporating Diversification into Risk Management; A. Purnanandam, M. Warachka, Y. Zhao, and W. T. Ziemba
Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies; E. Borgonovo and M. Percoco
Managing Interest Rate Risk under Non-Parallel Changes: An Application of a Two-Factor Model; M. Moreno
An Essay on Stochastic Volatility and the Yield Curve; R. Théoret, P. Rostan and A. El-Moussadek
Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation; H. Gatfaoui
A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-style Credit Risk Models; J. Fermanian and M. Sbai
The Modeling of Weather Derivative Portfolio Risk; S. Jewson
Optimal Investment with Inflation-linked Products; T. Beletski and R. Korn
Model Risk and Financial Derivatives; F. Lhabitant
Evaluating Value-at-risk Estimates: A Cross-section Approach; R. Zenti, M. Pallotta, and C. Marsala
Correlation Breakdowns and the Impact for Asset Management; R. Bramante and G. Gabbi
Sequential Procedures for Monitoring Covariance's of Asset Returns; O. Bodnar
An Empirical Study of Time-Varying Return Correlations and Efficient Set of Portfolios; T. Jithendranathan
The Derivation of the NPV Probability Distribution of Risky Investments with Autoregressive Cash Flows; J. Paquin, A. Lambert, and A. Charbonneau
Have Volatility Transmission Patterns between Spain and USA changed after September 11?; H. Chuliá, F.J. Climent, P. Soriano, and H. Torró
Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates; H. Chuliá and H. Torró
On Model Selection and its Impact on the Hedging of Financial Derivatives; G. Di Graziano and S. Galluccio
Index