Risk Analysis and Portfolio Modelling
Material type:
ArticleLanguage: English Publication details: MDPI - Multidisciplinary Digital Publishing Institute 2019Description: 1 electronic resource (224 p.)ISBN: - books978-3-03921-625-3
- 9783039216253
- 9783039216246
- risk assessment
- mortgage portfolio
- insider trade
- contagion effect
- risk capital
- liquidity risk
- hedonic modeling
- rolling wavelet correlation
- inverse coefficient of variation
- exchange traded funds
- sovereign risk/debt
- securitized real estate and local stock markets
- portfolio optimization
- portfolio analysis
- risk premium
- performance measurement
- risk analysis
- contagion
- outperformance probability
- Sharpe ratio
- probability of default
- small and medium enterprises
- RAROC
- sovereign defaults
- risk attribution
- multiresolution analysis
- credit ratings
- debt maturity structure
- herding
- asset-backed securities
- modern portfolio theory
- housing segments
- analytic hierarchy process
- African countries
- Asian firms
- decentralization
- credit scoring
- dependence
- mutual funds
- spillover effect
- capital allocation
- copulas
- matched filter
- institutional holding
- crop insurance
- factor investing
- wavelet coherence and phase difference
- risk
- value-at-risk
- rearrangement algorithm
Open Access star Unrestricted online access
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
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