Quantitative Financial Risk Management: Theory and Practice

A Comprehensive Guide to Quantitative Financial Risk Management

Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practice provides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets.

This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today′s uncertain world of globalization, market volatility, and geo–political crisis.

Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.

Preface

About the Editors

Section I: Supervisory Risk Management

Chapter 1: Measuring Systemic Risk: Structural Approaches
Raimund M. Kovacevic and Georg Ch. Pflug

Chapter 2: Supervisory Requirements and Expectations for Portfolio–Level Counterparty Credit Risk Measurement and Management
Michael Jacobs Jr.

Chapter 3: Nonperforming Loans in the Bank Production Technology
Hirofumi Fukuyama and William L. Weber

Section II: Risk Models and Measures

Chapter 4: A Practical Guide to Regime Switching in Financial Economics
Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp, and Qi Zhang

Chapter 5: Output Analysis and Stress Testing for Risk–Constrained Portfolios
Jitka Dupaèová and Miloš Kopa

Chapter 6: Risk Measures and Management in the Energy Sector
Marida Bertocchi, Rosella Giacometti, and Maria Teresa Vespucci

Section III: Portfolio Management

Chapter 7: Portfolio Optimization: Theory and Practice
William T. Ziemba

Chapter 8: Portfolio Optimization and Transaction Costs
Renata Mansini, Wlodzimierz Ogryczak, and M. Grazia Speranza

Chapter 9: Statistical Properties and Tests of Efficient Frontier Portfolios
Chris J Adcock

Section IV: Credit Risk Modeling

Chapter 10: Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices
Michael Jacobs Jr.

Chapter 11: A Critique of Credit Risk Models with Evidence from Mid–Cap Firms
David E. Allen. Robert J. Powell, and Abhay K. Singh

Chapter 12: Predicting Credit Ratings Using a Robust Multicriteria Approach
Constantin Zopounidis

Section V: Financial Markets

Chapter 13: Parameter Analysis of the VPIN (Volume–Synchronized Probability of Informed Trading) Metric
Jung Heon Song, Kesheng Wu, and Horst D. Simon

Chapter 14: Covariance Specification Tests for Multivariate GARCH Models
Gregory Koutmos

Chapter 15: Accounting Information in the Prediction of Securities Class Actions
Vassiliki Balla

About the Contributors

Index