Advances in financial risk management corporates, intermediaries and portfolios / [edited by] Jonathan A. Batten, Monash University, Melbourne, Australia ; Peter MacKay, Hong Kong University of Science and Technology ; and Niklas Wagner, Department of Business and Economics, University of Passau, Germany.

Other author Batten, Jonathan.
Other author MacKay, Peter, 1961-
Other author Wagner, Niklas F., 1969-
Format Electronic
Publication InfoNew York, NY : Palgrave Macmillan, 2013.
Descriptionxxvi, 411 pages : illustrations ; 23 cm.
Supplemental ContentFull text available from eBooks on EBSCOhost
Subjects
Financial risk management.
Risk management.

Contents Machine generated contents note: -- PART I: CORPORATE -- 1. Strategic Risk Management and Product Market Competition; Tim R. Adam and Amrita Nain -- 2. The Cash-Flow Risk of Corporate Market Investments; Craig O. Brown -- 3. Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach; Shane Magee -- 4. Repurchases, Employee Stock Option Grants, and Hedging; Daniel A. Rogers -- 5. Do Managers Exhibit Loss Aversion in their Risk Management Practices?: Evidence from the Gold Mining Industry; Tim R. Adam, Chitru S. Fernando and Evgenia Golubeva -- PART II: INTERMEDIARIES -- 6. Does Securitization Affect Banks' Liquidity Risk? The Case of Italy; Francesca Battaglia and Maria Mazzuca -- 7. Stress Testing Interconnected Banking Systems; Rodolfo Maino and Kalin Tintchev -- 8. Estimating Endogenous Liquidity Using Transaction and Order Book Information; Philippe Durand, Yalin Gündüz and Isabelle Thomazeau -- 9. The 2008 UK Banking Crash: Evidence from Option Implied Volatility; Ha Yan Raymond So, Tarik Driouchi and Zhiyuan Simon Tan -- 10. International Portfolio Diversification and the 2007 Financial Crisis; Jacek Niklewski and Timothy Rodgers -- 11. A Hybrid Fuzzy GJR-GARCH Modelling Approach for Stock Market Volatility: Forecasting; Leandro Maciel -- PART III: PORTFOLIOS -- 12. Robust Consumption and Portfolio Rules when Asset Returns are Predictable; Abraham Lioui -- 13. A Diversification Measure for Portfolios of Risky Assets; Gabriel Frahm and Christof Wiechers -- 14. Portfolio Allocation with Higher Moments; Asmerilda Hitaj and Lorenzo Mercuri -- 15. The Statistics of the Maximum Drawdown in Financial Time Series; Alessandro Casati and Serge Tabachnik -- 16. On the Effectiveness of Dynamic Stock Index Portfolio Hedging; Mohammad S. Hasan and Taufiq Choudhry -- 17. An Optimal Timing Approach to Option Portfolio Risk Management; Tim Leung and Peng Liu.
Abstract "Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios is essential reading to those interested in better understanding developments in the post-Global Financial Crisis (GFC) environment. There are seventeen papers that provide the latest research on measuring, managing and pricing financial risk, allocated into three very broad perspectives: risk management in non-financial corporations; in financial intermediaries such as banks, which must comply with regulatory standards on measuring and managing risk; and finally within the context of a portfolio of securities of different credit quality and marketability. This unique compilation of papers provides an expansive view of the latest techniques available to academics and practitioners to measure and manage risk"-- Provided by publisher.
Bibliography noteIncludes bibliographical references and index.
Access restrictionAvailable only to authorized users.
Technical detailsMode of access: World Wide Web
Genre/formElectronic books.
LCCN 2013035857
ISBN9781137025081 (hardback)

Availability

Library Location Call Number Status Item Actions
Electronic Resources Access Content Online ✔ Available