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.
"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 an...
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| Language: | English |
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New York, NY :
Palgrave Macmillan,
2013.
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| Subjects: | |
| Physical Description: | xxvi, 411 pages : illustrations ; 23 cm |
| Format: | Book |
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.