Risk Analysis and Portfolio Modelling

Edited by
October 2019
224 pages
  • ISBN978-3-03921-624-6 (Paperback)
  • ISBN978-3-03921-625-3 (PDF)

This book is a reprint of the Special Issue Risk Analysis and Portfolio Modelling that was published in

Business & Economics
Computer Science & Mathematics

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.

  • Paperback
© 2019 by the authors; CC BY-NC-ND license
credit ratings; debt maturity structure; liquidity risk; Asian firms; insider trade; institutional holding; spillover effect; contagion effect; mortgage portfolio; housing segments; risk assessment; hedonic modeling; analytic hierarchy process; risk capital; capital allocation; decentralization; performance measurement; RAROC; modern portfolio theory; portfolio optimization; matched filter; wavelet coherence and phase difference; rolling wavelet correlation; multiresolution analysis; contagion; securitized real estate and local stock markets; sovereign risk/debt; risk premium; sovereign defaults; African countries; herding; factor investing; risk; crop insurance; value-at-risk; dependence; copulas; rearrangement algorithm; credit scoring; probability of default; small and medium enterprises; asset-backed securities; exchange traded funds; inverse coefficient of variation; mutual funds; outperformance probability; performance measurement; Sharpe ratio; risk analysis; portfolio analysis; risk attribution