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Palgrave Macmillan

Advances in Financial Risk Management

Corporates, Intermediaries and Portfolios

  • Book
  • © 2013

Overview

Editors:
  1. Jonathan A. Batten

    1. Monash University, Melbourne, Australia

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  2. Peter MacKay

    1. Hong Kong University of Science and Technology, Hong Kong

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  3. Niklas Wagner

    1. Department of Business and Economics, University of Passau, Germany

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About this book

The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.

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Table of contents (17 chapters)

  1. Front Matter

    Pages i-xxvi
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  3. Intermediaries

    1. Front Matter

      Pages 125-125
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    2. Does Securitization Affect Banks’ Liquidity Risk? The Case of Italy

      • Francesca Battaglia, Maria Mazzuca
      Pages 127-147

    3. Stress Testing Interconnected Banking Systems

      • Rodolfo Maino, Kalin Tintchev
      Pages 148-180

    4. Estimating Endogenous Liquidity Using Transaction and Order Book Information

      • Philippe Durand, Yalin Gündüz, Isabelle Thomazeau
      Pages 181-200

    5. The 2008 UK Banking Crash: Evidence from Option Implied Volatility

      • Ha Yan Raymond So, Tarik Driouchi, Zhiyuan Simon Tan
      Pages 201-224

    6. International Portfolio Diversification and the 2007 Financial Crisis

      • Jacek Niklewski, Timothy Rodgers
      Pages 225-252

    7. A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting

      • Leandro Maciel
      Pages 253-283

  4. Portfolios

    1. Front Matter

      Pages 285-285
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    2. Robust Consumption and Portfolio Rules When Asset Returns Are Predictable

      • Abraham Lioui
      Pages 287-311

    3. A Diversification Measure for Portfolios of Risky Assets

      • Gabriel Frahm, Christof Wiechers
      Pages 312-330

    4. Hedge Fund Portfolio Allocation with Higher Moments and MVG Models

      • Asmerilda Hitaj, Lorenzo Mercuri
      Pages 331-346

    5. The Statistics of the Maximum Drawdown in Financial Time Series

      • Alessandro Casati, Serge Tabachnik
      Pages 347-363

    6. On the Effectiveness of Dynamic Stock Index Portfolio Hedging: Evidence from Emerging Markets Futures

      • Mohammad S. Hasan, Taufiq Choudhry
      Pages 364-390
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Editors and Affiliations

  • Monash University, Melbourne, Australia

    Jonathan A. Batten

  • Hong Kong University of Science and Technology, Hong Kong

    Peter MacKay

  • Department of Business and Economics, University of Passau, Germany

    Niklas Wagner

About the editors

Gabriel Frahm, Helmut Schmidt University, Germany Christof Wiechers, University of Cologne, Germany Asmerilda Hitaj, University of Milan, Italy Lorenzo Mercuri, University of Milan, Italy Alessandro Casati, Antares Technologies, France Serge Tabachnik, Antares Technologies, France Mohammad S. Hasan, University of Kent, UK Taufiq Choudhry, University of Southampton, UK Tim Leung, Columbia University, USA Peng Liuz, Johns Hopkins University, USA Leandro Maciel, University of Campinas, Brazil Philippe Durand, Banque de France, Paris, France Yalin Gündüz, Deutsche Bundesbank, Frankfurt, Germany Isabelle Thomazeau, Banque de France, Paris, France Tim R. Adam, Humboldt University of Berlin, Germany Chitru S. Fernando, University of Oklahoma, USA Evgenia Golubeva, University of Oklahoma, USA Abraham Lioui, EDHEC Business School, France Ha Yan Raymond So, MacroValue Investors Ltd, Hong Kong, and King's College London, UK Tarik Driouchi, King's College London, UK Zhiyuan Simon Tan, King's College London, UK Craig O. Brown, National University of Singapore, Singapore Daniel A. Rogers, Portland State University, USA Jacek Niklewski, Coventry University, UK Timothy Rodgers, Coventry University, UK Francesca Battaglia, Università Parthenope, Italy Maria Mazzuca, Università della Calabria, Italy Shane Magee, Macquarie University, Australia Rodolfo Maino, International Monetary Fund, USA Kalin Tintchev, International Monetary Fund, USA Amrita Nain,University of Iowa, USA

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