04378cam a2200673 i 4500 ocn904400144 OCoLC 20171025093623.0 m o d cr ||||||||||| 150303s2015 nju o 001 0 eng 2015009043 9781118738221 (epub) 1118738225 (epub) 9781118738405 (pdf) 1118738403 (pdf) 9781118738184 (hardback) 9781119080305 1119080304 1118738187 9781118738184 DEBSZ 433541504 AU@ 000054422014 NZ1 16177098 DEBSZ 452536324 DEBSZ 475041380 DEBBG BV043397582 (OCoLC)904400144 (OCoLC)919508982 (OCoLC)961683385 (OCoLC)962626444 CL0500000637 Safari Books Online DLC eng rda DLC N$T IDEBK DG1 YDXCP CDX E7B DEBSZ OCLCF UMI COO EBLCP OCLCQ RECBK B24X7 VLB DEBBG D6H K6U pcc MAIN HD61 BUS 027000 bisacsh 332 23 BUS027000 bisacsh Zopounidis, Constantin. Quantitative financial risk management : theory and practice / Constantin Zopounidis, Emilios Galariotis. [electronic resource] Hoboken, New Jersey : Wiley, 2015. 1 online resource. text rdacontent computer rdamedia online resource rdacarrier The Frank J. Fabozzi series Includes index. Machine generated contents note: 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 Dupa a and Milos 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 . Includes bibliographical references and index. Description based on print version record and CIP data provided by publisher. Financial risk management. BUSINESS & ECONOMICS / Finance. bisacsh Financial risk management. fast (OCoLC)fst01739657 Electronic books. Electronic books. Galariotis, Emilios. Print version: Zopounidis, Constantin. Quantitative financial risk management Hoboken, New Jersey : Wiley, 2015 9781118738184 (DLC) 2015005400 Frank J. Fabozzi series. http://onlinelibrary.wiley.com/book/10.1002/9781119080305 Wiley Online Library ddc BK 207917 207917