دانلود کتاب Advances in Risk Management

عنوان فارسی :

دانلود کتاب پیشرفت در مدیریت ریسک

عنوان انگلیسی :

Advances in Risk Management

زبان : English

موضوع : Business->Management

نویسندگان : Greg N. Gregoriou

ناشر : Palgrave Macmillan

ISBN (شابک) : 9780230019164, 0-230-01916-1

تعداد صفحات : 401\401

سال نشر : 2007     ویرایش :

حجم : 3 MB       فرمت : djvu

قیمت : 20000 تومان

فهرست :



Table of contents :
Contents......Page 6
Acknowledgements......Page 12
Notes on the Contributors......Page 13
Introduction......Page 22
1.1 Introduction......Page 26
1.2 Measuring operational risk......Page 28
1.3 The collection threshold......Page 33
1.4 Empirical analysis......Page 36
1.5 Conclusion......Page 41
2.1 Introduction......Page 47
2.2 Risk measure with diversification......Page 49
2.3 Numerical example......Page 56
2.4 Implementation......Page 58
2.5 Pricing portfolio insurance......Page 62
2.6 Conclusion......Page 68
3.1 Introduction......Page 72
3.2 Sensitivity analysis background......Page 75
3.3 Effect of relative weight changes......Page 76
3.4 Importance of portfolio weights in GARCH volatility estimation models......Page 78
3.5 Empirical results: trading strategies through sensitivity analysis......Page 81
3.6 Conclusion......Page 89
4.1 Introduction......Page 94
4.2 The model......Page 95
4.3 Generalized duration and convexity......Page 97
4.4 Hedging ratios......Page 99
4.5 A proposal of a solution for the limitations of the conventional duration......Page 100
4.6 Conclusion......Page 108
5.1 Introduction......Page 111
5.2 Variations on stochastic volatility and conditional volatility......Page 113
5.4 Interest rate term structure models......Page 117
5.5 Methodology......Page 119
5.6 Data and calibration of the Fong and Vasicek model......Page 122
5.7 Simulation......Page 123
5.8 Empirical results......Page 124
5.9 Conclusion......Page 127
6.1 Introduction......Page 132
6.2 The general model......Page 135
6.3 A stochastic volatility model......Page 139
6.4 Simulation study......Page 143
6.5 Conclusion......Page 151
7.1 Introduction......Page 157
7.2 Merton-style models......Page 158
7.3 Intensity-based models......Page 161
7.4 Comparisons between some dependence indicators......Page 164
7.5 Extensions of the basic intensity-based model......Page 168
7.6 Conclusion......Page 175
8.1 Introduction......Page 181
8.2 What are weather derivatives?......Page 182
8.3 Defining risk for weather derivative portfolios......Page 184
8.4 Basic methods for estimating the risk in weather derivative portfolios......Page 185
8.6 Accurate estimation of the correlation matrix......Page 187
8.7 Dealing with non-normality......Page 188
8.8 Estimating model error......Page 189
8.9 Incorporating hedging constraints......Page 190
8.10 Consistency between the valuation of single contracts and portfolios......Page 191
8.12 Estimating VaR......Page 192
8.13 Conclusion......Page 193
9.1 Introduction......Page 195
9.2 Modeling the evolution of an inflation index......Page 196
9.3 Optimal portfolios with inflation linked products......Page 198
9.4 Hedging with inflation linked products......Page 207
9.5 Conclusion......Page 214
10.1 Introduction......Page 216
10.2 From mathematical theory to financial practise......Page 219
10.3 An illustration of model risk......Page 220
10.4 The role of models for derivatives......Page 222
10.5 The model-building process and model risk-creation......Page 224
10.6 What if the model is wrong? a case study......Page 226
10.7 Eleven rules for managing model risk......Page 228
10.8 Conclusion......Page 235
11.1 Introduction......Page 238
11.3 Review of existing methods for backtesting......Page 239
11.4 An extension: the cross-section approach......Page 242
11.5 Applications......Page 244
11.6 Conclusion......Page 249
12.2 Data and descriptive statistics......Page 251
12.3 Correlation jumps and volatility behavior......Page 253
12.5 Conclusion......Page 262
13.1 Introduction......Page 266
13.2 Covariance structure of asset returns and optimal portfolio weights......Page 268
13.3 Multivariate statistical surveillance......Page 271
13.4 Simultaneous statistical surveillance......Page 276
13.5 A comparison of the multivariate and simultaneous control charts......Page 278
13.6 Conclusion......Page 283
14.1 Introduction......Page 290
14.2 Empirical Methodology and Data......Page 292
14.3 Results......Page 295
14.4 Conclusion......Page 301
15.1 Introduction......Page 303
15.2 Systematic risk and the perfect economy......Page 305
15.3 Total risk and the real economy......Page 307
15.4 The NPV probability distribution and the CLT: theoretical results......Page 310
15.5 The NPV probability distribution and the CLT: simulation models and statistical tests......Page 313
15.6 The NPV probability distribution and the CLT: simulation results......Page 314
15.7 Conclusion......Page 318
16.1 Introduction......Page 328
16.2 Data......Page 330
16.3 The econometric approach......Page 334
16.4 Empirical results......Page 337
16.5 Conclusion......Page 346
17.1 Introduction......Page 352
17.2 The econometric framework......Page 354
17.3 Data and preliminary analysis......Page 356
17.4 Results......Page 360
17.5 Asymmetries analysis......Page 367
17.6 Volatility spillovers......Page 370
17.7 Conclusion......Page 373
18.1 Introduction......Page 378
18.2 Model and Mathematical setup......Page 380
18.3 Analytical expression of the total hedging error......Page 382
18.4 Numerical results......Page 384
18.5 Conclusion......Page 388
B......Page 390
C......Page 391
D......Page 392
F......Page 393
I......Page 394
M......Page 395
P......Page 397
S......Page 398
T......Page 399
W......Page 400
Z......Page 401





کتاب های پزشکی

دانلود کتاب Herbs of Grace: Becoming Independently Healthy

دانلود کتاب Ultrasound in Obstetrics And Gynecology: Textbook and Atlas, Volume 2 - Gynecology

دانلود کتاب Starfish, Jellyfish and order of life

دانلود کتاب Manuelle Therapie und komplexe Rehabilitation: Band 2: Untere Körperregionen

دانلود کتاب Therapeutic Monoclonal Antibodies: From Bench to Clinic

کتاب های کامپیوتر

دانلود کتاب Python cookbook

دانلود کتاب LISP 1.5 Programmer's Manual

دانلود کتاب Smarty PHP Template Programming And Applications

دانلود کتاب Algebraic Foundations in Computer Science: Essays Dedicated to Symeon Bozapalidis on the Occasion of His Retirement

دانلود کتاب Configuring ISA Server 2000

کتاب های ریاضی

دانلود کتاب Hominid Individual in Context: Archaeological Investigations of Lower and Middle Palaeolithic landscapes, locales and artefacts

دانلود کتاب Methods in Ring Theory

دانلود کتاب Methods of nonlinear analysis, vol. 2

دانلود کتاب Optimization by variational methods

دانلود کتاب Decisions and Elections: Explaining the Unexpected

کتاب های تکنولوژی

دانلود کتاب Upgrading and Repairing PCs, w. CD-ROM

دانلود کتاب Fungal Biotechnology in Agricultural, Food, and Environmental Applications (Mycology)

دانلود کتاب Protein Methods

دانلود کتاب Nano: The Essentials

دانلود کتاب Stationary Fuel Cells: an Overview

کتاب های مذهبی

دانلود کتاب Aquarium plant paradise

دانلود کتاب Early Christian Latin Poets (The Early Church Fathers)

دانلود کتاب

دانلود کتاب John, Qumran, and the Dead Sea Scrolls: Sixty Years of Discovery and Debate

دانلود کتاب Dragon Rouge - Magical Course (1.0)

کتاب های فیزیولوژی

دانلود کتاب The Secret Art of Mind Power Seduction

دانلود کتاب Superhotsex

دانلود کتاب What your child needs to know about sex (and when): a straight-talking guide for parents

دانلود کتاب Why Do Fools Fall in Love: Experiencing the Magic, Mystery, and Meaning of Successful Relationships (Wiley Series in Psychology)

دانلود کتاب A Guide to Bird Behavior, Volume II: In the Wild and at Your Feeder (Stokes Nature Guides)

کتاب های تاریخی

دانلود کتاب Raymold Military Uniforms and Equipments

دانلود کتاب The Official Monogram U.S. Navy & Marine Corps Aircraft Color Guide: 1911-1939

دانلود کتاب Warships in Profile 22-IJN Yukikaze

دانلود کتاب Underground Humour In Nazi Germany, 1933-1945

دانلود کتاب Russian Security and Air Power, 1992-2002

کتاب های زیست شناسی

دانلود کتاب Chemical Proteomics: Methods and Protocols (Methods in Molecular Biology, v803)

دانلود کتاب Protein Sequencing Protocols

دانلود کتاب Hormones and Reproduction of Vertebrates - Volume 5: Mammals

دانلود کتاب Hepatocyte Transplantation: Methods and Protocols

دانلود کتاب Recent Advances in Human Retroviruses: Principles of Replication and Pathogenesis - Advances in Retroviral Research

کتاب های اقتصاد

دانلود کتاب Thinking for a Change: Putting the TOC Thinking Processes to Use (The CRC Press Series on Constraints Management)

دانلود کتاب Web 2.0 and Social Networking for the Enterprise: Guidelines and Examples for Implementation and Management Within Your Organization

دانلود کتاب Dave Landry On Swing Trading

دانلود کتاب Technical Analysis: Power Tools for Active Investors

دانلود کتاب January Special Issue Managing Yourself

کتاب های آموزشی

دانلود کتاب Constraint Databases: First International Symposium, CDB 2004, Paris, France, June 12-13, 2004. Proceedings

دانلود کتاب How To Trade The New Single Stock Futures

دانلود کتاب Beginners Guide to SQL Server Integration Services Using Visual Studio 2005

دانلود کتاب Ilyushin IL-18/-20/-22: A Versatile Turboprop Transport (Aerofax)

دانلود کتاب Embedded and Ubiquitous Computing: International Conference, EUC 2007, Taipei, Taiwan, December 17-20, 2007. Proceedings

کتاب های حقوق

دانلود کتاب Analysis of evidence

دانلود کتاب Pharmacy Law and Practice, 3rd edition

دانلود کتاب The Place of the Law in the Religion of Ancient Israel (Supplements to Vetus Testamentum)

دانلود کتاب Young People and 'risk' (Researching Criminal Justice Series)

دانلود کتاب On the Mean Absolute Magnitudes of the K and M Giants and the Systematic Errors in Trigonometric Parallaxes

کتاب های علوم انسانی

دانلود کتاب The Devil In Modern Philosophy~ Selected Philosophical Themes

دانلود کتاب System of Ethical Life and First Philosophy of Spirit

دانلود کتاب Globalization: A Very Short Introduction (Very Short Introductions)

دانلود کتاب Shakespeare And Philosophy

دانلود کتاب The Pre Raphaelite Tragedy