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Quantitative Financial Risk Management

Quantitative Financial Risk Management Theory and Practice

  • Author:
  • Publisher: John Wiley & Sons
  • ISBN: 9781118738184
  • Published In: May 2015
  • Format: Hardback , 448 pages
  • Jurisdiction: International ? Disclaimer:
    Countri(es) stated herein are used as reference only

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    A Comprehensive Guide to Quantitative Financial Risk Management

    Written by an international team of experts in the field, Quantitative Financial Risk Management: Theory and Practiceprovides an invaluable guide to the most recent and innovative research on the topics of financial risk management, portfolio management, credit risk modeling, and worldwide financial markets.

    This comprehensive text reviews the tools and concepts of financial management that draw on the practices of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. Using the information found in Quantitative Financial Risk Management can help professionals to better manage, monitor, and measure risk, especially in today's uncertain world of globalization, market volatility, and geo-political crisis.

    Quantitative Financial Risk Management delivers the information, tools, techniques, and most current research in the critical field of risk management. This text offers an essential guide for quantitative analysts, financial professionals, and academic scholars.

  • Preface xvii

    About the Editors xix

    SECTION ONE Supervisory Risk Management

    CHAPTER 1 Measuring Systemic Risk: Structural Approaches 3
    Raimund M. Kovacevic and Georg Ch. Pflug

    Systemic Risk: Definitions 4

    From Structural Models to Systemic Risk 6

    Measuring Systemic Risk 10

    Systemic Risk and Copula Models 15

    Conclusions 20

    References 20

    CHAPTER 2 Supervisory Requirements and Expectations for Portfolio-Level Counterparty Credit Risk Measurement and Management 22
    Michael Jacobs Jr., PhD, CFA

    Introduction 22

    Review of the Literature 25

    Supervisory Requirements for CCR 26

    Conceptual Issues in CCR: Risk versus Uncertainty 41

    Conclusions 44

    References 44

    CHAPTER 3 Nonperforming Loans in the Bank Production Technology 46
    Hirofumi Fukuyama and William L. Weber

    Introduction 46

    Selective Literature Review 47

    Method 51

    Empirical Application 57

    Summary and Conclusion 65

    Appendix 3.1 Bank Names and Type 66

    References 67

    SECTION TWO Risk Models and Measures

    CHAPTER 4 A Practical Guide to Regime Switching in Financial Economics 73
    Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp and Qi Zhang

    A Brief Look at Markov Regime Switching in Academic Economics and Finance 74

    Regime Switching and Interest Rate Processes 75

    Regime Switching and Exchange Rates 76

    Regime Switching, Stock Returns, and Asset Allocation 77

    Single-Asset Markov Models 79

    Two-State Estimation 82

    Three-State Estimation 84

    Markov Models for Multiple Assets 85

    Practical Application of Regime Switching Models for Investment Purposes 87

    Intuitive Appeal of Such Models 87

    Implementation Challenges 89

    Selecting the “Right" Model Structure 89

    Calibrating the Selected Model Type to Suitable Data 90

    Drawing the Right Conclusions from the Model 93

    References 95

    CHAPTER 5 Output Analysis and Stress Testing for Risk Constrained Portfolios 98
    Jitka Dupa¡cová and Miloš Kopa

    Introduction 98

    Worst-Case Analysis 107

    Stress Testing via Contamination 110

    Conclusions and New Problems 122

    References 122

    CHAPTER 6 Risk Measures and Management in the Energy Sector 126
    Marida Bertocchi, Rosella Giacometti and Maria Teresa Vespucci

    Introduction 126

    Uncertainty Characterization via Scenarios 128

    Measures of Risks 132

    Case Studies 137

    Summary 147

    References 147

    SECTION THREE Portfolio Management

    CHAPTER 7 Portfolio Optimization: Theory and Practice 155
    William T. Ziemba

    Static Portfolio Theory 155

    Importance of Means 163

    Stochastic Programming Approach to Asset Liability Management 167

    Siemens InnoALM Pension Fund Model 182

    Dynamic Portfolio Theory and Practice: The Kelly Capital Growth Approach 194

    Transactions Costs 199

    Some Great Investors 201

    Appendix 7.1: Estimating Utility Functions and Risk Aversion 206

    References 208

    CHAPTER 8 Portfolio Optimization and Transaction Costs 212
    Renata Mansini, Wlodzimierz Ogryczak and M. Grazia Speranza

    Introduction 212

    Literature Review on Transaction Costs 215

    An LP Computable Risk Measure: The Semi-MAD 221

    Modeling Transaction Costs 223

    Non-Unique Minimum Risk Portfolio 232

    Experimental Analysis 234

    Conclusions 237

    Appendix 238

    References 239

    CHAPTER 9 Statistical Properties and Tests of Efficient Frontier Portfolios 242
    C J Adcock

    Introduction 242

    Notation and Setup 245

    Distribution of Portfolio Weights 247

    Empirical Study 255

    Discussion and Concluding Remarks 267

    References 268

    SECTION FOUR Credit Risk Modelling

    CHAPTER 10 Stress Testing for Portfolio Credit Risk: Supervisory Expectations and Practices 273
    Michael Jacobs Jr.

    Introduction and Motivation 273

    Conceptual Issues in Stress Testing: Risk versus Uncertainty 276

    The Function of Stress Testing 277

    Supervisory Requirements and Expectations 280

    Empirical Methodology: A Simple ST Example 281

    Conclusion and Future Directions 291

    References 293

    CHAPTER 11 A Critique of Credit Risk Models with Evidence from Mid-Cap Firms 296
    David E. Allen, Robert J. Powell and Abhay K. Singh

    Introduction 296

    Summary of Credit Model Methodologies 297

    Our Empirical Methodology 302

    Critique 303

    Conclusions 310

    References 310

    CHAPTER 12 Predicting Credit Ratings Using a Robust Multicriteria Approach 312
    Constantin Zopounidis

    Introduction 312

    Credit Scoring and Rating 315

    Multicriteria Methodology 319

    Empirical Analysis 325

    Conclusions and Future Perspectives 330

    References 331

    SECTION FIVE Financial Markets

    CHAPTER 13 Parameter Analysis of the VPIN (Volume-Synchronized Probability of Informed Trading) Metric 337
    Jung Heon Song, Kesheng Wu and Horst D. Simon

    Introduction 337

    Definition of VPIN 341

    Computational Cost 346

    Optimization of FPR 348

    Uncertainty Quantification (UQ) 353

    Conclusion 360

    References 362

    CHAPTER 14 Covariance Specification Tests for Multivariate GARCH Models 364
    Gregory Koutmos

    Introduction 364

    Covariance Specification Tests 365

    Application of Covariance Specification Tests 367

    Empirical Findings and Discussion 368

    Conclusion 370

    References 370

    CHAPTER 15 Accounting Information in the Prediction of Securities Class Actions 372
    Vassiliki Balla

    Introduction 372

    Literature Review 375

    Methodology 376

    Data 378

    Results 387

    Conclusions 394

    References 395

    About the Contributors 399

    Glossary 413

    Index 421

  • CONSTANTIN ZOPOUNIDIS, PHD, is professor of Financial Engineering and Operations Research at Technical University of Crete in Greece and distinguished research professor at Audencia Nantes School of Management in France.

    EMILIOS GALARIOTIS, PHD (Dunelm), HDR, is professor of Finance at Audencia Nantes School of Management in France. He is the founder and director of the Centre for Financial and Risk Management and head of research in the area of finance, risk, and accounting performance at Audencia. He is also joint-Head of the Accounting and Finance Department.

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