Quantitative financial risk management

Quantitative financial risk management [electronic resource] / Desheng Dash Wu, editor.

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management to diverse business environments. Included a...

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Bibliographic Details
Online Access: Full Text (via Springer)
Other Authors: Wu, Desheng Dash
Format: Electronic eBook
Language:English
Published: Berlin ; Heidelberg ; New York : Springer, ©2011.
Series:Computational risk management.
Subjects:
Financial risk management.

MARC

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504 |a Includes bibliographical references. 
505 0 |a Preface; References; Contents; Part I: Market Risk Management; Empirical Analysis of Risk Measurement of Chinese Mutual Funds; 1 Introduction; 2 Literature Review; 3 Empirical Analysis; 4 Conclusion; References; Assess the Impact of Asset Price Shocks on the Banking System; 1 Introduction; 2 Liquidity Risk Macro Stress-Testing Framework; 2.1 Monte Carlo Simulations of Market Risk Shocks; 2.2 Market-Risk Equations, Default-Risk Equations and Liquidity Risk Equations; 2.2.1 Market-Risk Equations; 2.2.2 Default-Risk Equations; 2.2.3 Liquidity Risk Equations; 3 Data Sample and Sources. 
505 8 |a 4 Specification of Stress Scenarios5 Simulation Results; 6 Conclusion; Appendix; Econometric Estimation of the Relationship Between the Probability of Default and the Monthly Retail Deposit Outflow Rate; References; Comparative Study on Minimizing the Risk of Options for Hedge Ratio Model of Futures; 1 Introduction; 2 Traditional Minimize Option Hedge Ratio of; 2.1 Traditional Simple Regression Models; 2.2 Dual Variable Vector Autoregressive Model; 2.3 Error Correction Hedging Model; 2.4 General Auto-regressive Conditional Heteroscedastic Model; 3 CVaR Options Optimal Hedging Ratio Model. 
505 8 |a 3.1 CVaR Model Derived3.2 Model ́s Establishment; 3.3 Model Comparison Vertical Analysis; 4 Summary; References; The Application of Option Pricing Theory in Participating Life Insurance Pricing Based On Vasicek Model; 1 Introduction; 2 Fair Premium Pricing; 3 Conclusion; References; The Study of Applying Black-Scholes Option Pricing Model to the Term Life Insurance; 1 Introduction; 2 B-S Option Pricing Model; 2.1 The Derivation of Black-Scholes Option Pricing Model; 2.2 European Put Option Formula; 3 Option Features of Insurance; 4 The Application of B-S Option Pricing Model; 5 The Conclusion. 
505 8 |a 3.3 Research Models4 Empirical Results; 4.1 Descriptive Statistics; 4.2 Regression Results; 5 Conclusion; References; The Risk Factors Analysis of the Term Structure of Interest Rate in the Interbank Bond Market; 1 Introduction; 2 Literature Review; 3 Methodology; 4 Empirical Analysis; 4.1 Principal Component Analysis; 4.2 Relative Importance of the Factors; 5 Conclusion; References; Pricing of Convertible Bond Based on GARCH Model; 1 Introduction; 2 Hypothesis; 3 Convertible Bond Pricing Model; 3.1 Volatility Model; 3.2 Parameter Estimation; 4 Empirical Studies. 
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