Risk Analysis and Portfolio Modelling

Allen, David; Luciano, Elisa

doi:10.3390/books978-3-03921-625-3

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https://mdpi.com/books/pdfview/book/1714

Author(s)

Allen, David

Luciano, Elisa

Language

English

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Abstract

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

URI

https://directory.doabooks.org/handle/20.500.12854/58513

Keywords

risk assessment; mortgage portfolio; insider trade; contagion effect; risk capital; liquidity risk; hedonic modeling; rolling wavelet correlation; inverse coefficient of variation; exchange traded funds; sovereign risk/debt; securitized real estate and local stock markets; portfolio optimization; portfolio analysis; risk premium; performance measurement; risk analysis; contagion; outperformance probability; Sharpe ratio; probability of default; small and medium enterprises; RAROC; sovereign defaults; risk attribution; multiresolution analysis; credit ratings; debt maturity structure; herding; asset-backed securities; modern portfolio theory; housing segments; analytic hierarchy process; African countries; Asian firms; decentralization; credit scoring; dependence; mutual funds; spillover effect; capital allocation; copulas; matched filter; institutional holding; crop insurance; factor investing; wavelet coherence and phase difference; risk; value-at-risk; rearrangement algorithm