Advances in Risk Management
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18

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Published By Palgrave Macmillan UK

9781349285433, 9780230625846

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation

Advances in Risk Management ◽

10.1057/9780230625846_6 ◽

2007 ◽

pp. 107-131

Author(s):

Hayette Gatfaoui

Keyword(s):

Credit Risk ◽

Stochastic Volatility ◽

Systematic Risk ◽

Idiosyncratic Risk ◽

Risk Valuation

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Managing Interest Rate Risk under Non-Parallel Changes: An Application of a Two-Factor Model

Advances in Risk Management ◽

10.1057/9780230625846_4 ◽

2007 ◽

pp. 69-85 ◽

Cited By ~ 1

Author(s):

Manuel Moreno

Keyword(s):

Interest Rate ◽

Factor Model ◽

Interest Rate Risk ◽

Rate Risk

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On Model Selection and its Impact on the Hedging of Financial Derivatives

Advances in Risk Management ◽

10.1057/9780230625846_18 ◽

2007 ◽

pp. 353-364 ◽

Cited By ~ 2

Author(s):

Giuseppe Di Graziano ◽

Stefano Galluccio

Keyword(s):

Model Selection ◽

Financial Derivatives

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Large and Small Cap Stocks in Europe: Covariance Asymmetry, Volatility Spillovers and Beta Estimates

Advances in Risk Management ◽

10.1057/9780230625846_17 ◽

2007 ◽

pp. 327-352

Author(s):

Helena Chuliá ◽

Hipòlit Torró

Keyword(s):

Volatility Spillovers

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The Derivation of the NPV Probability Distribution of Risky Investments with Autoregressive Cash Flows

Advances in Risk Management ◽

10.1057/9780230625846_15 ◽

2007 ◽

pp. 278-302

Author(s):

Jean-Paul Paquin ◽

Annick Lambert ◽

Alain Charbonneau

Keyword(s):

Probability Distribution ◽

Cash Flows

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Sequential Procedures for Monitoring Covariances of Asset Returns

Advances in Risk Management ◽

10.1057/9780230625846_13 ◽

2007 ◽

pp. 241-264 ◽

Cited By ~ 4

Author(s):

Olha Bodnar

Keyword(s):

Asset Returns ◽

Sequential Procedures

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Evaluating Value-at-Risk Estimates: A Cross-Section Approach

Advances in Risk Management ◽

10.1057/9780230625846_11 ◽

2007 ◽

pp. 213-225

Author(s):

Raffaele Zenti ◽

Massimiliano Pallotta ◽

Claudio Marsala

Keyword(s):

At Risk ◽

Cross Section ◽

Value At Risk ◽

Risk Estimates

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Impact of the Collection Threshold on the Determination of the Capital Charge for Operational Risk

Advances in Risk Management ◽

10.1057/9780230625846_1 ◽

2007 ◽

pp. 1-21

Author(s):

Yves Crama ◽

Georges Hübner ◽

Jean-Philippe Peters

Keyword(s):

Operational Risk ◽

Capital Charge

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Optimal Investment with Inflation-Linked Products

Advances in Risk Management ◽

10.1057/9780230625846_9 ◽

2007 ◽

pp. 170-190 ◽

Cited By ~ 1

Author(s):

Taras Beletski ◽

Ralf Korn

Keyword(s):

Optimal Investment

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Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies

Advances in Risk Management ◽

10.1057/9780230625846_3 ◽

2007 ◽

pp. 47-68 ◽

Cited By ~ 1

Author(s):

Emanuele Borgonovo ◽

Marco Percoco

Keyword(s):

Sensitivity Analysis ◽

Trading Strategies

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