Sommaire : Contents

Contributeurs : Yves Crama, Georges Hübner, Jean-Philippe Peters, Amiyatosh Purnanandam, Mitch Warachka, Yonggan Zhao, William T. Ziemba, Emanuele Borgonovo, Marco Percoco,
M.anuel Moreno, Raymond Théoret, Pierre Rostan, Abdeljalil El Moussadek, H. Gatfaoui,
Jean-David Fermanian, Mohamed Sbai, Stephen Jewson,
Taras Beletski, Ralf Korn, François-Serge Lhabitant, Raffaele Zenti, Massimiliano Pallota, Claudio Marsala, Riccardo Bramante, Giampaolo Gabbi, Olha Bodnar, Thadavillil Jitthendranathan, Jean-Paul Raquin, Annick Lambert, Alain Charbonneau, Helena Chuliá, Francisco J. Climent, Pilar Soriano, Hipolit Torró, GIUSEPPE Di Graziano, Stefano Galluccio


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

2. Incorporating Diversification into Risk Management

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

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

5. An Essay on Stochastic Volatility and the Yield Curve

6. Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation

7. A Comparative Analysis of Dependence Levels in Intensity-Based and Merton-Style Credit Risk Models

8. The Modeling of Weather Derivative Portfolio Risk

9. Optimal Investment with Inflation-Linked Products

10. Model Risk and Financial Derivatives

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

12. Correlation Breakdowns in Asset Management

13. Sequential Procedures for Monitoring Covariances of Asset Returns

14. An Empirical Study of Time-Varying Return Correlations and the Efficient Set of Portfolios

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

16. Have Volatility Transmission Patterns between the USA and Spain Changed after September 11 ?

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

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

Langue : Anglais

Collection : FINANCE AND CAPITAL MARKETS

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque