Advances in Risk Management

Advances in Risk Management Greg N. Gregoriou Edited by ...

ADVANCES IN RISK MANAGEMENT ...

Also edited by Greg N. Gregoriou ASSET ALLOCATION AND INTERNATIONAL INVESTMENTS DIVERSIFICATION AND PORTFOLIO MANAGEMENT OF MUTU ...

Advances in Risk Management Edited by GREG N. GREGORIOU ...

Selection and editorial matter©Greg N. Gregoriou 2007 Individual chapters©contributors 2007 All rights reserved. No reproduction ...

Contents Acknowledgements xi Notes on the Contributors xii Introduction xxi 1 Impact of the Collection Threshold on the Determin ...

vi CONTENTS 3 Sensitivity Analysis of Portfolio Volatility: Importance of Weights, Sectors and Impact of Trading Strategies 47 E ...

CONTENTS vii 6 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuatio ...

viii CONTENTS ...

CONTENTS ix 13 Sequential Procedures for Monitoring Covariances of Asset Returns 241 Olha Bodnar 13.1 Introduction 241 13.2 Cova ...

x CONTENTS 9 Optimal Investment with Inflation-Linked Products 9.1 Introduction Taras Beletski and Ralf Korn 9.2 Modeling the e ...

Acknowledgements I would like to thank Stephen Rutt, Publishing Director, and Alexandra Dawe, Assistant Editor, at Palgrave Macm ...

Notes on the Contributors The Editor Greg N. Gregoriouis Associate Professor of Finance and coordinator of faculty research in t ...

NOTES ON THE CONTRIBUTORS xiii Olha Bodnaris a research assistant in the Department of Statistics, Euro- pean University Viadrin ...

xiv NOTES ON THE CONTRIBUTORS Yves Cramais Professor of Operations Research and Production Man- agement, and Director General of ...

NOTES ON THE CONTRIBUTORS xv academic positions in Boston and Paris. He is the author of several publica- tions on infinite dime ...

xvi NOTES ON THE CONTRIBUTORS His dissertation on currency futures options won the Oscar Larson award for the best dissertation ...

NOTES ON THE CONTRIBUTORS xvii Claudio Marsalais quantitative portfolio manager in Ras Asset Man- agement and prior to this spen ...

xviii NOTES ON THE CONTRIBUTORS project risk management and quality management (“The Earned Quality Method”, IEEE Transactions o ...

NOTES ON THE CONTRIBUTORS xix Pilar Sorianois a researcher at the University of Valencia (Spain). She obtained her BA in Europea ...