Advances in Risk Management

x CONTENTS

• 9 Optimal Investment with Inflation-Linked Products
  
  
  • 9.1 Introduction Taras Beletski and Ralf Korn
  
  
  • 9.2 Modeling the evolution of an inflation index
  
  
  • 9.3 Optimal portfolios with inflation linked products
  
  
  • 9.4 Hedging with inflation linked products
  
  
  • 9.5 Conclusion
  
  
  
  


• 10 Model Risk and Financial Derivatives
  
  
  • 10.1 Introduction François-Serge Lhabitant
  
  
  • 10.2 From mathematical theory to financial practise
  
  
  • 10.3 An illustration of model risk
  
  
  • 10.4 The role of models for derivatives
    
    
    • risk-creation 10.5 The model-building process and model
    
    
    
    
  
  
  • 10.6 What if the model is wrong? a case study
  
  
  • 10.7 Eleven rules for managing model risk
  
  
  • 10.8 Conclusion
    
    
    • Approach 11 Evaluating Value-at-Risk Estimates: A Cross-Section
    
    
    
    
  
  
  • 11.1 Introduction Raffaele Zenti, Massimiliano Pallotta and Claudio Marsala
  
  
  • 11.2 Value-at-risk
  
  
  • 11.3 Review of existing methods for backtesting
  
  
  • 11.4 An extension: the cross-section approach
  
  
  • 11.5 Applications
  
  
  • 11.6 Conclusion
  
  
  
  


• 12 Correlation Breakdowns in Asset Management
  
  
  • 12.1 Introduction Riccardo Bramante and Giampaolo Gabbi
  
  
  • 12.2 Data and descriptive statistics
  
  
  • 12.3 Correlation jumps and volatility behavior
  
  
  • 12.4 Impact on portfolio optimization
  
  
  • 12.5 Conclusion
  
  
  • 16.3 The econometric approach
  
  
  • 16.4 Empirical results
  
  
  • 16.5 Conclusion
    
    
    • Asymmetry, Volatility Spillovers and Beta Estimates 17 Large and Small Cap Stocks in Europe: Covariance
    
    
    
    
  
  
  • 17.1 Introduction Helena Chuliá and Hipòlit Torró
  
  
  • 17.2 The econometric framework
  
  
  • 17.3 Data and preliminary analysis
  
  
  • 17.4 Results
  
  
  • 17.5 Asymmetries analysis
  
  
  • 17.6 Volatility spillovers
  
  
  • 17.7 Conclusion
    
    
    • Financial Derivatives 18 On Model Selection and its Impact on the Hedging of
    
    
    
    
  
  
  • 18.1 Introduction Giuseppe Di Graziano and Stefano Galluccio
  
  
  • 18.2 Model and Mathematical setup
  
  
  • 18.3 Analytical expression of the total hedging error
  
  
  • 18.4 Numerical results
  
  
  • 18.5 Conclusion
  
  
  
  


• Index