Advances in financial risk management: corporates, intermediaries and portfolios / ed. by J.A.Batten, P.MacKay, N.Wagner. - New York: Palgrave Macmillan, 2013. - xxvi, 411 p.: ill. - Bibliogr. at the end of the chapters. - Ind.: p.405-411. - ISBN 978-1-137-02508-1  Место хранения:   02 | Отделение ГПНТБ СО РАН | Новосибирск

Оглавление / Contents

List of Figures ............................................... vii List of Tables .................................................. x Preface ...................................................... xiii Notes on Contributors ......................................... xix Part I Corporate 1 Strategic Risk Management and Product Market Competition ..... 3 Tim R. Adam and Amrita Nain 2 The Cash-Flow Risk of Corporate Market Investments .......... 30 Craig O. Brown 3 Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach .................................................... 57 Shane Magee 4 Repurchases, Employee Stock Option Grants, and Hedging ...... 81 Daniel A. Rogers 5 Do Managers Exhibit Loss Aversion in Their Risk Management Practices? Evidence from the Gold Mining Industry .......... 105 Tim R. Adam, Chitru S. Fernando, and Evgenia Golubeva Part II Intermediaries 6 Does Securitization Affect Banks' Liquidity Risk? The Case of Italy .............................................. 127 Francesca Battaglia and Maria Mazzuca 7 Stress Testing Interconnected Banking Systems .............. 148 Rodolfo Maino and Kalin Tintchev 8 Estimating Endogenous Liquidity Using Transaction and Order Book Information ..................................... 181 Philippe Durand, Yalin Gündüz and Isabelle Thomazeau 9 The 2008 UK Banking Crash: Evidence from Option Implied Volatility ................................................. 201 Ha Yan Raymond So, Tarik Driouchi, and Zhiyuan Simon Tan 10 International Portfolio Diversification and the 2007 Financial Crisis ........................................... 225 Jacek Niklewski and Timothy Rodgers 11 A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting .............................. 253 Leandro Maciel Part III Portfolios 12 Robust Consumption and Portfolio Rules When Asset Returns Are Predictable .................................... 287 Abraham Lioui 13 A Diversification Measure for Portfolios of Risky Assets ..................................................... 312 Gabriel Frahm and Christof Wiechers 14 Hedge Fund Portfolio Allocation with Higher Moments and MVG Models ................................................. 331 Asmerilda Hitaj and Lorenzo Mercuri 15 The Statistics of the Maximum Drawdown in Financial Time Series ..................................................... 347 Alessandro Casati and Serge Tabachnik 16 On the Effectiveness of Dynamic Stock Index Portfolio Hedging: Evidence from Emerging Markets Futures ............ 364 Mohammad S. Hasan and Taufig Choudhry 17 An Optimal Timing Approach to Option Portfolio Risk Management ................................................. 391 Tim Leung and Peng Liu Index ......................................................... 405