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Risk Analysis and Portfolio Modelling

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variet...

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Main Authors: Allen, David, Luciano, Elisa
Format: Online
Sprog:engelsk
Udgivet: MDPI - Multidisciplinary Digital Publishing Institute 2021
Fag:
HG1-9999
risk assessment
mortgage portfolio
insider trade
contagion effect
risk capital
liquidity risk
hedonic modeling
rolling wavelet correlation
inverse coefficient of variation
exchange traded funds
sovereign risk/debt
securitized real estate and local stock markets
portfolio optimization
portfolio analysis
risk premium
performance measurement
risk analysis
contagion
outperformance probability
Sharpe ratio
probability of default
small and medium enterprises
RAROC
sovereign defaults
risk attribution
multiresolution analysis
credit ratings
debt maturity structure
herding
asset-backed securities
modern portfolio theory
housing segments
analytic hierarchy process
African countries
Asian firms
decentralization
credit scoring
dependence
mutual funds
spillover effect
capital allocation
copulas
matched filter
institutional holding
crop insurance
factor investing
wavelet coherence and phase difference
risk
value-at-risk
rearrangement algorithm
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