Quantitative Financial Risk Management

✍ Scribed by Ju Yang (auth.), Dash Wu (eds.)

• Publisher: Springer-Verlag Berlin Heidelberg
• Year: 2011
• Tongue: English
• Leaves: 349
• Series: Computational Risk Management 1
• Edition: 1
• Category: Library

✦ Synopsis

The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management to diverse business environments. Included are traditional market and credit risk management models such as the Black-Scholes Option Pricing Model, the Vasicek Model, Factor models, CAPM models, GARCH models, KMV models and credit scoring models.

✦ Table of Contents

Front Matter....Pages i-ix
Front Matter....Pages 1-1
Empirical Analysis of Risk Measurement of Chinese Mutual Funds....Pages 3-14
Assess the Impact of Asset Price Shocks on the Banking System....Pages 15-28
Comparative Study on Minimizing the Risk of Options for Hedge Ratio Model of Futures....Pages 29-38
The Application of Option Pricing Theory in Participating Life Insurance Pricing Based On Vasicek Model....Pages 39-46
The Study of Applying Black-Scholes Option Pricing Model to the Term Life Insurance....Pages 47-54
Evolutionary Variation of Service Trade Barriers in Banking: A Case of ASEAN+3....Pages 55-61
Corporate Board Governance and Risk Taking....Pages 63-69
The Risk Factors Analysis of the Term Structure of Interest Rate in the Interbank Bond Market....Pages 71-76
Pricing of Convertible Bond Based on GARCH Model....Pages 77-86
Sentiment Capital Asset Cognitive Price and Empirical Evidence from China’s Stock Market....Pages 87-93
Carbon Emission Markets....Pages 95-108
Front Matter....Pages 109-109
Dynamic Asset Allocation with Credit Risk....Pages 111-121
Analysis of the Factors Influencing Credit Risk of Commercial Banks....Pages 123-135
The Credit Risk Measurement of China’s Listed Companies Based on the KMV Model....Pages 137-160
Consumer Credit Risk Research Based on Our Macroeconomic Environment....Pages 161-172
Wealth Effects of the Creditor in Mergers: Evidence from Chinese Listed Companies....Pages 173-188
Front Matter....Pages 189-189
Research on the Economy Fluctuations with Energy Consumption of China Based on H-PFiltration....Pages 191-200
Enterprise Risk Assessment and Forecast: Based on Chinese Listed Companies in 2009–2010....Pages 201-216
The Prevention and Control of Environmental Liability Based on Environmental Risk Management and Assessment in Enterprise....Pages 217-226
Supply Chain Risk Management Review and a New Framework for Petroleum Supply Chains....Pages 227-264
Front Matter....Pages 189-189
Towards a Supply Risk Management Capability Process Model: An Analysis of What Constitutes Excellence in Supply Risk Management Across Different Industry Sectors....Pages 265-280
Enterprise Risk Management from Theory to Practice: The Role of Dynamic Capabilities Approach – the “Spring” Model....Pages 281-307
Front Matter....Pages 309-309
Risk Index of China’s Macroeconomic Operation: Method and Application....Pages 311-319
Systemic Risk....Pages 321-338

✦ Subjects

Operations Research/Decision Theory; Financial Economics