Financial risk measurement and management [Research Reviews]
Jens H.E. Christensen, Francis X. Diebold and Glenn D. Rudebusch (2011), 'The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models', Journal of Econometrics, 164 (1), September, 4-20 -- François Longin and Bruno Solnik (2001), 'Extreme Correlation of International Equity...
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| Format: | eBook |
| Language: | English |
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Cheltenham
Edward Elgar Pub. Ltd
2012
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| Series: | Elgar research reviews in economics
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| Subjects: | |
| Online Access: | |
| Collection: | Edward Elgar eBook Archive - Collection details see MPG.ReNa |
| Summary: | Jens H.E. Christensen, Francis X. Diebold and Glenn D. Rudebusch (2011), 'The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models', Journal of Econometrics, 164 (1), September, 4-20 -- François Longin and Bruno Solnik (2001), 'Extreme Correlation of International Equity Markets', Journal of Finance, LVI (2), April, 649-76 -- Robert C. Merton (1974), 'On the Pricing of Corporate Debt: The Risk Structure of Interest Rates', Journal of Finance, 29 (2), May, 449-70 -- Patrick de Fontnouvelle, Virginia DeJesus-Rueff, John S. Jordan and Eric S. Rosengren (2006), 'Capital and Risk: New Evidence on Implications of Large Operational Losses', Journal of Money, Credit and Banking, 38 (7), October, 1819-46 -- Joshua V. Rosenberg and Til Schuermann (2006), 'A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risks', Journal of Financial Economics, 79 (3), March, 569-614 -- James D. Hamilton and Gang Lin (1996), 'Stock Market Volatility and the Business Cycle', Journal of Applied Econometrics, 11 (5), September-October, 573-93 -- Jeremy Berkowitz (1999/2000), 'A Coherent Framework for Stress Testing', Journal of Risk, 2, Winter, 5-15 -- Franklin Allen and Douglas Gale (2000), 'Bubbles and Crises', Economic Journal, 110 (460), January, 236-55 -- Francis X. Diebold, Neil A. Doherty and Richard J. Herring (2010), 'Introduction', in Francis X. Diebold, Neil A. Doherty and Richard J. Herring (eds), The Known, the Unknown, and the Unknowable in Financial Risk Management: Measurement and Theory Advancing Practice, Chapter 1, Princeton, NJ: Princeton University Press, 1-30 Barndorff-Nielsen, O. and N. Shephard (2002), "Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models," Journal of the Royal Statistical Society, 64, 253-280 Stephen J. Taylor (1982), 'Financial Returns Modelled by the Product of Two Stochastic Processes - A Study of Daily Sugar Prices, 1961-79', in O.D. Anderson (ed.), Time Series Analysis: Theory and Practice 1, Amsterdam, Holland, New York, NY and Oxford, UK: North-Holland Publishing Company, 203-26 -- Peter K. Clark (1973), 'A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices', Econometrica, 41 (1), January, 135-55 -- Ole E. Barndorff-Nielsen and Neil Shephard (2002), 'Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models', Journal of the Royal Statistical Society, Series B, 64, Part 2, 253-80 -- Torben G. Andersen, Tim Bollerslev, Francis X. Diebold and Paul Labys (2003), 'Modeling and Forecasting Realized Volatility', Econometrica, 71 (2), March, 579-625 -- Dacorogna, M., R. Gencay, U. Muller, R. Olsen, and O. Pictet (2001), An Introduction to High-Frequency Finance, Academic Press. -- de Fontnouvelle, P., E.S. Rosengren, and J.S. Jordan (2006), "Implications of Alternative Operational Risk Modeling Techniques," In M. Carey and R. Stulz (eds.), The Risks of Financial Institutions, University of Chicago Press for NBER, 475-505. -- Diebold, F.X., N.A. Doherty, and R.J. Herring (2010), The Known, the Unknown and the Unknowable in Financial Risk Management, Princeton University Press. -- Diebold, F.X., T.A. Gunther, and A.S. Tay (1998), "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, 39, 863-883. -- Diebold, F.X. and C. Li (2006), "Forecasting the Term Structure of Government Bond Yields," Journal of Econometrics, 130, 337-364 Robert Litterman and José Scheinkman (1991), 'Common Factors Affecting Bond Returns', Journal of Fixed Income, 1 (1), June, 54-61 -- Francis X. Diebold and Canlin Li (2006), 'Forecasting the Term Structure of Government Bond Yields', Journal of Econometrics, 130 (2), February, 337-64 -- Oldrich Vasicek (1977), 'An Equilibrium Characterization of the Term Structure', Journal of Financial Economics, 5 (2), November, 177-88 -- Darrell Duffie and Rui Kan (1996), 'A Yield-Factor Model of Interest Rates', Mathematical Finance, 6 (4), October, 379-406 Arrow, K. J. (1964), "The Role of Securities in the Optimal Allocation of Risk-Bearing," Review of Economic Studies, 31, 91-96. -- Arrow, K.J. and G. Debreu (1954), "Existence of an Equilibrium for a Competitive Economy," Econometrica, 22, 265-290. -- Arrow, K.J. and F.H. Hahn (1971), General Competitive Analysis, North-Holland. -- Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath (1999), "Coherent Measures of Risk," Mathematical Finance, 9, 203-228. -- Aruoba, S.B., F.X. Diebold, M.A. Kose, and M.E. Terrones (2011), "Globalization, the Business Cycle, and Macroeconomic Monitoring," In R. Clarida and F.Giavazzi (eds.), NBER International Seminar on Macroeconomics, University of Chicago Press. -- Bachelier, L. (1900), Theory of Speculation, Doctoral Dissertation, Sorbonne, Paris. -- Translated and reprinted in P.H. Cootner (ed.) (1964), The Random Character of Stock Market Prices. Cambridge, Mass.: MIT Press. -- Barndorff-Nielsen, O.E. and N. Shephard (2004), "Power and Bipower Variation with Stochastic Volatility and Jumps," Journal of Financial Econometrics, 2, 1-48. -- Berkowitz, J. (1999), "A Coherent Framework for Stress Testing," Journal of Risk, 2, 5-15. -- Black, F. and M. Scholes (1973), "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-654. -- Bollerslev, T. (1986), "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, 31, 307-327. -- Bollerslev, T. (1990), "Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model," The Review of Economics and Statistics, 498-505. -- Brownlees, C. and R.F. Engle (2011), "Volatility, Correlation and Tails for Systemic Risk Measurement," Manuscript, NYU. -- Campbell, J.Y. and G.B. Tacksler (2003), "Equity Volatility and Corporate Bond Yields," Journal of Finance, 58, 2321-2350. -- Engle, R.F. (2002), "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business and Economic Statistics, 20, 339-350. -- Fama, E.F. (1965), "The Behavior of Stock-Market Prices," Journal of Business, 38, 34-105. -- Fama, E.F. (1976), Foundations of Finance, Basic Books. -- Fleming, J., C. Kirby, and B. Ostdiek (2001), "The Economic Value of Volatility Timing," Journal of Finance, 56, 329-352. -- Fleming, J., C. Kirby, and B. Ostdiek (2003), "The Economic Value of Volatility Timing using Realized Volatility," Journal of Financial Economics, 63, 473-509. -- Froot, K.A. and J.C. Stein (1998), "Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach," Journal of Financial Economics, 47, 55-82. -- Glasserman, P. (2003), Monte Carlo Methods in Financial Engineering, Springer Taylor, S.J. (2007), Asset Price Dynamics, Volatility, and Prediction, Princeton University Press. -- Vasicek, O. (1977), "An equilibrium characterization of the term structure," Journal of financial economics, 5, 177-188. -- Whaley, R.E. (1993), "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives, 1, 71-84. -- Kenneth J. Arrow and Gerard Debreu (1954), 'Existence of an Equilibrium for a Competitive Economy', Econometrica, 22 (3), July, 265-90 -- K.J. Arrow (1964), 'The Role of Securities in the Optimal Allocation of Risk-bearing', Review of Economic Studies, 31 (2), April, 91-6 -- Franco Modigliani and Merton H. Miller (1958), 'The Cost of Capital, Corporation Finance and the Theory of Investment', American Economic Review, XLVIII (3), June, 261-97 -- 'I have always thought authoritative lists such as "100 books you should read" are fascinating. So it is great to also have such a list available in one's professional field. Professor Diebold's book does just that; it compiles his list of academic research articles one should know in risk measurement and management. Through his central position in financial econometrics, based on his own extensive research, Professor Diebold is one of the few who can make such a list ... Professor Diebold's fascinating compilation summarizes the history of risk management research, focussing on research prior to the global financial crisis.'--Esa Jokivuolle, SUERF. 'This collection of papers is an essential set of references for anyone involved in risk management, both in academia and in industry.'--Andrew Lo, MIT Sloan Management, US. This authoritative volume charts the origins, development, and current frontiers of financial risk management. It emphasizes the role for risk management created by real-world market imperfections, and progresses to consider stochastic financial modeling, the failure of 'normality', and time-varying volatility. Professor Diebold has selected seminal papers by leading academics which cover multiple markets (equities, bonds, etc.), univariate and multivariate perspectives, connectedness and systemic risks, and stress testing. The collection, along with an original introduction by the editor, will be of interest to academics, market participants, and policy-makers, particularly as we chart a new course following the financial crisis of 2007-2008 Andersen, T.G., T. Bollerslev, P.F. Christoffersen, and F.X. Diebold (2006), "Practical Volatility and Correlation Modeling for Financial Market Risk Management," In M. Carey and R. Stulz (eds.), The Risks of Financial Institutions, University of Chicago Press for NBER, 513-548. -- Andersen, T.G., T. Bollerslev, P.F. Christoffersen, and F.X. Diebold (2013), "Risk Measurement for Market Risk Management," In M. Harris, G. Constantinedes and R. Stulz (eds.), Handbook of the Economics of Finance, Elsevier. -- Andersen, T.G., T. Bollerslev, F. X. Diebold, and P. Labys (2003), "Modeling and Forecasting Realized Volatility," Econometrica, 71, 579-625. -- Andersen, T.G., T. Bollerslev, F.X. Diebold, and P. Labys (2001), "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, 96, 42-55. -- Andrieu, C., A. Doucet, and R. Holenstein (2010), "Particle Markov Chain Monte Carlo Methods," Journal of the Royal Statistical Society B, 72, 269-342. -- Hamilton, J.D. and G. Lin (1996), "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, 11, 573-593. -- Hansen, P.R., Z. Huang, and H. Shek (2012), "Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility," Journal of Applied Econometrics, in press. -- Hautsch, N., L.M. Kyj, and R.C.A. Oomen (2012), "A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation," Journal of Applied Econometrics, in press. -- Hautsch, Nikolaus (2012), Econometrics of Financial High-Frequency Data, Springer Verlag, New York, Econometrics of Financial High-Frequency Data, Springer. -- Jorion, P. (2007), Value at Risk: The New Benchmark for Managing Financial Risk, Third Edition, McGraw-Hill. -- Lando, D. (2004), Credit Risk Modeling: Theory and Applications, Princeton University Press. -- Litterman, R.B. and J. Scheinkman (1991), "Common factors affecting bond returns," The Journal of Fixed Income, 1, 54-61. -- Diebold, F.X. and K. Yilmaz (2012), "Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers," International Journal of Forecasting, 28, 57-66. -- Duffie, D. and R. Kan (1996), "A Yield-Factor Model of Interest Rates," Mathematical Finance, 6, 379-406. -- Duffie, D. and J. Pan (1997), "An Overview of Value at Risk," Journal of Derivatives, 4, 7-49. -- Duffie, D. and K.J. Singleton (2003), Credit Risk: Pricing, Measurement, and Management, Princeton University Press. -- Embrechts, P., C. Kluppelberg, and T. Mikosch (1997), Modelling Extremal Events, Springer. -- Engle, R.F. (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, 50, 987-1007. -- Engle, R.F. (1995), ARCH: Selected Readings, Oxford University Press. -- Diebold, F.X. and M. Nerlove (1989), "The Dynamics of Exchange Rate Volatility: A Multivariate Latent-Factor ARCH Model," Journal of Applied Econometrics, 4, 1-22. -- Diebold, F.X. and G.D. Rudebusch (2013), Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach, Princeton University Press, in press. -- Diebold, F.X., G.D. Rudebusch, and S.B. Aruoba (2006), "The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach," Journal of Econometrics, 131, 309-338. -- Diebold, F.X. and K. Yilmaz (2009), "Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets," Economic Journal, 119, 158-171. -- Diebold, F.X. and K. Yilmaz (2011), "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Manuscript, University of Pennsylvania. -- Longin, F. and B. Solnik (2001), "Extreme Correlation of International Equity Markets," Journal of Finance, 56, 649-676. -- Lunde, A., N. Shephard, and K. Sheppard (2011), "Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels," Manuscript, University of Aarhus. -- Mandelbrot, B.B. (1963), "The Variation of Certain Speculative Prices," Journal of Business, 36, 394-419. -- Mandelbrot, B.B. (1997), Fractals and Scaling in Finance: Discontinuity, Concentration, Risk, Springer. -- Markowitz, H. (1952), "Portfolio Selection," Journal of Finance, 7, 77-91. -- Markowitz, H.M. (1959), Portfolio Selection: Efficient Diversification of Investments, Wiley. -- Merton, R.C. (1974), "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, 29, 449-470. -- Merton, R.C. (1980), "On Estimating the Expected Return on the Market: An Exploratory Investigation," Journal of Financial Economics, 8, 323-361. -- Modigliani, F. and M.H. Miller (1958), "The Cost of Capital, Corporation Finance and the Theory of Investment," American Economic Review, 48, 261-297. -- Nelson, C.R. and A.F. Siegel (1987), "Parsimonious modeling of yield curves," Journal of business, 60, 473-489. -- Rebonato, R. (2004), Volatility and Correlation: The Perfect Hedger and the Fox, Wiley. -- Rebonato, R. (2010), Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Risk, Wiley Benoit Mandelbrot (1963), 'The Variation of Certain Speculative Prices', Journal of Business, 36 (4), October, 394-419 -- Eugene F. Fama (1965), 'The Behavior of Stock-Market Prices', Journal of Business, 38 (1), January, 34-105 -- Darrell Duffie and Jun Pan (1997), 'An Overview of Value at Risk', Journal of Derivatives, 4 (3), Spring, 7-49 -- Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and David Heath (1999), 'Coherent Measures of Risk', Mathematical Finance, 9 (3), July, 203-28 -- Robert F. Engle (1982), 'Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation', Econometrica, 50 (4), July, 987-1007 -- Tim Bollerslev (1986), 'Generalized Autoregressive Conditional Heteroskedasticity', Journal of Econometrics, 31 (3), April, 307-27 -- Recommended readings (Machine generated): Acharya, V., L. Pedersen, T. Philippe, and M. Richardson (2010), "Measuring Systemic Risk," Manuscript, Stern School, New York University. -- Adrian, T. and M. Brunnermeier (2011), "CoVaR," Manuscript, Federal Reserve Bank of New York. -- Aliber, R.Z. and C.P. Kindleberger (2005), Manias, Panics, and Crashes: A History of Financial Crises, Wiley. -- Allen, F. and D. Gale (2000), "Bubbles and Crises," Economic Journal, 110, 236-255. -- Allen, F. and D. Gale (2007), Understanding Financial Crises, Oxford University Press. -- Andersen, T. G., T. Bollerslev, and F.X. Diebold (2007), "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," Review of Economics and Statistics, 89, 701-720. -- Campbell, S.D. and F.X. Diebold (2009), "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business and Economic Statistics, 27, 266-278. -- Christensen, J.H.E., F.X. Diebold, and G.D. Rudebusch (2011), "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," Journal of Econometrics, 164, 4-20. -- Christoffersen, P. (2012), Elements of Financial Risk Management, Second Edition, Academic Press. -- Clark, P.K. (1973), "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, 41, 135-155. -- Connor, G., L.R. Goldberg, and R.A. Korajczyk (2010), Portfolio Risk Analysis, Princeton University Press. -- Cootner, P. (1964), The Random Character of Stock Market Prices, MIT Press. -- Cox, D.R. (1981), "Statistical Analysis of Time Series: Some Recent Developments," Scandinavian Journal of Statistics, 8, 93-115. -- Ole E. Barndorff-Nielsen and Neil Shephard (2004), 'Power and Bipower Variation with Stochastic Volatility and Jumps', Journal of Financial Econometrics 2 (1), 1-37 -- Francis X. Diebold and Marc Nerlove (1989), 'The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model', Journal of Applied Econometrics, 4 (1), January-March, 1-21 -- Robert Engle (2002), 'Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models', Journal of Business and Economic Statistics, 20 (3), July, 339-50 -- Jeff Fleming, Chris Kirby and Barbara Ostdiek (2003), 'The Economic Value of Volatility Timing Using "Realized" Volatility', Journal of Financial Economics, 67 (3), March, 473-509 -- Charles R. Nelson and Andrew F. Siegel (1987), 'Parsimonious Modeling of Yield Curves', Journal of Business, 60 (4), October, 473-89 -- Rosenberg, J.V. and T. Schuermann (2006), "A General Approach to Integrated Risk Management with Skewed, Fat-tailed Risks," Journal of Financial Economics, 79, 569-614. -- Schwert, G.W. (1989), "Why Does Stock Market Volatility Change Over Time?" Journal of Finance, 44, 1115-1153. -- Sharpe, W.F. (1964), "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk," Journal of Finance, 19, 425-442. -- Shephard, N. (2005), Stochastic Volatility: Selected Readings, Oxford University Press. -- Singleton, K.J. (2006), Empirical Dynamic Asset Pricing, Princeton University Press. -- Taleb, N.N. (2007), The Black Swan: The Impact of the Highly Improbable, Random House. -- Taylor, S.J. (1982), "Financial Returns Modelled by the Product of Two Stochastic Processes: A Study of Daily Sugar Prices, 1961-1979," In O.D. Anderson (ed.), Time Series Analysis: Theory and Practice, I, North-Holland. -- Kenneth A. Froot and Jeremy C. Stein (1998), 'Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach', Journal of Financial Economics, 47 (1), January, 55-82 -- Fischer Black and Myron Scholes (1973), 'The Pricing of Options and Corporate Liabilities', Journal of Political Economy, 81 (3), May-June, 637-54 -- Robert E. Whaley (1993), 'Derivatives on Market Volatility: Hedging Tools Long Overdue', Journal of Derivatives, 1, Fall, 71-84 -- Louis Bachelier ([1900] 1964), 'Theory of Speculation', in Paul H. Cootner (ed.), The Random Character of Stock Market Prices, Cambridge, MA: MIT Press, 17-78 -- Harry Markowitz (1952), 'Portfolio Selection', Journal of Finance, 7 (1), March, 77-91 -- William F. Sharpe (1964), 'Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk', Journal of Finance, XIX (3), September, 425-42 |
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| Physical Description: | 1 v |
| ISBN: | 9781784710309 |