Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios

Front Matter....Pages i-xxvi
Front Matter....Pages 1-1
Strategic Risk Management and Product Market Competition....Pages 3-29
The Cash-Flow Risk of Corporate Market Investments....Pages 30-56
Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach....Pages 57-80
Repurchases, Employee Stock Option Grants, and Hedging....Pages 81-104
Do Managers Exhibit Loss Aversion in Their Risk Management Practices? Evidence from the Gold Mining Industry....Pages 105-124
Front Matter....Pages 125-125
Does Securitization Affect Banks’ Liquidity Risk? The Case of Italy....Pages 127-147
Stress Testing Interconnected Banking Systems....Pages 148-180
Estimating Endogenous Liquidity Using Transaction and Order Book Information....Pages 181-200
The 2008 UK Banking Crash: Evidence from Option Implied Volatility....Pages 201-224
International Portfolio Diversification and the 2007 Financial Crisis....Pages 225-252
A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting....Pages 253-283
Front Matter....Pages 285-285
Robust Consumption and Portfolio Rules When Asset Returns Are Predictable....Pages 287-311
A Diversification Measure for Portfolios of Risky Assets....Pages 312-330
Hedge Fund Portfolio Allocation with Higher Moments and MVG Models....Pages 331-346
The Statistics of the Maximum Drawdown in Financial Time Series....Pages 347-363
On the Effectiveness of Dynamic Stock Index Portfolio Hedging: Evidence from Emerging Markets Futures....Pages 364-390
An Optimal Timing Approach to Option Portfolio Risk Management....Pages 391-404
Back Matter....Pages 405-411