مشخصات کتاب

Financial Risk Paper Collection

دسته بندی: اقتصاد ریاضی
ویرایش:  
نویسندگان: Various  
سری:  
 
ناشر: Taylor and Francis 
سال نشر: 2014 
تعداد صفحات: 1304 
زبان: English 
فرمت فایل : PDF (درصورت درخواست کاربر به PDF، EPUB یا AZW3 تبدیل می شود) 
حجم فایل: 24 مگابایت 

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توضیحاتی درمورد کتاب به خارجی

This is a paper collection on the topic of financial risk. The articles in this collection analyze financial risk from a multitude of angles and disciplines, including accounting, economics, and mathematics. Topics covered by articles in this collection include the influence of mood on the willingness to take financial risks, risk models, risk economics, financial risk following the global financial crisis, and risk and longevity in investments and hedges. The papers are bundled for your convenience and have been cleaned w.r.t. cover sheets and tracking texts. Bookmarks have been added for ease of navigation. FYI, here is the full bibliographic information of the papers included (the DOIs are "urlencoded", i.e. you may want to change "%2F" to a slash "/"): Accounting and Business Research Volume 42 issue 3 2012 [doi 10.1080%2F00014788.2012.681855] Ryan, Stephen G -- Risk reporting quality - implications of academic research for financial reporting policy Accounting and Business Research Volume 44 issue 3 2014 [doi 10.1080%2F00014788.2014.883062] Jost, Sven P; Pfaffermayr Michael; Winner Hannes -- Transfer pricing as a tax compliance risk Applied Financial Economics Volume 21 issue 24 2011 [doi 10.1080%2F09603107.2011.595677] Su, Y. C; Huang H. C; Lin Y. J -- GJR-GARCH model in value-at-risk of financial holdings Applied Financial Economics Volume 22 issue 1 2012 [doi 10.1080%2F09603107.2011.597723] Yoon, Sun-Joong; Byun Suk Joon -- Implied risk aversion and volatility risk premiums Applied Financial Economics Volume 22 issue 15 2012 [doi 10.1080%2F09603107.2011.646064] Eichler, Stefan -- The impact of banking and sovereign debt crisis risk in the eurozone on the euro-US dollar exchange rate Applied Financial Economics Volume 22 issue 18 2012 [doi 10.1080%2F09603107.2012.667546] Plunus, Severine; Huebner Georges; Peters Jean-Philippe -- Measuring operational risk in financial institutions Applied Financial Economics Volume 23 issue 2 2013 [doi 10.1080%2F09603107.2012.709600] Zhou, Jian -- Extreme risk spillover among international REIT markets Applied Financial Economics Volume 24 issue 11 2014 [doi 10.1080%2F09603107.2014.904487] Lu, Su-Lien; Lee Kuo-Jung; Yu Chia-Chang -- Momentum strategy and credit risk Applied Mathematical Finance Volume 19 issue 1 2012 [doi 10.1080%2F1350486x.2011.591170] Haerdle, Wolfgang Karl; Cabrera Brenda Lopez -- The Implied Market Price of Weather Risk China Journal of Accounting Studies Volume 1 issue 1 2013 [doi 10.1080%2F21697221.2013.781766] Zhang, Tianshu; Huang Jun -- The Risk Premium of Audit Fee - Evidence from the 2008 Financial Crisis China Journal of Accounting Studies Volume 1 issue 3-4 2013 [doi 10.1080%2F21697221.2013.867401] Bai, Jun; Lian Lishuai -- Why do state-owned enterprises over-invest - Government intervention or managerial entrenchment European Accounting Review Volume 23 issue 1 2014 [doi 10.1080%2F09638180.2013.774703] Gietzmann, Miles B; Pettinicchio Angela K -- External Auditor Reassessment of Client Business Risk Following the Issuance of a Comment Letter by the SEC European Accounting Review Volume UNKNOWN issue 0 2012 [doi 10.1080%2F09638180.2012.661937] Paape, Leen; Spekle Roland F -- The Adoption and Design of Enterprise Risk Management Practices - An Empirical Study European Accounting Review Volume UNKNOWN issue 0 2014 [doi 10.1080%2F09638180.2014.906316] Batta, George; Sucre Heredia Ricardo; Weidenmier Marc -- Political Connections and Accounting Quality under High Expropriation Risk European Accounting Review Volume UNKNOWN issue 0 2014 [doi 10.1080%2F09638180.2014.918518] Chen, Tsung-Kang; Tseng Yijie; Hsieh Yu-Ting -- Real Earnings Management Uncertainty and Corporate Credit Risk International Journal of Computer Mathematics Volume UNKNOWN issue 0 2014 [doi 10.1080%2F00207160.2014.887274] Shidfar; Paryab Kh; Yazdanian A. R; Pirvu Traian A -- Numerical analysis for Spread option pricing model of markets with finite liquidi International Journal of Computer Mathematics Volume UNKNOWN issue 0 2014 [doi 10.1080%2F00207160.2014.898065] Gibert, Karina; Conti Dante -- On the understanding of profiles by means of post-processing techniques - an application to financial assets Journal of Applied Statistics Volume 37 issue 11 2010 [doi 10.1080%2F02664760903164921] Figini, Silvia; Giudici Paolo; Uberti Pierpaolo -- A threshold based approach to merge data in financial risk management Journal of Risk Research Volume 10 issue 1 2007 [doi 10.1080%2F13669870601054845] Hood, John; Asenova Darinka; Bailey Stephen; Manochin Melina -- The UK s Prudential Borrowing Framework - A Retrograde Step in Managing Risk Journal of Risk Research Volume 11 issue 6 2008 [doi 10.1080%2F13669870801967259] Wang, Mei; Fischbeck Paul S -- Evaluating lotteries, risks, and risk-mitigation programs Journal of Risk Research Volume 11 issue 7 2008 [doi 10.1080%2F13669870802090390] Grable, John E; Roszkowski Michael J -- The influence of mood on the willingness to take financial risks Journal of Risk Research Volume 14 issue 10 2011 [doi 10.1080%2F13669877.2011.587887] Parnaby, Patrick -- Health and finance - exploring the parallels between health care delivery and professional financial planning Journal of Risk Research Volume 14 issue 10 2011 [doi 10.1080%2F13669877.2011.591501] Bryce, Cormac; Webb Robert; Adams Jennifer -- Internal loss data collection implementation - evidence from a large UK financial institution Journal of Risk Research Volume 15 issue 2 2012 [doi 10.1080%2F13669877.2011.634512] Torriti, Jacopo; Loefstedt Ragnar -- The first five years of the EU Impact Assessment system - a risk economics perspective on gaps between rationale and practice Journal of Risk Research Volume 15 issue 9 2012 [doi 10.1080%2F13669877.2012.705312] Baublyte, Lijana; Mullins Martin; Garvey John -- Risk selection in the London political risk insurance market - the role of tacit knowledge, trust and heuristics Journal of Risk Research Volume 17 issue 2 2014 [doi 10.1080%2F13669877.2013.808685] Kim, Eun-sung -- How did enterprise risk management first appear in the Korean public sector Journal of Risk Research Volume 17 issue 3 2014 [doi 10.1080%2F13669877.2013.808688] Prause, Nicole; Lawyer Steven -- Specificity of reinforcement for risk behaviors of the Balloon Analog Risk Task using math models of performance Journal of Risk Research Volume 17 issue 3 2014 [doi 10.1080%2F13669877.2013.815648] Gebreegziabher, Kinfe; Tadesse Tewodros -- Risk perception and management in smallholder dairy farming in Tigray, Northern Ethiopia Journal of Risk Research Volume 17 issue 8 2013 [doi 10.1080%2F13669877.2013.841725] Schiller, Frank; Prpich George -- Learning to organise risk management in organisations - what future for enterprise risk management Journal of Risk Research Volume UNKNOWN issue 0 2014 [doi 10.1080%2F13669877.2014.910678] Lucarelli, Caterina; Uberti Pierpaolo; Brighetti Gianni -- Misclassifications in financial risk tolerance Journal of Sustainable Finance and Investment Volume 3 issue 1 2013 [doi 10.1080%2F20430795.2012.738600] Beyhaghi, Mehdi; Hawley James P -- Modern portfolio theory and risk management - assumptions and unintended consequences Journal of Sustainable Finance and Investment Volume 3 issue 1 2013 [doi 10.1080%2F20430795.2013.765382] Benjamin, Emmanuel Olatunbosun -- Credit risk modelling and sustainable agriculture - asset evaluation and rural carbon revenue Journal of Sustainable Finance and Investment Volume 4 issue 2 2013 [doi 10.1080%2F20430795.2013.837810] Hill Clarvis; Halle Martin; Mulder Ivo; Yarime Masaru -- Towards a new framework to account for environmental risk in sovereign credit risk a North American Actuarial Journal Volume 14 issue 2 2010 [doi 10.1080%2F10920277.2010.10597583] Golden; Yang Charles C; Zou Hong -- The Effectiveness of Using a Basis Hedging Strategy to Mitigate the Financial Consequences of Weather-Related Risks North American Actuarial Journal Volume 15 issue 2 2011 [doi 10.1080%2F10920277.2011.10597616] Li, Johnny Siu-Hang; Hardy Mary R -- Measuring Basis Risk in Longevity Hedges North American Actuarial Journal Volume 16 issue 4 2012 [doi 10.1080%2F10920277.2012.10597643] Gatzert, Nadine; Schmitt-Hoermann Gudrun; Schmeiser Hato -- Optimal Risk Classification with an Application to Substandard Annuities North American Actuarial Journal Volume 17 issue 1 2013 [doi 10.1080%2F10920277.2013.775011] Panning, William H -- Managing the Invisible - Identifying Value-Maximizing Combinations of Risk and Capital North American Actuarial Journal Volume 17 issue 4 2013 [doi 10.1080%2F10920277.2013.839377] Boyer, M. Martin; Nyce Charles M -- An Industrial Organization Theory of Risk Sharing North American Actuarial Journal Volume 18 issue 1 2014 [doi 10.1080%2F10920277.2013.852064] Lin, Yijia; Tan Ken Seng; Tian Ruilin; Yu Jifeng -- Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk North American Actuarial Journal Volume 18 issue 1 2014 [doi 10.1080%2F10920277.2013.872552] Biffis, Enrico; Blake David -- Keeping Some Skin in the Game - How to Start a Capital Market in Longevity Risk Transfers North American Actuarial Journal Volume 18 issue 1 2014 [doi 10.1080%2F10920277.2013.876911] Zhu, Nan; Bauer Daniel -- A Cautionary Note on Natural Hedging of Longevity Risk North American Actuarial Journal Volume 18 issue 1 2014 [doi 10.1080%2F10920277.2014.882252] Alai; Chen Hua; Cho Daniel; Hanewald Katja; Sherris Michael -- Developing Equity Release Markets - Risk Analysis for Reverse Mortgages and Home Reversions Quantitative Finance Letters Volume 1 issue 1 2013 [doi 10.1080%2F21649502.2013.803757] Ziemba, William T -- The case for convex risk measures and scenario-dependent correlation matrices to replace VaR, C-VaR and covariance simulations for safer Quantitative Finance Letters Volume 1 issue 1 2013 [doi 10.1080%2F21649502.2013.808029] Cherubini, Umberto -- Credit valuation adjustment and wrong way risk Quantitative Finance Letters Volume 1 issue 1 2013 [doi 10.1080%2F21649502.2013.865067] Boudt, Kris; Peeters Benedict -- Asset allocation with risk factors Quantitative Finance Letters Volume 1 issue 1 2013 [doi 10.1080%2F21649502.2013.865068] Maymin, Philip Z; Maymin Zakhar G -- Maimonides risk parity Quantitative Finance Volume 10 issue 10 2010 [doi 10.1080%2F14697680903382776] Bielecki, Tomasz R; Crepey Stephane; Jeanblanc Monique -- Up and down credit risk Quantitative Finance Volume 10 issue 6 2010 [doi 10.1080%2F14697681003685597] Cont, Rama; Deguest Romain; Scandolo Giacomo -- Robustness and sensitivity analysis of risk measurement procedures Quantitative Finance Volume 10 issue 8 2010 [doi 10.1080%2F14697680903358222] Boecker, Klaus; Klueppelberg Claudia -- Multivariate models for operational risk Quantitative Finance Volume 11 issue 10 2011 [doi 10.1080%2F14697680903193413] Putschoegl, Wolfgang; Sass Joern -- Optimal investment under dynamic risk constraints and partial information Quantitative Finance Volume 12 issue 10 2012 [doi 10.1080%2F14697688.2011.564199] Sak, Halis; Hoermann Wolfgang -- Fast simulations in credit risk Quantitative Finance Volume 12 issue 10 2012 [doi 10.1080%2F14697688.2011.650185] Scherer, Bernd -- Market risks in asset management companies Quantitative Finance Volume 12 issue 6 2012 [doi 10.1080%2F14697688.2010.488810] Font, Begona; Grau Alfredo Juan -- Exchange rate and inflation risk premia in the EMU Quantitative Finance Volume 13 issue 12 2013 [doi 10.1080%2F14697688.2011.592854] Kim, Yong -- Modeling of commercial real estate credit risks Quantitative Finance Volume 13 issue 8 2013 [doi 10.1080%2F14697688.2012.741693] Shiu, Yung-Ming; Chou Pai-Lung; Sheu Jen-Wen -- A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk Quantitative Finance Volume 14 issue 1 2014 [doi 10.1080%2F14697688.2013.822989] Glasserman, Paul; Xu Xingbo -- Robust risk measurement and model risk Scandinavian Actuarial Journal Volume 2014 issue 4 2014 [doi 10.1080%2F03461238.2012.723043] Landriault, David; Shi Tianxiang -- First passage time for compound Poisson processes with diffusion - ruin theoretical and financial applications Scandinavian Actuarial Journal Volume 2014 issue 6 2012 [doi 10.1080%2F03461238.2012.724442] Aro, Helena; Pennanen Teemu -- Stochastic modelling of mortality and financial markets Scandinavian Actuarial Journal Volume 2014 issue 7 2013 [doi 10.1080%2F03461238.2012.750621] Liu, Jingzhen; Yiu Ka-Fai Cedric; Siu Tak Kuen -- Optimal investment of an insurer with regime-switching and risk constraint Scandinavian Actuarial Journal Volume UNKNOWN issue 0 2013 [doi 10.1080%2F03461238.2013.787367] Alm, Jonas -- A simulation model for calculating solvency capital requirements for non-life insurance risk Scandinavian Actuarial Journal Volume UNKNOWN issue 0 2014 [doi 10.1080%2F03461238.2013.850442] Debicki, Krzysztof; Hashorva Enkelejd; Ji Lanpeng -- Gaussian risk models with financial constraints Scandinavian Actuarial Journal Volume UNKNOWN issue 0 2014 [doi 10.1080%2F03461238.2013.876927] Jorgensen, Peter Luechte; Gatzert Nadine -- On risk charges and shadow account options in pension funds Scandinavian Actuarial Journal Volume UNKNOWN issue 0 2014 [doi 10.1080%2F03461238.2013.878853] Yang, Yang; Konstantinides Dimitrios G -- Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks Scandinavian Actuarial Journal Volume UNKNOWN issue 0 2014 [doi 10.1080%2F03461238.2014.884017] Yang, Haizhong; Gao Wei; Li Jinzhu -- Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks Stochastics An International Journal of Probability and Stochastic Processes Volume 85 issue 1 2013 [doi 10.1080%2F17442508.2011.653566] Egami, Masahiko; Yamazaki Kazutoshi -- Precautionary measures for credit risk management in jump models Stochastics An International Journal of Probability and Stochastic Processes Volume 85 issue 5 2013 [doi 10.1080%2F17442508.2012.673616] Martynov, Mikhail; Rozanova Olga -- On dependence of volatility on return for stochastic volatility models Stochastics An International Journal of Probability and Stochastic Processes Volume 86 issue 4 2014 [doi 10.1080%2F17442508.2013.859388] Liu; Mamon Rogemar; Gao Huan -- A generalized pricing framework addressing correlated mortality and interest The European Journal of Finance Volume 19 issue 1 2013 [doi 10.1080%2F1351847x.2011.633614] Liu, Hong; Wilson John O. S -- Competition and risk in Japanese banking The European Journal of Finance Volume 19 issue 2 2013 [doi 10.1080%2F1351847x.2012.664156] Dionne, Georges; Triki Thouraya -- On risk management determinants - what really matters The European Journal of Finance Volume 20 issue 1 2014 [doi 10.1080%2F1351847x.2012.681791] Lin, Yi-Mien; Chao Chin-Fang; Liu Chih-Liang -- Transparency, idiosyncratic risk, and convertible bonds The European Journal of Finance Volume 20 issue 4 2014 [doi 10.1080%2F1351847x.2012.708471] Reber, Beat -- Estimating the risk-return profile of new venture investments using a risk-neutral framework and thick models The European Journal of Finance Volume 20 issue 5 2014 [doi 10.1080%2F1351847x.2012.714792] Breuer, Wolfgang; Riesener Michael; Salzmann Astrid Juliane -- Risk aversion vs. individualism - what drives risk taking in household finance

فهرست مطالب

Financial Risk - Paper List

A Cautionary Note on Natural Hedging of Longevity Risk

A closed-form approximation for valuing European basket warrants under credit risk and interest rate risk

A generalized pricing framework addressing correlated mortality and interest

A simulation model for calculating solvency capital requirements for non-life insurance risk

A threshold based approach to merge data in financial risk management

An Industrial Organization Theory of Risk Sharing

Asset allocation with risk factors

Asymptotic ruin probabilities for a discrete-time risk model with dependent insurance and financial risks

Asymptotics for ruin probabilities in a discrete-time risk model with dependent financial and insurance risks

Competition and risk in Japanese banking

Credit risk modelling and sustainable agriculture - asset evaluation and rural carbon revenue

Credit valuation adjustment and wrong way risk

Developing Equity Release Markets - Risk Analysis for Reverse Mortgages and Home Reversions

Downside Risk Management of a Defined Benefit Plan Considering Longevity Basis Risk

Estimating the risk-return profile of new venture investments using a risk-neutral framework and thick models

Evaluating lotteries, risks, and risk-mitigation programs

Exchange rate and inflation risk premia in the EMU

External Auditor Reassessment of Client Business Risk Following the Issuance of a Comment Letter by the SEC

Extreme risk spillover among international REIT markets

Fast simulations in credit risk

First passage time for compound Poisson processes with diffusion - ruin theoretical and financial applications

Gaussian risk models with financial constraints

GJR-GARCH model in value-at-risk of financial holdings

Health and finance - exploring the parallels between health care delivery and professional financial planning

How did enterprise risk management first appear in the Korean public sector

Implied risk aversion and volatility risk premiums

Internal loss data collection implementation - evidence from a large UK financial institution

Keeping Some Skin in the Game - How to Start a Capital Market in Longevity Risk Transfers

Learning to organise risk management in organisations - what future for enterprise risk management

Maimonides risk parity

Managing the Invisible - Identifying Value-Maximizing Combinations of Risk and Capital

Market risks in asset management companies

Measuring Basis Risk in Longevity Hedges

Measuring operational risk in financial institutions

Misclassifications in financial risk tolerance

Modeling of commercial real estate credit risks

Modern portfolio theory and risk management - assumptions and unintended consequences

Momentum strategy and credit risk

Multivariate models for operational risk

Numerical analysis for Spread option pricing model of markets with finite liquidi

On dependence of volatility on return for stochastic volatility models

On risk charges and shadow account options in pension funds

On risk management determinants - what really matters

On the understanding of profiles by means of post-processing techniques - an application to financial assets

Optimal investment of an insurer with regime-switching and risk constraint

Optimal investment under dynamic risk constraints and partial information

Optimal Risk Classification with an Application to Substandard Annuities

Political Connections and Accounting Quality under High Expropriation Risk

Precautionary measures for credit risk management in jump models

Real Earnings Management Uncertainty and Corporate Credit Risk

Risk aversion vs. individualism - what drives risk taking in household finance

Risk perception and management in smallholder dairy farming in Tigray, Northern Ethiopia

Risk reporting quality - implications of academic research for financial reporting policy

Risk selection in the London political risk insurance market - the role of tacit knowledge, trust and heuristics

Robust risk measurement and model risk

Robustness and sensitivity analysis of risk measurement procedures

Specificity of reinforcement for risk behaviors of the Balloon Analog Risk Task using math models of performance

Stochastic modelling of mortality and financial markets

The Adoption and Design of Enterprise Risk Management Practices - An Empirical Study

The case for convex risk measures and scenario-dependent correlation matrices to replace VaR, C-VaR and covariance simulations for safer

The Effectiveness of Using a Basis Hedging Strategy to Mitigate the Financial Consequences of Weather-Related Risks

The first five years of the EU Impact Assessment system - a risk economics perspective on gaps between rationale and practice

The impact of banking and sovereign debt crisis risk in the eurozone on the euro-US dollar exchange rate

The Implied Market Price of Weather Risk

The influence of mood on the willingness to take financial risks

The Risk Premium of Audit Fee - Evidence from the 2008 Financial Crisis

The UK s Prudential Borrowing Framework - A Retrograde Step in Managing Risk

Towards a new framework to account for environmental risk in sovereign credit risk a

Transfer pricing as a tax compliance risk

Transparency, idiosyncratic risk, and convertible bonds

Up and down credit risk

Why do state-owned enterprises over-invest - Government intervention or managerial entrenchment

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