Library Hours
Monday to Friday: 9 a.m. to 9 p.m.
Saturday: 9 a.m. to 5 p.m.
Sunday: 1 p.m. to 9 p.m.
Naper Blvd. 1 p.m. to 5 p.m.
LEADER 00000cam a2201021 i 4500
001 904400144
003 OCoLC
005 20240129213017.0
006 m o d
007 cr |||||||||||
008 150303s2015 nju ob 001 0 eng
010 2015009043
019 919508982|a961683385|a962626444|a1055334040|a1081230093
|a1148081963|a1244440340|a1245477110|a1295597230
|a1300496635
020 9781118738221|q(epub)
020 1118738225|q(epub)
020 9781118738405|q(pdf)
020 1118738403|q(pdf)
020 9781119080305
020 1119080304
020 1118738187
020 9781118738184
020 |q(hardback)
024 7 10.1002/9781119080305|2doi
029 1 AU@|b000054422014
029 1 AU@|b000060910586
029 1 CHNEW|b000944067
029 1 CHVBK|b480242976
029 1 DEBBG|bBV043397582
029 1 DEBBG|bBV044050537
029 1 DEBSZ|b433541504
029 1 DEBSZ|b452536324
029 1 DEBSZ|b469070358
029 1 DEBSZ|b475041380
029 1 DKDLA|b820120-katalog:999926430605765
029 1 GBVCP|b824791754
029 1 NZ1|b16177098
029 1 ZWZ|b189245042
035 (OCoLC)904400144|z(OCoLC)919508982|z(OCoLC)961683385
|z(OCoLC)962626444|z(OCoLC)1055334040|z(OCoLC)1081230093
|z(OCoLC)1148081963|z(OCoLC)1244440340|z(OCoLC)1245477110
|z(OCoLC)1295597230|z(OCoLC)1300496635
037 CL0500000637|bSafari Books Online
040 DLC|beng|erda|epn|cDLC|dN$T|dIDEBK|dDG1|dYDXCP|dCDX|dE7B
|dDEBSZ|dOCLCF|dUMI|dCOO|dEBLCP|dOCLCQ|dRECBK|dB24X7|dVLB
|dDEBBG|dD6H|dK6U|dLVT|dCNCGM|dZ5A|dCCO|dLIP|dPIFFA|dFVL
|dZCU|dOCLCQ|dMERUC|dU3W|dCOCUF|dOCLCQ|dSTF|dICG|dOCLCQ
|dWYU|dTKN|dOCLCQ|dUAB|dDKC|dOCLCQ|dS9I|dOCLCQ|dVT2|dUKAHL
|dUX1|dC6I|dS2H|dCFX|dCZL|dOCLCO|dOCLCQ|dOCLCO
042 pcc
049 INap
082 00 332
082 00 332|223
099 eBook O'Reilly for Public Libraries
100 1 Zopounidis, Constantin.
245 10 Quantitative financial risk management :|btheory and
practice /|cConstantin Zopounidis, Emilios Galariotis.
|h[O'Reilly electronic resource]
264 1 Hoboken, New Jersey :|bWiley,|c2015.
300 1 online resource (xx, 422 pages)
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
347 text file
490 1 The Frank J. Fabozzi series
500 Includes index.
500 Machine generated contents note: Preface About the Editors
Section I: Supervisory Risk Management Chapter 1:
Measuring Systemic Risk: Structural Approaches Raimund M.
Kovacevic and Georg Ch. Pflug Chapter 2: Supervisory
Requirements and Expectations for Portfolio-Level
Counterparty Credit Risk Measurement and Management
Michael Jacobs Jr. Chapter 3: Nonperforming Loans in the
Bank Production Technology Hirofumi Fukuyama and William
L. Weber Section II: Risk Models and Measures Chapter 4: A
Practical Guide to Regime Switching in Financial Economics
Iain Clacher, Mark Freeman, David Hillier, Malcolm Kemp,
and Qi Zhang Chapter 5: Output Analysis and Stress Testing
for Risk-Constrained Portfolios Jitka Dupa a and Milos
Kopa Chapter 6: Risk Measures and Management in the Energy
Sector Marida Bertocchi, Rosella Giacometti, and Maria
Teresa Vespucci Section III: Portfolio Management Chapter
7: Portfolio Optimization: Theory and Practice William T.
Ziemba Chapter 8: Portfolio Optimization and Transaction
Costs Renata Mansini, Wlodzimierz Ogryczak, and M. Grazia
Speranza Chapter 9: Statistical Properties and Tests of
Efficient Frontier Portfolios Chris J Adcock Section IV:
Credit Risk Modeling Chapter 10: Stress Testing for
Portfolio Credit Risk: Supervisory Expectations and
Practices Michael Jacobs Jr. Chapter 11: A Critique of
Credit Risk Models with Evidence from Mid-Cap Firms David
E. Allen. Robert J. Powell, and Abhay K. Singh Chapter 12:
Predicting Credit Ratings Using a Robust Multicriteria
Approach Constantin Zopounidis Section V: Financial
Markets Chapter 13: Parameter Analysis of the VPIN (Volume
-Synchronized Probability of Informed Trading) Metric Jung
Heon Song, Kesheng Wu, and Horst D. Simon Chapter 14:
Covariance Specification Tests for Multivariate GARCH
Models Gregory Koutmos Chapter 15: Accounting Information
in the Prediction of Securities Class Actions Vassiliki
Balla About the Contributors Index.
504 Includes bibliographical references and index.
505 0 Cover -- Title Page -- Copyright -- Contents -- Preface --
About the Editors -- Section One Supervisory Risk
Management -- Chapter 1 Measuring Systemic Risk:
Structural Approaches -- Systemic Risk: Definitions --
From Structural Models to Systemic Risk -- Measuring
Systemic Risk -- Systemic Risk and Copula Models --
Conclusions -- References -- Chapter 2 Supervisory
Requirements and Expectations for Portfolio-Level
Counterparty Credit Risk Measurement and Management --
Introduction -- Review of the Literature -- Supervisory
Requirements for CCR -- Conceptual Issues in CCR: Risk
versus Uncertainty -- Conclusions -- References -- Chapter
3 Nonperforming Loans in the Bank Production Technology --
Introduction -- Selective Literature Review -- Method --
Empirical Application -- Summary and Conclusion --
Appendix 3.1 Bank Names and Type -- References -- Section
Two Risk Models and Measures -- Chapter 4 A Practical
Guide to Regime Switching in Financial Economics -- A
Brief Look at Markov Regime Switching in Academic
Economics and Finance -- Regime Switching and Interest
Rate Processes -- Regime Switching and Exchange Rates --
Regime Switching, Stock Returns, and Asset Allocation --
Single-Asset Markov Models -- Two-State Estimation --
Three-State Estimation -- Markov Models for Multiple
Assets -- Practical Application of Regime Switching Models
for Investment Purposes -- Intuitive Appeal of Such Models
-- Implementation Challenges -- Selecting the "Right"
Model Structure -- Calibrating the Selected Model Type to
Suitable Data -- Drawing the Right Conclusions from the
Model -- References -- Chapter 5 Output Analysis and
Stress Testing for Risk Constrained Portfolios --
Introduction -- Worst-Case Analysis -- Stress Testing via
Contamination -- Conclusions and New Problems --
References.
505 8 Chapter 6 Risk Measures and Management in the Energy
Sector -- Introduction -- Uncertainty Characterization via
Scenarios -- Measures of Risks -- Case Studies -- Summary
-- References -- Section Three Portfolio Management --
Chapter 7 Portfolio Optimization: Theory and Practice --
Static Portfolio Theory -- Importance of Means --
Stochastic Programming Approach to Asset Liability
Management -- Siemens InnoALM Pension Fund Model --
Dynamic Portfolio Theory and Practice: The Kelly Capital
Growth Approach -- Transactions Costs -- Some Great
Investors -- Appendix 7.1: Estimating Utility Functions
and Risk Aversion -- References -- Chapter 8 Portfolio
Optimization and Transaction Costs -- Introduction --
Literature Review on Transaction Costs -- An LP Computable
Risk Measure: The Semi-MAD -- Modeling Transaction Costs -
- Non-Unique Minimum Risk Portfolio -- Experimental
Analysis -- Conclusions -- Appendix -- References --
Chapter 9 Statistical Properties and Tests of Efficient
Frontier Portfolios -- Introduction -- Notation and Setup
-- Distribution of Portfolio Weights -- Empirical Study --
Discussion and Concluding Remarks -- References -- Section
Four Credit Risk Modelling -- Chapter 10 Stress Testing
for Portfolio Credit Risk: Supervisory Expectations and
Practices -- Introduction and Motivation -- Conceptual
Issues in Stress Testing: Risk versus Uncertainty -- The
Function of Stress Testing -- Supervisory Requirements and
Expectations -- Empirical Methodology: A Simple ST Example
-- Conclusion and Future Directions -- References --
Chapter 11 A Critique of Credit Risk Models with Evidence
from Mid-Cap Firms -- Introduction -- Summary of Credit
Model Methodologies -- Our Empirical Methodology --
Critique -- Conclusions -- References.
505 8 Chapter 12 Predicting Credit Ratings Using a Robust
Multicriteria Approach -- Introduction -- Credit Scoring
and Rating -- Multicriteria Methodology -- Empirical
Analysis -- Conclusions and Future Perspectives --
References -- Section Five Financial Markets -- Chapter 13
Parameter Analysis of the VPIN (Volume-Synchronized
Probability of Informed Trading) Metric -- Introduction --
Definition of VPIN -- Computational Cost -- Optimization
of FPR -- Uncertainty Quantification (UQ) -- Conclusion --
References -- Chapter 14 Covariance Specification Tests
for Multivariate GARCH Models -- Introduction --
Covariance Specification Tests -- Application of
Covariance Specification Tests -- Empirical Findings and
Discussion -- Conclusion -- References -- Chapter 15
Accounting Information in the Prediction of Securities
Class Actions -- Introduction -- Literature Review --
Methodology -- Data -- Results -- Conclusions --
References -- About the Contributors -- Glossary -- Index
-- EULA.
505 0 Section one, supervisory risk Management. Chapter 1,
Measuring systemic risk: structural approaches / Raimund
M. Kovacevic and Georg Ch. Pflug -- Chapter 2, Supervisory
requirements and expectations for portfolio-level
counterparty credit risk measurement and management /
Michael Jacobs Jr., PhD, CFA -- Chapter 3, Nonperforming
loans in the bank production technology / Hirofumi
Fukuyama and William l. Weber -- Section two, Risk models
and measures. Chapter 4, A Practical guide to regime
switching in financial economics / Iain Clacher, Mark
Freeman, David Hillier, Malcolm Kemp and Qi Zhang --
Chapter 5, Output analysis and stress testing for risk
constrained portfolios / Jitka Dupacová and Miloš Kopa --
Chapter 6, Risk measures and management in the energy
sector / Marida Bertocchi, Rosella Giacometti and Maria
Teresa Vespucci -- Section three, Portfolio Management.
Chapter 7, Portfolio optimization: theory and practice /
William T. Ziemba -- Chapter 8, Portfolio optimization and
transaction costs / Renata Mansini, Wlodzimierz Ogryczak
and M. Grazia Speranza -- Chapter 9, Statistical
properties and tests of efficient frontier portfolios / C
J Adcock -- Section four, Credit risk modelling. Chapter
10, Stress testing for portfolio credit risk: supervisory
expectations and practices / Michael Jacobs Jr. -- Chapter
11, A critique of credit risk models with evidence from
mid-cap firms / David E. Allen, Robert J. Powell and Abhay
K. Singh -- Chapter 12, Predicting credit ratings using a
robust multicriteria approach / Constantin Zopounidis --
Section five, Financial markets. Chapter 13, Parameter
analysis of the VPIN (Volume-Synchronized Probability of
Informed Trading) metric / Jung Heon Song, Kesheng Wu and
Horst D. Simon -- Chapter 14, Covariance specification
tests for multivariate GARCH models / Gregory Koutmos --
Chapter 15, Accounting information in the prediction of
securities class actions / Vassiliki Balla - About the
authors -- Glossary.
520 Preface About the Editors Section I: Supervisory Risk
Management Chapter 1: Measuring Systemic Risk: Structural
ApproachesRaimund M. Kovacevic and Georg Ch. Pflug Chapter
2: Supervisory Requirements and Expectations for Portfolio
-Level Counterparty Credit Risk Measurement and Management
Michael Jacobs Jr. Chapter 3: Nonperforming Loans in the
Bank Production TechnologyHirofumi Fukuyama and William L.
Weber Section II: Risk Models and Measures Chapter 4: A
Practical Guide to Regime Switching in Financial
EconomicsIain Clacher, Mark Freeman, David Hillier,
Malcolm Kemp, and Qi Zhang Chapter 5: Output Analysis and
Stress Testing for Risk-Constrained PortfoliosJitka
Dupaeová and Miloš Kopa Chapter 6: Risk Measures and
Management in the Energy SectorMarida Bertocchi, Rosella
Giacometti, and Maria Teresa Vespucci Section III:
Portfolio Management Chapter 7: Portfolio Optimization:
Theory and PracticeWilliam T. Ziemba Chapter 8: Portfolio
Optimization and Transaction CostsRenata Mansini,
Wlodzimierz Ogryczak, and M. Grazia Speranza Chapter 9:
Statistical Properties and Tests of Efficient Frontier
PortfoliosChris J Adcock Section IV: Credit Risk Modeling
Chapter 10: Stress Testing for Portfolio Credit Risk:
Supervisory Expectations and PracticesMichael Jacobs Jr.
Chapter 11: A Critique of Credit Risk Models with Evidence
from Mid-Cap FirmsDavid E. Allen. Robert J. Powell, and
Abhay K. Singh Chapter 12: Predicting Credit Ratings Using
a Robust Multicriteria ApproachConstantin Zopounidis
Section V: Financial Markets Chapter 13: Parameter
Analysis of the VPIN (Volume-Synchronized Probability of
Informed Trading) MetricJung Heon Song, Kesheng Wu, and
Horst D. Simon Chapter 14: Covariance Specification Tests
for Multivariate GARCH ModelsGregory Koutmos Chapter 15:
Accounting Information in the Prediction of.
520 8 Securities Class ActionsVassiliki Balla About the
Contributors Index.
546 English.
588 0 Print version record and CIP data provided by publisher.
590 O'Reilly|bO'Reilly Online Learning: Academic/Public
Library Edition
650 0 Financial risk management.
650 6 Finances|xGestion du risque.
650 7 Financial risk management|2fast
700 1 Galariotis, Emilios.
776 08 |iPrint version:|aZopounidis, Constantin.|tQuantitative
financial risk management.|dHoboken, New Jersey : Wiley,
2015|z9781118738184|w(DLC) 2015005400
830 0 Frank J. Fabozzi series.
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
learning.oreilly.com/library/view/~/9781118738184/?ar
|zAvailable on O'Reilly for Public Libraries
938 Askews and Holts Library Services|bASKH|nAH28770590
938 Books 24x7|bB247|nbkf00082526
938 Coutts Information Services|bCOUT|n30169879
938 EBL - Ebook Library|bEBLB|nEBL4038208
938 ebrary|bEBRY|nebr11053028
938 EBSCOhost|bEBSC|n991306
938 ProQuest MyiLibrary Digital eBook Collection|bIDEB
|ncis30169879
938 Recorded Books, LLC|bRECE|nrbeEB00629403
938 YBP Library Services|bYANK|n12424656
938 YBP Library Services|bYANK|n12673254
938 YBP Library Services|bYANK|n12418347
994 92|bJFN