By Greg N. Gregoriou
ISBN-10: 0230019161
ISBN-13: 9780230019164
ISBN-10: 0230625843
ISBN-13: 9780230625846
This e-book includes an edited sequence of papers approximately probability administration and the most recent advancements within the box. overlaying subject matters reminiscent of Stochastic Volatility, danger Dynamics, climate Derivatives and Portfolio Diversification, this e-book may have huge foreign charm. it really is hugely relevany for optimum portfolio allocation for either deepest and institutional traders around the world.
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Additional resources for Advances in Risk Management (Finance and Capital Markets)
Example text
In our previous example, the positive portfolio payoff in the heads scenario was reduced. 5 computes the value of a portfolio insurance contract which eliminates negative terminal values without reducing their positive counterparts. To summarize, this section offers an illustration of how firms may comply with the demands of a regulator while holding less riskfree capital. Indeed, regulators may adopt our risk measure without compromising their original role of preventing insolvency in each scenario.
5. See Appendix Aof Klugman et al. (1998) for a wider range of continuous distributions. 6. See BCBS, 2004, § 673. 7. This approach is not Basel II compliant as it assumes independence between the various loss event types of a given business line. While this should be carefully kept in mind, it does not have an impact of the results of the present study and allows us increasing the size of samples under consideration. 8. 0402 for BL1 and BL2, respectively. 9. In the MLE estimation, the location parameter is fixed to the optimized value obtained with the algorithm.
25 to terminal portfolio values. Thus, the portfolio weights of the underlying assets cannot be altered to exploit the benefits of diversification. 2 , ADEH focus solely on the amount of riskfree capital required to ensure the portfolio has non-negative terminal values in the scenarios considered relevant by the regulator. This exclusive focus on riskfree capital is overcome by our methodology which operates on a different domain. Specifically, define M ⊂ RN+1 as the space of portfolio holdings with the subset of acceptable portfolios denoted Aη ⊂ M.
Advances in Risk Management (Finance and Capital Markets) by Greg N. Gregoriou
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