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Risk Management and Value: Valuation and Asset Pricing
edited by Mondher Bellalah, Jean Luc Prigent, Annie Delienne (Université de Cergy-Pontoise, France),
Georges Pariente (Institut Supérieur de Commerce, ISC Paris, France),
Olivier Levyne, Michel Azria (ISC Paris, France) &
Jean Michel Sahut (ESC Amiens, France)
Introduction ix
Chapter 1. Managing Derivatives in the Presence of a Smile Effect and Incomplete Information
Chapter 2. A Value-at-Risk Approach to Assess Exchange Risk Associated to a Public Debt Portfolio:The Case of a Small Developing Economy
Chapter 3. A Method to Find Historical VaR for Portfolio that Follows S&P CNX Nifty Index by Estimating the Index Value
Chapter 4. Some Considerations on the Relationship between Corruption and Economic Growth
Chapter 5. Financial Risk Management by Derivatives Caused fromWeather Conditions: Its Applicability for Türk˙iye
v
vi CONTENTS
Chapter 6. The Basel II Framework Implementation and Securitization
Chapter 7. Stochastic Time Change, Volatility, and Normality of Returns: A High-Frequency Data Analysis with a Sample of LSE Stocks
Chapter 8. The Behavior of the Implied Volatility Surface:Evidence from Crude Oil Futures Options
Chapter 9. Procyclical Behavior of Loan Loss Provisions and Banking Strategies: An Application to the European Banks
Chapter 10. Market Power and Banking Competition on the Credit Market
Chapter 11. EarlyWarning Detection of Banking Distress — Is Failure Possible for European Banks?
Chapter 12. Portfolio Diversification and Market Share Analysis for Romanian Insurance Companies
Chapter 13. On the Closed-End Funds Discounts/ Premiums in the Context of the Investor Sentiment Theory
CONTENTS vii
Chapter 14. Why has Idiosyncratic Volatility Increased in Europe?
Chapter 15. Debt Valuation, Enterprise Assessment and Applications
Chapter 16. Does The Tunisian Stock Market Overreact?
Chapter 17. Investor–Venture Capitalist Relationship:Asymmetric Information, Uncertainty, and Monitoring
Chapter 18. Threshold Mean Reversion in Stock Prices
Chapter 19. Households’ Expectations of Unemployment: New Evidence from French Microdata
Chapter 20. Corporate Governance and Managerial Risk Taking: Empirical Study in the Tunisian Context
Chapter 21. Nonlinearity and Genetic Algorithms in the Decision-Making Process
Chapter 22. ICT and Performance of the Companies: The Case of the Tunisian Companies
Chapter 23. Option Market Microstructure
Chapter 24. Does the Standardization of Business Processes Improve Management? The Case of Enterprise Resource Planning Systems
Chapter 25. Does Macroeconomic Transparency Help Governments be Solvent? Evidence from Recent Data
Index 633
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