[下载]Risk Assessment Decisions in Banking and Finance

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[下载]Risk Assessment Decisions in Banking and Finance
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Automotive Finance: The Case for an Industry-Specific
Approach to Risk Management
Christian Diekmann . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Evidence on Time-Varying Factor Models for Equity Portfolio
Construction
Markus Ebner and Thorsten Neumann . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Time Dependent Relative Risk Aversion
Enzo Giacomini, Michael Handel, and Wolfgang K. H¨ardle . . . . . . . . . . . . 15
Portfolio Selection with Common Correlation Mixture Models
Markus Haas and Stefan Mittnik . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
A New Tempered Stable Distribution and Its Application
to Finance
Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi,
and Frank J. Fabozzi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
Estimation of α-Stable Sub-Gaussian Distributions for Asset
Returns
Sebastian Kring, Svetlozar T. Rachev, Markus H¨ochst¨otter, and Frank
J. Fabozzi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
Risk Measures for Portfolio Vectors and Allocation of Risks
Ludger R¨uschendorf . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
The Road to Hedge Fund Replication: The Very First Steps
Lars Jaeger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
Asset Securitisation as a Profits Management Instrument
Markus Schmidtchen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
VIII Contents
Recent Advances in Credit Risk Management
Frances Cowell, Borjana Racheva, and Stefan Tr¨uck . . . . . . . . . . . . . . . . . . 215
Stable ETL Optimal Portfolios and Extreme Risk
Management
Svetlozar T. Rachev, R. Douglas Martin, Borjana Racheva, and Stoyan
Stoyanov . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
Pricing Tranches of a CDO and a CDS Index: Recent
Advances and Future Research
Dezhong Wang, Svetlozar T. Rachev, and Frank J. Fabozzi . . . . . . . . . . . . 263

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