Advances in Financial Risk Management

1. Front Matter

   Pages i-xxvi

   PDF

2. Corporate

   1. Front Matter

      Pages 1-1

      PDF

   2. Strategic Risk Management and Product Market Competition

      • Tim R. Adam, Amrita Nain

      Pages 3-29

   3. The Cash-Flow Risk of Corporate Market Investments

      • Craig O. Brown

      Pages 30-56

   4. Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach

      • Shane Magee

      Pages 57-80

   5. Repurchases, Employee Stock Option Grants, and Hedging

      • Daniel A. Rogers

      Pages 81-104

   6. Do Managers Exhibit Loss Aversion in Their Risk Management Practices? Evidence from the Gold Mining Industry

      • Tim R. Adam, Chitru S. Fernando, Evgenia Golubeva

      Pages 105-124

3. Intermediaries

   1. Front Matter

      Pages 125-125

      PDF

   2. Does Securitization Affect Banks’ Liquidity Risk? The Case of Italy

      • Francesca Battaglia, Maria Mazzuca

      Pages 127-147

   3. Stress Testing Interconnected Banking Systems

      • Rodolfo Maino, Kalin Tintchev

      Pages 148-180

   4. Estimating Endogenous Liquidity Using Transaction and Order Book Information

      • Philippe Durand, Yalin Gündüz, Isabelle Thomazeau

      Pages 181-200

   5. The 2008 UK Banking Crash: Evidence from Option Implied Volatility

      • Ha Yan Raymond So, Tarik Driouchi, Zhiyuan Simon Tan

      Pages 201-224

   6. International Portfolio Diversification and the 2007 Financial Crisis

      • Jacek Niklewski, Timothy Rodgers

      Pages 225-252

   7. A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting

      • Leandro Maciel

      Pages 253-283

4. Portfolios

   1. Front Matter

      Pages 285-285

      PDF

   2. Robust Consumption and Portfolio Rules When Asset Returns Are Predictable

      • Abraham Lioui

      Pages 287-311

   3. A Diversification Measure for Portfolios of Risky Assets

      • Gabriel Frahm, Christof Wiechers

      Pages 312-330

   4. Hedge Fund Portfolio Allocation with Higher Moments and MVG Models

      • Asmerilda Hitaj, Lorenzo Mercuri

      Pages 331-346

   5. The Statistics of the Maximum Drawdown in Financial Time Series

      • Alessandro Casati, Serge Tabachnik

      Pages 347-363

   6. On the Effectiveness of Dynamic Stock Index Portfolio Hedging: Evidence from Emerging Markets Futures

      • Mohammad S. Hasan, Taufiq Choudhry

      Pages 364-390

The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.

• banking
• financial risk management
• Hedging
• investment
• Investments
• Portfolio
• Portfolio Diversification
• Risk Management
• Volatility
• investments and securities

• Monash University, Melbourne, Australia

  Jonathan A. Batten

• Hong Kong University of Science and Technology, Hong Kong

  Peter MacKay

• Department of Business and Economics, University of Passau, Germany

  Niklas Wagner

Gabriel Frahm, Helmut Schmidt University, Germany Christof Wiechers, University of Cologne, Germany Asmerilda Hitaj, University of Milan, Italy Lorenzo Mercuri, University of Milan, Italy Alessandro Casati, Antares Technologies, France Serge Tabachnik, Antares Technologies, France Mohammad S. Hasan, University of Kent, UK Taufiq Choudhry, University of Southampton, UK Tim Leung, Columbia University, USA Peng Liuz, Johns Hopkins University, USA Leandro Maciel, University of Campinas, Brazil Philippe Durand, Banque de France, Paris, France Yalin Gündüz, Deutsche Bundesbank, Frankfurt, Germany Isabelle Thomazeau, Banque de France, Paris, France Tim R. Adam, Humboldt University of Berlin, Germany Chitru S. Fernando, University of Oklahoma, USA Evgenia Golubeva, University of Oklahoma, USA Abraham Lioui, EDHEC Business School, France Ha Yan Raymond So, MacroValue Investors Ltd, Hong Kong, and King's College London, UK Tarik Driouchi, King's College London, UK Zhiyuan Simon Tan, King's College London, UK Craig O. Brown, National University of Singapore, Singapore Daniel A. Rogers, Portland State University, USA Jacek Niklewski, Coventry University, UK Timothy Rodgers, Coventry University, UK Francesca Battaglia, Università Parthenope, Italy Maria Mazzuca, Università della Calabria, Italy Shane Magee, Macquarie University, Australia Rodolfo Maino, International Monetary Fund, USA Kalin Tintchev, International Monetary Fund, USA Amrita Nain,University of Iowa, USA

Policies and ethics