Risk management and value : valuation and asset pricing / editors, Mondher Bellalah, Jean-Luc Prigent, Jean-Michel Sahut.

Format:

Book

Conference/Event

Author/Creator:

International Finance Conference, Corporate Author.

Contributor:

Bellalah, Mondher.

Prigent, Jean-Luc, 1958-

Sahut, Jean-Michel.

Conference Name:

International Finance Conference (2007 : Hammamat, Tunisia)

International Finance Conference

Series:

World Scientific studies in international economics ; v. 3.

World scientific studies in international economics, 1793-3641 ; 3

Language:

English

Subjects (All):

Risk management--Congresses.

Risk management.

Valuation--Management--Congresses.

Valuation.

Physical Description:

1 online resource (645 p.)

Place of Publication:

Singapore ; Hackensack, NJ : World Scientific, c2008.

Language Note:

English

Summary:

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a ""high level"" one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the

Contents:

CONTENTS; Introduction; Chapter 1. Managing Derivatives in the Presence of a Smile Effect and Incomplete Information Mondher Bellalah; 1 Introduction; 2 Option Pricing in the Presence of Information Costs; 3 Valuing Options When Markets Can Jump in the Presence of Shadow Costs of Incomplete Information; 3.1 Valuing Options When Market Can Jump; 3.2 Extension with Information Costs; 4 The Smile Effect and the S&P 500 Index Options in the Presence of Jumps and Incomplete Information; 4.1 The Smile; 4.2 Introducing Market Jumps; 4.3 Introducing Information Costs; 5 Summary and Conclusion

ReferencesChapter 2. A Value-at-Risk Approach to Assess Exchange Risk Associated to a Public Debt Portfolio: The Case of a Small Developing Economy Wissem Ajili; 1 Introduction; 2 The VaR Approach in the Literature; 2.1 How to Measure Risk? A Little History; 2.2 TheVaR - a New Risk Measure; 2.2.1 The VaR Models: A Small Definition; 2.2.2 The VaR Models: Different Methods; 2.3 The VaR: Some Empirical Evidences; 3 Data and Methodology; 3.1 Data; 3.1.1 A Little Descriptive Statistics; 3.1.2 A Preliminary Correlation Analysis; 3.2 Variables; 3.3 Methodology; 3.3.1 A Two Assets Portfolio

3.3.2 A More than Two Assets Portfolio3.4 Application; 3.4.1 The Normality Assumption Rejection in the Case of the Global Portfolio; 3.4.2 The Normality Assumption Acceptance in the Case of the Annual Portfolios; 3.4.3 Calculating VaR; 4 Main Results; 4.1 The Methodological Side; 4.2 The Economic Side; 5 Conclusion; Appendix; References; Chapter 3. A Method to Find Historical VaR for Portfolio that Follows S&P CNX Nifty Index by Estimating the Index Value K. V. N. M. Ramesh; 1 Introduction; 2 Literature Survey; 3 Statistical Modeling for VaR; 4 Characteristics of Index

2 The Concept ofWeather Risk Management (WRM)3 Application Fields ofWeather Risk Management; 4 Financial Instruments inWeather Risk Management and Differences Between Them; 5 Derivatives Used inWeather Risk Management; 5.1 Guaranteed Heating Degree Days (HDD); 5.2 Guaranteed Cooling Degree Days (CDD); 5.3 Guaranteed Rainfall; 5.4 Guaranteed Snowfall; 5.5 Collar inWRM andWeather Swap; 6 Applicability ofWeather Risk Derivatives in Türkiye; 7 Conclusion; References; Chapter 6. The Basel II Framework Implementation and Securitization Marie-Florence Lamy

1 The Role of Securitization for European Banks

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786611911584

9781281911582

1281911585

9789812770745

9812770747

OCLC:

879024026