Risk Management and Value:Valuation and Asset Pricing

Edited by Mondher Bellalah, Jean-Luc Prigent, Jean-Michel Sahut, Georges Pariente, Olivier Levyne, Michel Azaria and Annie Delienne

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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 valuation of financial assets are further studied in detail.

Keywords: Risk; Value; Management; Derivatives (search for similar items in EconPapers)
Date: 2008
ISBN: 9789812770738
References: Add references at CitEc
Citations: View citations in EconPapers (1)

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Chapters in this book:

Ch 1 MANAGING DERIVATIVES IN THE PRESENCE OF A SMILE EFFECT AND INCOMPLETE INFORMATION , pp 1-10

Mondher Bellalah

Ch 2 A VALUE-AT-RISK APPROACH TO ASSESS EXCHANGE RISK ASSOCIATED TO A PUBLIC DEBT PORTFOLIO: THE CASE OF A SMALL DEVELOPING ECONOMY , pp 11-60

Wissem Ajili

Ch 3 A METHOD TO FIND HISTORICAL VaR FOR PORTFOLIO THAT FOLLOWS S&P CNX NIFTY INDEX BY ESTIMATING THE INDEX VALUE , pp 61-70

K. V. N. M Ramesh

Ch 4 SOME CONSIDERATIONS ON THE RELATIONSHIP BETWEEN CORRUPTION AND ECONOMIC GROWTH , pp 71-95

Victor Dragotǎ, Laura Obreja Braşoveanu and Andreea Semenescu

Ch 5 FINANCIAL RISK MANAGEMENT BY DERIVATIVES CAUSED FROM WEATHER CONDITIONS: ITS APPLICABILITY FOR TÜRKİYE , pp 97-116

Turgut Özkan

Ch 6 THE BASEL II FRAMEWORK IMPLEMENTATION AND SECURITIZATION , pp 117-127

Marie-Florence Lamy

Ch 7 STOCHASTIC TIME CHANGE, VOLATILITY, AND NORMALITY OF RETURNS: A HIGH-FREQUENCY DATA ANALYSIS WITH A SAMPLE OF LSE STOCKS , pp 129-150

Olfa Borsali and Amel Zenaidi

Ch 8 THE BEHAVIOR OF THE IMPLIED VOLATILITY SURFACE: EVIDENCE FROM CRUDE OIL FUTURES OPTIONS , pp 151-175

Amine Bouden

Ch 9 PROCYCLICAL BEHAVIOR OF LOAN LOSS PROVISIONS AND BANKING STRATEGIES: AN APPLICATION TO THE EUROPEAN BANKS , pp 177-203

Didelle Dilou Dinamona

Ch 10 MARKET POWER AND BANKING COMPETITION ON THE CREDIT MARKET , pp 205-229

Ion Lapteacru

Ch 11 EARLY WARNING DETECTION OF BANKING DISTRESS — IS FAILURE POSSIBLE FOR EUROPEAN BANKS? , pp 231-275

Anissa Naouar

Ch 12 PORTFOLIO DIVERSIFICATION AND MARKET SHARE ANALYSIS FOR ROMANIAN INSURANCE COMPANIES , pp 277-298

Mihaela Dragotǎ, Cosmin Iuliu Serbǎnescu and Daniel Traian Pele

Ch 13 ON THE CLOSED-END FUNDS DISCOUNTS/PREMIUMS IN THE CONTEXT OF THE INVESTOR SENTIMENT THEORY , pp 299-335

Ana Paula Carvalho do Monte and Manuel José da Rocha Armada

Ch 14 WHY HAS IDIOSYNCRATIC VOLATILITY INCREASED IN EUROPE? , pp 337-378

Jean-Etienne Palard

Ch 15 DEBT VALUATION, ENTERPRISE ASSESSMENT AND APPLICATIONS , pp 379-435

Didier Vanoverberghe

Ch 16 DOES THE TUNISIAN STOCK MARKET OVERREACT? , pp 437-462

Fatma Hammami and Ezzeddine Abaoub

Ch 17 INVESTOR–VENTURE CAPITALIST RELATIONSHIP: ASYMMETRIC INFORMATION, UNCERTAINTY, AND MONITORING , pp 463-476

Mondher Cherif and Skander Sraieb

Ch 18 THRESHOLD MEAN REVERSION IN STOCK PRICES , pp 477-493

Fredj Jawadi

Ch 19 HOUSEHOLDS' EXPECTATIONS OF UNEMPLOYMENT: NEW EVIDENCE FROM FRENCH MICRODATA , pp 495-510

Salah Ghabri

Ch 20 CORPORATE GOVERNANCE AND MANAGERIAL RISK TAKING: EMPIRICAL STUDY IN THE TUNISIAN CONTEXT , pp 511-539

Amel Belanes Aroui and Fatma Wyème Ben Mrad Douagi

Ch 21 NONLINEARITY AND GENETIC ALGORITHMS IN THE DECISION-MAKING PROCESS , pp 541-562

Nizar Hachicha and Abdelfettah Bouri

Ch 22 ICT AND PERFORMANCE OF THE COMPANIES: THE CASE OF THE TUNISIAN COMPANIES , pp 563-580

Jameleddine Ziadi

Ch 23 OPTION MARKET MICROSTRUCTURE , pp 581-599

Jean-Michel Sahut

Ch 24 DOES THE STANDARDIZATION OF BUSINESS PROCESSES IMPROVE MANAGEMENT?: THE CASE OF ENTERPRISE RESOURCE PLANNING SYSTEMS , pp 601-614

Tawhid Chtioui

Ch 25 DOES MACROECONOMIC TRANSPARENCY HELP GOVERNMENTS BE SOLVENT?: EVIDENCE FROM RECENT DATA , pp 615-631

Ramzi Mallat and Duc Khuong Nguyen

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