... is the joint default probability of two obligors in a uniform portfolio with parameters PD and implicit AC ρ. © Emerald Group Publishing Limited 2013 Banks Portfolio investment Correlation analysis Risk management Default correlation Asset correlation Credit portfolio risk...

... been a major challenge for risk managers as well as regulators in managing CCL portfolios. Portfolio investment Risk management Probability theory Exposure‐at‐default Basel II Solvency II Credit risk Contingent credit The Bank for International Settlement in its Basel II guidelines [1...

... data to avoid the problem of non‐synchronous infrequent trading (Hung and Cheung, 1995 ; Ibrahim, 2005). United States of America Futures markets Portfolio investment Subprime crisis Stock index futures markets Market integration Portfolio diversification According to Dungey et...

... mathematical model for diversification and hedging, and also quantifies a further risk‐reduction process (pacification). Michael R. Powers can be contacted at: michael.powers@temple.edu © Emerald Group Publishing Limited 2010 Portfolio investment Diversification Hedging Standard deviation...

... Portfolio investment Programming and algorithm theory Modelling Optimization techniques The classical Markowitz (1952, 1959) model for portfolio selection has been studied in the past by simplifying it or reformulating it into different models (Cooper et al., 1997; Konno and Yamazaki...

.... The first had higher performance over the S&P index in 51.7 percent of the cases. This difference was shown to be statistically significant. Mohamed Ali Trabelsi can be contacted at: MedAli.Trabelsi@esct.rnu.tn © Emerald Group Publishing Limited 2010 Portfolio investment Tunisia...

... Emerald Group Publishing Limited 2010 Portfolio investment Financial risk Risk management Terrorism United States of America The purpose of this paper is to examine the performance of safety‐first principles in portfolio construction during the catastrophic events surrounding...

... © Emerald Group Publishing Limited 2010 Portfolio investment Data analysis Algorithmic languages In financial terms, a portfolio is an appropriate mix or collection of investments held by an institution or private individuals. The portfolio optimization problem is a well‐known...

... measurements of distance and time, respectively. Equation 13 Risk management Portfolio investment Insurance Normal distribution Random variables Fourier transforms Equation 14 In the preceding editorial, it was noted that the p‐norm‐based risk measure...

... but with the aspirational parameter ε in equation (13) providing an additional degree of freedom in an info‐gap setting where C is also a model parameter (matrix) and not necessarily the portfolio covariance matrix as in the conventional Sharpe ratio analysis. Portfolio investment Financial modelling...

... value of m should be used? Equation 2 Michael R. Powers can be contacted at: michael.powers@temple.edu © Emerald Group Publishing Limited 2009 Return on investment Normal distribution Portfolio investment Probability theory Financial risk value...

... Group Publishing Limited 2008 Pension funds Portfolio investment Loss prevention Numerical analysis Optimization techniques This paper concerns policies for investing outlays x₀ paid to the fund manager by an agent at time 0 to be repaid as lump‐sum x(T...

... to some (given) values above or below E(V_{min) we can also calculate or estimate the chances that the portfolio value will decline by these amounts. Risk analysis Risk management Distribution functions Portfolio investment It is well known (Jorian, 2001 ; Kritzman}...

... Foreign exchange Financial risk Portfolio investment The swift transition to a system of more or less freely floating exchange rates among many of the major trading countries provided the thrust for the measurement and management of foreign‐exchange risk. The years since 1973 have witnessed both...

... pricing and investment management. Eckhard Platen can be contacted at: Eckhard.Platen@uts.edu.au © Emerald Group Publishing Limited 2006 Stocks World economy Portfolio investment A sequence of portfolios (S_(d)^{δ)_d∈N is said}...

... exhibit decreasing absolute risk aversion. Originality/value The paper extends the previous study in the case of dependence between assets and examines portfolio with more than two assets. © Emerald Group Publishing Limited 2006 Portfolio investment Risk assessment Assets Stochastic...

.... Credit Project finance Portfolio investment Debts Michel Gendron can be contacted at: michel.gendron@ fas.ulaval.ca © Emerald Group Publishing Limited 2006 With a third private party guaranteeing the debt, the price at time zero of the guaranteed debt, D_0,G...

... to estimate the far tail of a derivative portfolio adequately. © Emerald Group Publishing Limited 2005 Statistics Portfolio investment Return on capital employed Banks regularly estimate the downside risk on their trading portfolios for the purpose of internal risk management and external...

..., the fourth is the first bond percentage, and the last three columns correspond to the convexity, M² and N˜, respectively. Risk management Bonds Portfolio investment Interest rates Duration and convexity are very well known concepts in the area of interest rate...