Greg N. Gregoriou (eds.)'s Advances in Risk Management PDF

By Greg N. Gregoriou (eds.)

ISBN-10: 0230625843

ISBN-13: 9780230625846

ISBN-10: 1349285439

ISBN-13: 9781349285433

ISBN-10: 2652652672

ISBN-13: 9782652652677

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1939) “Sür Les Écarts de la Courbe de Distribution Empirique”, Matematiceskii Sbornik, 6: 3–26. Theil, H. (1971) Applied Economic Forecasting (Amsterdam: North-Holland). CHAPTER 2 Incorporating Diversification into Risk Management Amiyatosh Purnanandam, Mitch Warachka, Yonggan Zhao and William T. 1 INTRODUCTION Risk measurement is of fundamental importance to financial practice. Given the widespread usage of Value-at-Risk (VaR), firms actively manage their risk. Unfortunately, VaR is not derived from fundamental economic principles and may lead to sub-optimal decisions as shown by Shapiro and Basak (2001).

3) and depends on η but is written as α rather than α(η) for notational simplicity. 5) The first condition ensures that η , when added to η, is capable of constituting an acceptable portfolio. A solution for η that satisfies the first condition is provided in section 4. The second condition states that portfolio rebalancing is preferred to the addition of riskfree capital when complying with the regulator. Indeed, setting η = αηc results in equality for the second condition. The existence of a portfolio η is motivated by the inability of ηc to generate excess economic rents.

1 reports both distributions and clearly shows that failing to adapt the estimation procedure to account for truncation may have a significant impact. The estimated distribution in Case 2 has an upper limit that is 25 percent smaller than the true distribution, seriously impacting subsequent simulations. 1 Data In this section, we apply the methodology outlined in the previous sections to real operational loss data provided by a large European bank. 7 For the sake of confidentiality, we call these business lines “BL1” and “BL2”.

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Advances in Risk Management by Greg N. Gregoriou (eds.)


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