Advances in Financial Risk Management Corporates, Intermediaries and Portfolios

Advances in Financial Risk Management presents the latest research on measuring, managing and pricing financial risk. It provides an expansive view of the latest techniques available to academics and practitioners in three critical areas: corporate, financial and portfolio risk management. It brings together both empirical and theoretical perspectives on issues that remain paramount despite financial market volatility abating in recent years.

Looking ahead, the prospects for the financial services industry are for more regulatory oversight and attention being paid to the modeling and measuring of financial risk. This volume contributes to this ongoing debate and provides valuable insights into the issues and appropriate practice of financial risk management.

Advances in Financial Risk Management is essential reading for anyone interested in better understanding the latest developments in risk management in the post-Global Financial Crisis (GFC) environment.

Jonathan A. Batten is Adjunct Professor of Finance at Hong Kong University of Science and Technology, Hong Kong.
 
Peter MacKay is Associate Professor of Finance at Hong Kong University of Science and Technology, Hong Kong.
 
Niklas Wagner is Professor of Finance at Passau University, Germany.

PART I: CORPORATE
1. Strategic Risk Management and Product Market Competition; Tim R. Adam and Amrita Nain
2. The Cash-Flow Risk of Corporate Market Investments; Craig O. Brown
3. Foreign Currency Hedging and Firm Value: A Dynamic Panel Approach; Shane Magee
4. Repurchases, Employee Stock Option Grants, and Hedging; Daniel A. Rogers
5. Do Managers Exhibit Loss Aversion in their Risk Management Practices?: Evidence from the Gold Mining Industry; Tim R. Adam, Chitru S. Fernando and Evgenia Golubeva
PART II: INTERMEDIARIES
6. Does Securitization Affect Banks' Liquidity Risk? The Case of Italy; Francesca Battaglia and Maria Mazzuca
7. Stress Testing Interconnected Banking Systems; Rodolfo Maino and Kalin Tintchev 
8. Estimating Endogenous Liquidity Using Transaction and Order Book Information; Philippe Durand, Yalin Gündüz and Isabelle Thomazeau
9. The 2008 UK Banking Crash: Evidence from Option Implied Volatility; Ha Yan Raymond So, Tarik Driouchi and Zhiyuan Simon Tan
10. International Portfolio Diversification and the 2007 Financial Crisis; Jacek Niklewski and Timothy Rodgers
11. A Hybrid Fuzzy GJR-GARCH Modelling Approach for Stock Market Volatility: Forecasting; Leandro Maciel
PART III: PORTFOLIOS
12. Robust Consumption and Portfolio Rules when Asset Returns are Predictable; Abraham Lioui
13. A Diversification Measure for Portfolios of Risky Assets; Gabriel Frahm and Christof Wiechers
14. Portfolio Allocation with Higher Moments; Asmerilda Hitaj and Lorenzo Mercuri
15. The Statistics of the Maximum Drawdown in Financial Time Series; Alessandro Casati and Serge Tabachnik
16. On the Effectiveness of Dynamic Stock Index Portfolio Hedging; Mohammad S. Hasan and Taufiq Choudhry
17. An Optimal Timing Approach to Option Portfolio Risk Management; Tim Leung and Peng Liu