Methods for Finance: Tools for Asset and Risk Management by Sergio M. Focardi and Frank J. Fabozzi
Financial Advice and Investment Decisions: A Manifesto for Change by Jarrod W. Wilcox and Frank J. Fabozzi
The Basics of Financial Econometrics: Tools, Concepts, and Asset Management Applications by Frank J. Fabozzi, Sergio M. Focardi, Svetlozar T. Rachev, Bala G. Arshanapalli, and Markus Hoechstoetter
Quantitative Financial Risk Management: Theory and Practice by Constantin Zopounidis and Emilios Galariotis
Quantitative Financial Risk Management
Theory and Practice
CONSTANTIN ZOPOUNIDIS
EMILIOS GALARIOTIS
Cover Image: © wrangler/Shutterstock.com
Cover Design: Wiley
Copyright © 2015 by Constantin Zopounidis and Emilios Galariotis. All rights reserved.
Published by John Wiley & Sons, Inc., Hoboken, New Jersey.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the Web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at http://www.wiley.com/go/permissions.
Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any loss of profit or any other commercial damages, including but not limited to special, incidental, consequential, or other damages.
For general information on our other products and services or for technical support, please contact our Customer Care Department within the United States at (800) 762-2974, outside the United States at (317) 572-3993 or fax (317) 572-4002.
Wiley publishes in a variety of print and electronic formats and by print-on-demand. Some material included with standard print versions of this book may not be included in e-books or in print-on-demand. If this book refers to media such as a CD or DVD that is not included in the version you purchased, you may download this material at http://booksupport.wiley.com. For more information about Wiley products, visit www.wiley.com.
Library of Congress Cataloging-in-Publication Data
Zopounidis, Constantin.
Quantitative financial risk management: theory and practice / Constantin Zopounidis, Emilios Galariotis.
pages cm. – (The Frank J. Fabozzi series)
Includes index.
ISBN 978-1-118-73818-4 (hardback)
1. Financial risk management. I. Galariotis, Emilios. II. Title.
HD61.Z67 2015
332–dc23
Preface
The book Quantitative Financial Risk Management: Theory and Practice provides an invaluable forum for creative and scholarly work on financial risk management, risk models, portfolio management, credit risk modeling, portfolio management, and financial markets throughout the world.
Quantitative financial risk management consists of economics, accounting, statistics, econometrics, mathematics, stochastic processes, and computer science and technology. The tools of financial management are more frequently being applied to manage, monitor, and measure risk, especially in the context of globalization, market volatility, and economic crisis.
The main objectives of this book are to advance knowledge related to risk management and portfolio optimization, as well as to generate theoretical knowledge with the aim of promoting research within various sectors wherein financial markets operate. Chapters will relate to one of these areas, will have a theoretical and/or empirical problem orientation, and will demonstrate innovation in theoretical and empirical analyses, methodologies, and applications.
We would like to thank the assistant editors Georgios Manthoulis and Stavroula Sarri for their invaluable help. We extend appreciation to the authors and referees of these chapters, and to the editors at John Wiley & Sons, Inc., for their assistance in producing this book.
About the Editors
Constantin Zopounidis is professor of Financial Engineering and Operations Research at Technical University of Crete in Greece, distinguished research professor at Audencia Nantes, School of Management (EQUIS, AMBA, AACSB) in France, senior academician of the Royal Academy of Doctors and the Royal Academy of Economics and Financial Sciences of Spain, and elected president of the Financial Engineering and Banking Society (FEBS).
His research interests include financial engineering, financial risk management, and multiple-criteria decision making. He has edited and authored more than 70 books in international publishers and more than 450 research papers in scientific journals, edited volumes, conference proceedings, and encyclopedias in the areas of finance, accounting, operations research, and management science. Prof. Zopounidis is editor-in-chief and member of the editorial board of several international journals. In recognition of his scientific work, he has received several awards from international research societies.
Emilios Galariotis is professor of Finance at Audencia Nantes School of Management (AMBA, EQUIS, AACSB) in France. He is the founder and director of the Centre for Financial and Risk Management (CFRM) and head of research in the area of Finance, Risk, and Accounting Performance at Audencia.
His academic career started at Durham University and head of research in the area of Finance, Risk, and Accounting Performance as well as co-chair of the department of Accounting and Finance at Audencia. UK. There, beyond his academic role. His academic career started at Durham University, UK (Top 100 in the world, 3rd oldest in England), he was also director of Specialized Finance Masters Programs. His research interests include behavioral finance and market efficiency, contrarian and momentum investment strategies, and liquidity.
His work has been published in quality refereed journals, such as (to mention only the most recent) the European Journal of Operational Research, the Journal of Banking and Finance, as well as the Wiley Encyclopedia of Management. Professor Galariotis is associate editor and member of the editorial board of several international journals, and member of the board of directors of the Financial Engineering and Banking Society and distinguished researcher at various research centers.