List of Figures ............................................... vii
List of Tables .................................................. x
Preface ...................................................... xiii
Notes on Contributors ......................................... xix
Part I Corporate
1 Strategic Risk Management and Product Market Competition ..... 3
Tim R. Adam and Amrita Nain
2 The Cash-Flow Risk of Corporate Market Investments .......... 30
Craig O. Brown
3 Foreign Currency Hedging and Firm Value: A Dynamic Panel
Approach .................................................... 57
Shane Magee
4 Repurchases, Employee Stock Option Grants, and Hedging ...... 81
Daniel A. Rogers
5 Do Managers Exhibit Loss Aversion in Their Risk Management
Practices? Evidence from the Gold Mining Industry .......... 105
Tim R. Adam, Chitru S. Fernando, and Evgenia Golubeva
Part II Intermediaries
6 Does Securitization Affect Banks' Liquidity Risk? The
Case of Italy .............................................. 127
Francesca Battaglia and Maria Mazzuca
7 Stress Testing Interconnected Banking Systems .............. 148
Rodolfo Maino and Kalin Tintchev
8 Estimating Endogenous Liquidity Using Transaction and
Order Book Information ..................................... 181
Philippe Durand, Yalin Gündüz and Isabelle Thomazeau
9 The 2008 UK Banking Crash: Evidence from Option Implied
Volatility ................................................. 201
Ha Yan Raymond So, Tarik Driouchi, and Zhiyuan Simon Tan
10 International Portfolio Diversification and the 2007
Financial Crisis ........................................... 225
Jacek Niklewski and Timothy Rodgers
11 A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock
Market Volatility Forecasting .............................. 253
Leandro Maciel
Part III Portfolios
12 Robust Consumption and Portfolio Rules When Asset
Returns Are Predictable .................................... 287
Abraham Lioui
13 A Diversification Measure for Portfolios of Risky
Assets ..................................................... 312
Gabriel Frahm and Christof Wiechers
14 Hedge Fund Portfolio Allocation with Higher Moments and
MVG Models ................................................. 331
Asmerilda Hitaj and Lorenzo Mercuri
15 The Statistics of the Maximum Drawdown in Financial Time
Series ..................................................... 347
Alessandro Casati and Serge Tabachnik
16 On the Effectiveness of Dynamic Stock Index Portfolio
Hedging: Evidence from Emerging Markets Futures ............ 364
Mohammad S. Hasan and Taufig Choudhry
17 An Optimal Timing Approach to Option Portfolio Risk
Management ................................................. 391
Tim Leung and Peng Liu
Index ......................................................... 405
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