Continued part 1, part 2 of ebook The risk modeling evaluation handbook: Rethinking financial risk management methodologies in the global capital markets provides readers with contents including: model risk related to valuation models; limitations to measure risk; modeling model risk for risk models; economic capital and asset allocation;... Đề tài Hoàn thiện công tác quản trị nhân sự tại Công ty TNHH Mộc Khải Tuyên được nghiên cứu nhằm giúp công ty TNHH Mộc Khải Tuyên làm rõ được thực trạng công tác quản trị nhân sự trong công ty như thế nào từ đó đề ra các giải pháp giúp công ty hoàn thiện công tác quản trị nhân sự tốt hơn trong thời gian tới.
m hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m rt hd qm m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac ah f9 i8k 3j z6 ch s4 19 a fp l7t 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld 6z xw kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv d la4 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr sư 7d l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh ty cv bm ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 e1 0p hm bo bm jg 3q q2 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 8c gm yy qe u5 g4 n4 ed 0iư f1 yz ib 4u aư 4u bt bi ild t6 pc 9a y pp gq 4m e ojr frc o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg a6 zm 5ia a d2 7y pk xv 02 qi 2d dh nm gv rl 2z 7h h0 jư ns 3r ut sw 93 kk 8f hv oo qm t3 7y ro y1 dy pi oe 9c 78 ci nq s jf0 0n m ke hy y2 ck 7m o 7m jl ji7 hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w Advance Praise for The Risk Modeling Evaluation Handbook r1 z8 dk 3o jn c1 re m rt hd qm m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac ah f9 i8k 3j z6 ch s4 19 a fp l7t A book like this helps reduce the chance of a future breakdown in risk management 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t —Campbell R Harvey, Professor The Fuqua School of Business, Duke University lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 Inadequate valuation and risk management models have played their part in triggering the recent economic turmoil felt around the world Model risk is thus becoming recognized by risk managers and financial engineers as an important source of additional risk This timely book, written by experts in the field, will surely help them to measure and manage this risk effectively 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld xw 6z kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf —Fabrice Douglas Rouah, Ph.D., Vice President Enterprise Risk Management yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 The Risk Modeling Evaluation Handbook provides a very timely and extremely useful guide to the subtle and often difficult issues involved in model risk—a subject which is only now gaining the prominence it should always have had Risk practitioners will find it an invaluable guide fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv d la4 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr sư 7d —Kevin Dowd, Professor of Financial Risk Management Nottingham University Business School l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss xz 1z This book collects authorative papers on a timely and important topic written by academics and practitioners Especially the latter combination makes this book readable to a wide audience, and it should lead to many new insights 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh ty bm cv —Philip Hans Franses, Professor of Econometrics and Dean Erasmus School of Economics, Erasmus University Rotterdam ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 This invaluable handbook has been edited by experts, with topical contributions on modeling risk, equity and fixed income investments, superannuation funds, asset returns, volatility, option pricing, credit derivatives, equity derivatives, valuation models, expected shortfall, value at risk, operational risk, economic capital, public debt management, financial crises, and political risk The excellent chapters have been written by leading academics and practitioners, and should prove h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm a6 7y a d2 5ia pk xv 02 qi 2d dh nm y2 ck 7m o 7m jl ji7 hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m rt hd qm m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac ah f9 i8k 3j z6 to be of great value to investment finance and credit risk modelers in a wide range of disciplines related to portfolio risk management, risk modeling in finance, international money and finance, country risk, and macroeconomics ch s4 19 a fp l7t 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 —Michael McAleer, FASSA, FIEMSS, Professor of Quantitative Finance, Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam; Research Fellow, Tinbergen Institute; Distinguished Chair and Professor, Department of Applied Economics, National Chung Hsing University 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r This book gives an up-to-date, comprehensive overview of the latest developments in the field of model risk, using state-of-the-art quantitative techniques qy p m 7t fm ww p8 1c lm ư7 of 24 ld xw 6z kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr —Ben Tims, Assistant Professor of Finance Erasmus School of Management, Erasmus University Rotterdam l5 ưf yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv [T]he previous years have shown that too many capital market experts have blindly trusted their models This comprehensive compendium addresses all the relevant aspects of model risks which helps practitioners to mitigate the probability of future financial crisis d la4 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd —Ottmar Schneck, Professor European School of Business, Reutlingen k0 yr sư 7d l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh ty cv bm ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm a6 7y a d2 5ia pk xv 02 qi 2d dh nm y2 ck 7m o 7m jl ji7 hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m rt hd qm m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac ah f9 i8k 3j z6 ch s4 19 a fp l7t 02 nm vh 2i ư2 hx THE RISK MODELING EVALUATION HANDBOOK l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld xw 6z kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv d la4 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr sư 7d l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh ty cv bm ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm a6 7y a d2 5ia pk xv 02 qi 2d dh nm y2 ck 7m o 7m jl ji7 hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m rt hd qm m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac ah f9 i8k 3j z6 ch s4 19 a fp l7t 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld xw 6z kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv d la4 This page intentionally left blank 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr sư 7d l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh ty cv bm ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm a6 7y a d2 5ia pk xv 02 qi 2d dh nm y2 ck 7m o 7m jl ji7 hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m rt hd qm m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac ah f9 i8k 3j z6 ch s4 19 a fp l7t 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc THE RISK MODELING EVALUATION HANDBOOK 9e 0t lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld xw 6z kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf yx 8h w xlj 7j h6 ay dq Rethinking Financial Risk Management Methodologies in the Global Capital Markets 3i ok 5ư ưt u7 g4 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg ql 4m jh d m bk b4 45 5x 37 gs hv d la4 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr sư 7d l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh ty cv bm ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm New York Chicago San Francisco Lisbon London Madrid Mexico City Milan New Delhi San Juan Seoul Singapore Sydney Toronto 22 EDITORS w5 tn GREG N GREGORIOU CHRISTIAN HOPPE CARSTEN S WEHN a6 7y a d2 5ia pk xv 02 qi 2d dh nm m hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b Copyright © 2010 by The McGraw-Hill Companies, Inc All rights reserved Except as permitted under the United States Copyright Act of 1976, no part of this publication may be reproduced or distributed in any form or by any means, or stored in a database or retrieval system, without the prior written permission of the publisher co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m rt hd qm m x1 h7 bk 0a fiư m en w0 tvs s h3 dj ISBN: 978-0-07-166371-7 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac f9 ah MHID: 0-07-166371-1 i8k 3j z6 ch s4 19 a fp l7t 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 The material in this eBook also appears in the print version of this title: ISBN: 978-0-07-166370-0, MHID: 0-07-166370-3 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t lr 1q l1 ou 8d 48 sh co k dh 4j2 l1 All trademarks are trademarks of their respective owners Rather than put a trademark symbol after every occurrence of a trademarked name, we use names in an editorial fashion only, and to the benefit of the trademark owner, with no intention of infringement of the trademark Where such designations appear in this book, they have been printed with initial caps ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 McGraw-Hill eBooks are available at special quantity discounts to use as premiums and sales promotions, or for use in corporate training programs To contact a representative please e-mail us at bulksales@mcgraw-hill.com ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld This publication is designed to provide accurate and authoritative information in regard to the subject matter covered It is sold with the understanding that neither the author nor the publisher is engaged in rendering legal, accounting, futures/ securities trading, or other professional service If legal advice or other expert assistance is required, the services of a competent professional person should be sought 6z xw kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 —From a Declaration of Principles jointly adopted by a Committee of the American Bar Association anda Committee of Publishers ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv d la4 Neither the editors nor the publisher can guarantee the accuracy of individual chapters All authors are responsible for their own written material 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr The editors wish to thank the anonymous academic referees who gave generously of their time in reviewing each manuscript and recommending which papers should be included in this book sư 7d l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy TERMS OF USE 5j ob eo pn lc 08 nz cw ib zx uh ch This is a copyrighted work and The McGraw-Hill Companies, Inc (“McGraw-Hill”) and its licensors reserve all rights in and to the work Use of this work is subject to these terms Except as permitted under the Copyright Act of 1976 and the right to store and retrieve one copy of the work, you may not decompile, disassemble, reverse engineer, reproduce, modify, create derivative works based upon, transmit, distribute, disseminate, sell, publish or sublicense the work or any part of it without McGraw-Hill’s prior 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requirements or that its operation will be uninterrupted or error free Neither McGraw-Hill nor its licensors shall be liable to you or anyone else for any inaccuracy, error or omission, regardless of cause, in the work or for any damages resulting therefrom McGraw-Hill has no responsibility for the content of any information accessed through the work Under no circumstances shall McGraw-Hill and/or its licensors be liable for any indirect, incidental, special, punitive, consequential or similar damages that result from the use of or inability to use the work, even if any of them has been advised of the possibility of such damages This limitation of liability shall apply to any claim or cause whatsoever whether such claim or cause arises in contract, tort or otherwise ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm a6 7y a d2 5ia pk xv 02 qi 2d dh nm gv rl 2z 7h h0 jư ns 3r ut 93 sw kk 8f hv oo qm t3 7y ro y1 dy pi oe 9c 78 ci nq s jf0 0n m ke hy y2 ck 7m o 7m jl ji7 hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m CONTENTS rt hd qm m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac ah f9 i8k 3j z6 ch s4 19 a fp l7t 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 xix About the CONTRIBUTORS ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 xxxi FOREWORD by Andre Horavitz 61 xn ex t1 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld xw 6z kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv d la4 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr sư 7d l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh ty cv bm ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie 22 23 24 26 28 34 John Simpson Introduction Existing Risk Ratings Systems Country Risk, Sovereign Risk, and Political Risk Market Risk, Market Efficiency, and Contagion The Model Conclusion 21 Toward a Market Sector–Based Composite Political Risk Indicator Model CHAPTER 14 17 19 Scott Mixon Introduction Convertible Catastrophe, 2008 Before There Were Option Pricing Models… Lessons from Bridge Building Conclusion Model Risk: Lessons From Past Catastrophes CHAPTER I INTRODUCTION TO MODEL RISK PA R T xvii About the EDITORS u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm a6 7y a d2 5ia pk xv 02 qi 2d dh nm y2 ck 7m o 7m jl ji7 hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb contents 0e nl viii z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 go m rz z ac ah f9 i8k 3j z6 ch s4 19 a fp l7t 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn xb o8 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld xw 6z kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 43 47 48 54 Franziska Becker, Wolfgang Breuer, and Marc Gürtler Introduction Utilizing Analysts’ Forecasts for Expected Return Estimation Practical Applications Empirical Examination Conclusion r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv d la4 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr sư 7d l7 19 4i rv ge 56 i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh ty cv bm ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm 76 78 79 88 Hayette Gatfaoui Introduction Data Quantitative Analysis Conclusion 60 61 65 71 George Woodward and Robert Brooks Introduction Modeling Framework Empirical Results Conclusion 42 32 Model Risk: Caring About Stylized Features of Asset Returns— How Does the Equity Market Influence the Credit Default Swap Market? 75 CHAPTER The Market Timing Ability of Australian Superannuation Funds: Nonlinearities and Smooth Transition Models 59 CHAPTER 41 Analysts’ Earnings Forecasts, Portfolio Selection, and Market Risk Premia: An Empirical Comparison of Four Different Valuation Approaches CHAPTER 39 FIXED INCOME INVESTMENTS rt hd qm m II MODEL RISK RELATED TO EQUITY AND PA R T a6 7y a d2 5ia pk xv 02 qi 2d dh nm y2 ck 7m o 7m jl ji7 hr w9 1s rj ưv tsw ue 3g r0 wy p1 l0 vq rrw 2e vư he gq vk 3a sr sv xf f3 i9z w jh 6m ji lcq 8v p zư 2p p frb 0e nl z5 e 6c jtw w0 a r1 a2 m 1n vw i6 kw 1x ư1 fv 9b co ij 3u 9u 9p ep d e5 m 80 bp 3u qs xs 2w r1 z8 dk 3o jn c1 re m rt hd qm m x1 h7 bk 0a fiư m en w0 tvs dj s h3 so q9 h vtd og sp at d7 s3 sq rv ju y1 rz z ac ah f9 i8k 3j z6 ch s4 19 a fp l7t 02 nm vh 2i ư2 hx l4 n0 cy jư dx z5 zu p2 g3 ưt 8j i 9o i17 n4 o0 7w xu py c lb cfc 9e 0t lr 1q l1 ou 8d 48 sh co l1 k dh 4j2 98 100 101 110 go m ex 47 yv ư5 yf z8 g9 eư 7i i vz jzc s7 65 49 v8 pt 67 61 xn ex t1 8v 1p 9h dv j 2w sl0 87 kq ro po r3 7s 86 ds 32 a5 eu vy 8i b vh m 6x f6 ek n2 nf q0 hy 21 ge 57 ưy n5 0j 2n q ưa im m bn 2h 0r 9t 8r qy p m 7t fm ww p8 1c lm ư7 of 24 ld xw 6z kh 6m ke t7 bi a6 3l pc ge wư u6 u0 ylư v1 fl 0n wr l5 ưf yx 8h w xlj 7j h6 ay dq 3i ok 5ư ưt u7 g4 116 117 118 120 xb o8 r1 xu ei kd 3y db w3 60 ưs om 94 2x 1f 62 ưn 7t 9b 9n p6 u3 fx 0v ol 5t d5 il 81 qg w5 tn ql 22 4m jh d m bk b4 45 5x 37 gs hv d la4 8v 3p e7 dx zo 22 eh hm a4 wv zư bh 70 ji zo lh 6t dl fn a2 wl vg 7i rh d l5u 2p sd k0 yr sư 7d l7 19 4i rv Viviana Fernandez Introduction Wavelets in a Nutshell Empirical Results Conclusion Emawtee Bissoondoyal-Bheenick and Robert Brooks Introduction Data and Modeling Framework Results Conclusion ge i1 bx 2e 34 u6 ah sd b4 ci ky l5 uu vf or wr ln bt x su 7li g3 kc m m w0 sy ss 1z xz 7c wy 5j ob eo pn lc 08 nz cw ib zx uh ch ff f0 ak 7h f yu jsc jle p0 6o w2 gd br 1f 6y up ưl g7 j v4 jk0 ho e3 fo 09 oo 0o y7 gc 9lj e6 vs i0 t e6 iz5 z 5q m kh Zeynep Iltuzer Samur, Cumhur Ekinci, and Oktay Tas Introduction GARCH Option Pricing Model Data Methodology Empirical Analysis Conclusion ty cv bm ce hi hn vư ir rz h4 ư1 ob q4 fb d0 hd pv 8k lg 2d 1k 4w 0ư hb 3k s9 m 2t qc d6 0h 1y s0 ss fm v2 q2 h1 16 sg ưa yq xl fk 33 0q l6 7k xư hu 5d ts va b5 b9 jh 1n b7 0p e1 hm bo bm jg q2 3q 8s i dh v l0b lie u3 52 2f b5 st 9o td g2 gm 8c yy qe u5 g4 n4 ed 0iư f1 yz 4u ib 4u aư ild bt bi t6 pc gq 4m e ojr frc 9a y pp o 5ư io7 j4 ae 2f n4 2t 1d cm rq nt u zt1 sm kv ưf lh br ưr zo 5t g aip y5 wu nz bs 3f 88 d6 yg zm a6 141 143 144 145 149 Laurent Bodson and Georges Hübner Introduction Description of the Risk-adjusted Performance Measures Methodology and Data Sources Empirical Results Conclusion 125 127 129 129 132 138 56 Effect of Benchmark Misspecification on Risk-Adjusted Performance Measures 141 CHAPTER The Effects of Different Parameter Estimation Methods on Option Pricing: An Empirical Analysis 125 CHAPTER 115 Volatility Asymmetry and Leverage: Some U.S Evidence CHAPTER 97 Price Transmissions and Market Risk in Financial Markets CHAPTER ix contents 7y a d2 5ia pk xv 02 qi 2d dh nm