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Operational Tools in the Management of Financial Risks - Constantin Zopounidis

Operational Tools in the Management of Financial Risks

By: Constantin Zopounidis (Editor)

Hardcover Published: 31st January 1998
ISBN: 9780792380559
Number Of Pages: 327

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This book presents a set of new, innovative mathematical modeling tools for analyzing financial risk. Operational Tools in the Management of Financial Risks presents an array of new tools drawn from a variety of research areas, including chaos theory, expert systems, fuzzy sets, neural nets, risk analysis, stochastic programming, and multicriteria decision making. Applications cover, but are not limited to, bankruptcy, credit granting, capital budgeting, corporate performance and viability, portfolio selection/management, and country risk.
The book is organized into five sections. The first section applies multivariate data and multicriteria analyses to the problem of portfolio selection. Articles in this section combine classical approaches with newer methods. The second section expands the analysis in the first section to a variety of financial problems: business failure, corporate performance and viability, bankruptcy, etc. The third section examines the mathematical programming techniques including linear, dynamic, and stochastic programming to portfolio managements. The fourth section introduces fuzzy set and artificial intelligence techniques to selected types of financial decisions. The final section explores the contribution of several multicriteria methodologies in the assessment of country financial risk. In total, this book is a systematic examination of an emerging methodology for managing financial risk in business.

Editorialp. ix
Multivariate Data Analysis and Multicriteria Analysis in Portfolio Selection
Proposal for the Composition of a Solvent Portfolio with Chaos Theory and Data Analysisp. 3
An Entropy Risk Aversion in Portfolio Selectionp. 17
Multicriteria Decision Making and Portfolio Management with Arbitrage Pricing Theoryp. 31
Multivariate Data Analysis and Multicriteria Analysis in Business Failure, Corporate Performance and Bank Bankruptcy
The Application of the Multi-Factor Model in the Analysis of Corporate Failurep. 59
Multivariate Analysis for the Assessment of Corporate Performance: The Case of Greecep. 75
Stable Set Internally Maximal: A Classification Method with Overlappingp. 91
A Multicriteria Approach for the Analysis and Prediction of Business Failure in Greecep. 107
A New Rough Set Approach to Evaluation of Bankruptcy Riskp. 121
FINCLAS: A Multicriteria Decision Support System for Financial Classification Problemsp. 137
A Mathematical Approach of Determining Bank Risks Premiump. 163
Linear and Stochastic Programming in Portfolio Management
Designing Callable Bonds Using Simulated Annealingp. 177
Towards Sequential Sampling Algorithms for Dynamic Portfolio Managementp. 197
The Defeasance in the Framework of Finite Convergence in Stochastic Programmingp. 213
Mathematical Programming and Risk Management of Derivative Securitiesp. 237
Fuzzy Sets and Artificial Intelligence Techniques in Financial Decisions
Financial Risk in Investmentp. 251
The Selection of a Portfolio Through a Fuzzy Genetic Algorithm: The POFUGENA Modelp. 273
Predicting Interest Rates Using Artificial Neural Networksp. 291
Multicriteria Analysis in Country Risk Evaluation
Assessing Country Risk Using Multicriteria Analysisp. 309
Author Indexp. 327
Table of Contents provided by Syndetics. All Rights Reserved.

ISBN: 9780792380559
ISBN-10: 079238055X
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 327
Published: 31st January 1998
Publisher: Springer
Country of Publication: NL
Dimensions (cm): 23.5 x 15.5  x 2.54
Weight (kg): 1.47