Operational Tools in the Management of Financial Risks

Edited by Constantin Zopounidis, Technical University of Crete, Chania, Greece

November 1997, ISBN 0-7923-8055-X, 344 pp., cloth, $125.00, Kluwer Academic Publishers

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 management's. 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.

Contents and Contributors

I: Multivariate Data Analysis and Multicriteria Analysis in Portfolio Selection.

II: Multivariate Data Analysis and Multicriteria Analysis in Business Failure, Corporate Performance and Bank Bankruptcy.

III: Linear and Stochastic Programming in Portfolio Management

IV: Fuzzy Sets and Artificial Intelligence Techniques in Financial Decisions.

Financial Risk in Investment; J. Gil-Aluja.

The Selection of a Portfolio Through a Fuzzy Genetic Algorithm: The POFUGENA Model; E. Lopez-Gonzalez, et al.

Predicting Interest Rates Using Artificial Neural Networks; Th. Politof, D. Ulmer.

V: Multicriteria Analysis in Country Risk Evaluation.

Author Index.