This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

This paper implements a simple and transparent procedure for setting loan-to-value (LTV) ratio based on the market risk of the underlying collateralized portfolio. The loan hair cut (i.e. 1-LTV) is closely related to value-at-risk (VaR) which is very sensitive to model assumptions and...