Econometrics of Risk

Produk Detail:
  • Author : Van-Nam Huynh
  • Publisher : Springer
  • Pages : 498 pages
  • ISBN : 3319134493
  • Rating : /5 from reviews
CLICK HERE TO GET THIS BOOK >>>Econometrics of Risk

Download or Read online Econometrics of Risk full in PDF, ePub and kindle. this book written by Van-Nam Huynh and published by Springer which was released on 15 December 2014 with total page 498 pages. We cannot guarantee that Econometrics of Risk book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.

Econometrics of Risk

Econometrics of Risk
  • Author : Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta,Komsan Suriya
  • Publisher : Springer
  • Release : 15 December 2014
GET THIS BOOK Econometrics of Risk

This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative

Econometrics and Risk Management

Econometrics and Risk Management
  • Author : Thomas B. Fomby,Jean-Pierre Fouque,Knut Solna
  • Publisher : Emerald Group Publishing
  • Release : 01 December 2008
GET THIS BOOK Econometrics and Risk Management

Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.

The Econometrics of Individual Risk

The Econometrics of Individual Risk
  • Author : Christian Gourieroux,Joann Jasiak
  • Publisher : Princeton University Press
  • Release : 24 July 2011
GET THIS BOOK The Econometrics of Individual Risk

The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course

Econometric Modeling of Value at risk

Econometric Modeling of Value at risk
  • Author : Timotheos Angelidis,Stavros Degiannakis
  • Publisher : Nova Science Pub Incorporated
  • Release : 20 April 2021
GET THIS BOOK Econometric Modeling of Value at risk

Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimise the forecast error. This book provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.

Market Risk Analysis Practical Financial Econometrics

Market Risk Analysis  Practical Financial Econometrics
  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Release : 30 April 2008
GET THIS BOOK Market Risk Analysis Practical Financial Econometrics

Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as

Risk Measurement Econometrics and Neural Networks

Risk Measurement  Econometrics and Neural Networks
  • Author : Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollmer
  • Publisher : Springer Science & Business Media
  • Release : 06 December 2012
GET THIS BOOK Risk Measurement Econometrics and Neural Networks

This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and

Risk Econometrics

Risk Econometrics
  • Author : Elena Goldman
  • Publisher : Academic Press
  • Release : 01 August 2020
GET THIS BOOK Risk Econometrics

Risk Econometrics: A Practical Guide to Bayesian and Frequentist Methods serves as a guide to mastering a growing number of applications in network analysis, environmental science and healthcare. By avoiding a focus either on time series or cross-sectional/panel data methods and adopting either Frequentist (Classical) or Bayesian approaches, it trains readers to recognize the most important aspects of applied Frequentist and Bayesian statistics, emphasizing methods, insights, and popular advances widely used during the last ten years. Sections dive deeply

The Econometric Analysis of Models with Risk Terms

The Econometric Analysis of Models with Risk Terms
  • Author : A. R. Pagan,Aman Ullah
  • Publisher : London : Centre for Decision Sciences and Econometrics, University of Western Ontario
  • Release : 20 April 1986
GET THIS BOOK The Econometric Analysis of Models with Risk Terms

This paper provides a critical survey of the methods employed to model the effects of risk in econometric models. Most of the popular methods are shown to suffer from errors-in-variables bias, and an instrumental variable method is suggested to overcome this problem. The technique exploits the orthogonality conditions existing between the squared unanticipated variables and functions of variables making up the information set defining the anticipations. An alternative procedure used in the paper is to directly estimate the conditional variance (

Real Estate Derivatives

Real Estate Derivatives
  • Author : Radu S. Tunaru
  • Publisher : Oxford University Press
  • Release : 13 April 2017
GET THIS BOOK Real Estate Derivatives

This is one of the very few titles on a very important topic, finding risk management solutions for real-estate markets. The book combines facts and intuition with robust financial techniques. The book is written for the upper undergraduate and postgraduate level and it assumes basic knowledge in statistics and financial modelling. Throughout the book there is a clear link to real-data and applications. It covers commercial real-estate, housing real-estate,mortgages, securitization issues, and equity release mortgages. While there is a

Financial Econometrics and Empirical Market Microstructure

Financial Econometrics and Empirical Market Microstructure
  • Author : Anil K. Bera,Sergey Ivliev,Fabrizio Lillo
  • Publisher : Springer
  • Release : 18 November 2014
GET THIS BOOK Financial Econometrics and Empirical Market Microstructure

In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the

Applied Econometrics with SAS

Applied Econometrics with SAS
  • Author : Barry K. Goodwin,A. Ford Ramsey,Jan Chvosta
  • Publisher : SAS Institute
  • Release : 04 April 2018
GET THIS BOOK Applied Econometrics with SAS

Using Applied Econometrics with SAS: Modeling Demand, Supply, and Risk, you will quickly master SAS applications for implementing and estimating standard models in the field of econometrics. This guide introduces you to the major theories underpinning applied demand and production economics. For each of its three main topics—demand, supply, and risk—a concise theoretical orientation leads directly into consideration of specific economic models and econometric techniques, collectively covering the following: Double-log demand systems Linear expenditure systems Almost ideal demand

Financial Econometrics

Financial Econometrics
  • Author : Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
  • Publisher : John Wiley & Sons
  • Release : 22 March 2007
GET THIS BOOK Financial Econometrics

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics