Market Risk Analysis Practical Financial Econometrics

Produk Detail:
  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Pages : 426 pages
  • ISBN : 0470771038
  • Rating : 5/5 from 1 reviews
CLICK HERE TO GET THIS BOOK >>>Market Risk Analysis Practical Financial Econometrics

Download or Read online Market Risk Analysis Practical Financial Econometrics full in PDF, ePub and kindle. this book written by Carol Alexander and published by John Wiley & Sons which was released on 30 April 2008 with total page 426 pages. We cannot guarantee that Market Risk Analysis Practical Financial Econometrics 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. 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 each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

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

Market Risk Analysis Value at Risk Models

Market Risk Analysis  Value at Risk Models
  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Release : 15 January 2009
GET THIS BOOK Market Risk Analysis Value at Risk Models

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III,

Market Risk Analysis Pricing Hedging and Trading Financial Instruments

Market Risk Analysis  Pricing  Hedging and Trading Financial Instruments
  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Release : 15 September 2008
GET THIS BOOK Market Risk Analysis Pricing Hedging and Trading Financial Instruments

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps,

Artificial Intelligence in Finance

Artificial Intelligence in Finance
  • Author : Yves Hilpisch
  • Publisher : O'Reilly Media
  • Release : 14 October 2020
GET THIS BOOK Artificial Intelligence in Finance

The widespread adoption of AI and machine learning is revolutionizing many industries today. Once these technologies are combined with the programmatic availability of historical and real-time financial data, the financial industry will also change fundamentally. With this practical book, you'll learn how to use AI and machine learning to discover statistical inefficiencies in financial markets and exploit them through algorithmic trading. Author Yves Hilpisch shows practitioners, students, and academics in both finance and data science practical ways to apply machine

Essential Mathematics for Market Risk Management

Essential Mathematics for Market Risk Management
  • Author : Simon Hubbert
  • Publisher : John Wiley & Sons
  • Release : 12 December 2011
GET THIS BOOK Essential Mathematics for Market Risk Management

Everything you need to know in order to manage risk effectively within your organization You cannot afford to ignore the explosion in mathematical finance in your quest to remain competitive. This exciting branch of mathematics has very direct practical implications: when a new model is tested and implemented it can have an immediate impact on the financial environment. With risk management top of the agenda for many organizations, this book is essential reading for getting to grips with the mathematical

QFinance

QFinance
  • Author : Various Authors
  • Publisher : Bloomsbury USA
  • Release : 13 October 2009
GET THIS BOOK QFinance

Compiled by more than 300 of the world's leading professionals, visionaries, writers and educators, this is THE first-stop reference resource and knowledge base for finance. QFINANCE covers an extensive range of finance topics with unique insight, authoritative information, practical guidance and thought-provoking widsom. Unmatched for in-depth content, QFINANCE contains more than 2 million words of text, data analysis, critical summaries and bonus online content. Created by Bloomsbury Publishing in association with the Qatar Financial Centre (QFC) Authority, QFINANCE is the expert reference

A Probability Metrics Approach to Financial Risk Measures

A Probability Metrics Approach to Financial Risk Measures
  • Author : Svetlozar T. Rachev,Stoyan V. Stoyanov,Frank J. Fabozzi
  • Publisher : John Wiley & Sons
  • Release : 10 March 2011
GET THIS BOOK A Probability Metrics Approach to Financial Risk Measures

A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the

Risk Management in Banking

Risk Management in Banking
  • Author : Joël Bessis
  • Publisher : John Wiley & Sons Incorporated
  • Release : 20 April 2021
GET THIS BOOK Risk Management in Banking

This book examines all aspects of financial risk management in banking - from global considerations to the fundamental aspects of the management of a particular profit centre. It deals with the very latest techniques including value at risk.

Interest Rate Models Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

Interest Rate Models  Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds
  • Author : A. Berkelaar,Joachim Coche,Ken Nyholm
  • Publisher : Palgrave MacMillan
  • Release : 15 January 2010
GET THIS BOOK Interest Rate Models Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds

This edited volume contains essential readings for financial analysts and market practitioners working at Central Banks and Sovereign Wealth Funds. It presents the reader with state-of-the-art methods that are directly implementable, and industry 'best-practices' as followed by leading institutions in their field.

Portfolio Risk Analysis

Portfolio Risk Analysis
  • Author : Gregory Connor,Lisa R. Goldberg,Robert A. Korajczyk
  • Publisher : Princeton University Press
  • Release : 15 March 2010
GET THIS BOOK Portfolio Risk Analysis

Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the