Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab /

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statist...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Daníelsson, Jón
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Chichester : John Wiley, 2011.
Temas:
Financial risk management > Forecasting.
Financial risk management > Simulation methods.
Finances > Gestion du risque > Prévision.
Finances > Gestion du risque > Méthodes de simulation.
BUSINESS & ECONOMICS > Insurance > Risk Assessment & Management.
Financial futures
Gestió financera.
Gestió del risc.
Previsió.
Mètodes de simulació.
Llibres electrònics.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Cover; Dedication; Title page; Copyright; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.2 S & P 500 returns; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.7 Nonlinear dependence; 1.8 Copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling Volatility; 2.2 Simple volatility models; 2.3 GARCH and conditional volatility; 2.4 Maximum likelihood estimation of volatility models; 2.5 Diagnosing volatility models.

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