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Quantitative Financial Risk Management.
A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduce...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Newark :
John Wiley & Sons, Incorporated,
2018.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 003 | OCoLC | ||
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| 019 | |a 1066103185 | ||
| 020 | |a 9781119522232 | ||
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| 020 | |z 111952220X | ||
| 020 | |z 9781119522201 | ||
| 035 | |a (OCoLC)1076232989 |z (OCoLC)1066103185 | ||
| 050 | 4 | |a HD61 |b .M55 2018 | |
| 082 | 0 | 4 | |a 658.15/5 |2 23 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Miller, Michael B. | |
| 245 | 1 | 0 | |a Quantitative Financial Risk Management. |
| 260 | |a Newark : |b John Wiley & Sons, Incorporated, |c 2018. | ||
| 300 | |a 1 online resource (323 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover; Title Page; Copyright; Contents; Preface; About the Author; 1 Overview of Financial Risk Management; What Is Risk?; Absolute, Relative, and Conditional Risk; Intrinsic and Extrinsic Risk; Risk and Standard Deviation; What Is Financial Risk Management?; Types of Financial Risk; Market Risk; Credit Risk; Liquidity Risk; Operational Risk; Enterprise Risk; What Does a Risk Manager Do?; A Very Brief History of Risk Management; The Future of Risk Management; 2 Market Risk: Standard Deviation; Risk and Standard Deviation; Averages; Population and Sample Data; Discrete Random Variables. | |
| 505 | 8 | |a Continuous Random VariablesExpectations; Variance and Standard Deviation; Standard Deviation with Decay; GARCH; Moments; Skewness; Kurtosis; Jump-Diffusion Model; Dollar Standard Deviation; Annualization; End-of-Chapter Questions; 3 Market Risk: Value at Risk; What Is Value at Risk?; Delta-Normal VaR; Historical VaR; Hybrid VaR; Monte Carlo Simulation; Cornish-Fisher VaR; Backtesting; End-of-Chapter Questions; 4 Market Risk: Expected Shortfall, and Extreme Value Theory; Coherent Risk Measures; Monotonicity; Positive Homogeneity; Translation Invariance; Subadditivity; Expected Shortfall. | |
| 505 | 8 | |a Extreme Value TheoryEnd-of-Chapter Questions; 5 Market Risk: Portfolios and Correlation; Covariance; Correlation; Portfolio Variance and Hedging; Linear Regression (Univariate); Ordinary Least Squares; Estimating the Parameters; Evaluating the Regression; Linear Regression (Multivariate); Multicollinearity; Estimating the Parameters; Evaluating the Regression; Stress Testing; Delta-Normal Model; Cholesky Decomposition and Monte Carlo Simulations; End-of-Chapter Questions; 6 Market Risk: Beyond Correlation; Coskewness and Cokurtosis; Multivariate Distributions; Discrete Distributions. | |
| 505 | 8 | |a Continuous DistributionsVisualization; Correlation; Marginal Distributions; Copulas; What Is a Copula?; Graphing Copulas; Using Copulas in Simulations; Parameterization of Copulas; Independent and Identically Distributed Random Variables; End-of-Chapter Questions; 7 Market Risk: Risk Attribution; Factor Analysis; Incremental VaR; Diversification; Diworsification; Diversification Score; Diversification Index; Risk-Adjusted Performance; Choosing Statistics; End-of-Chapter Questions; 8 Credit Risk; Default Risk and Pricing; Bond Pricing; Default and Recovery. | |
| 505 | 8 | |a Risk-Neutral Default Estimates versus Actual Default EstimatesYield; Determining the Probability of Default; Traditional Ratings Approach; Transition Matrices; Quantitative Approach; Portfolio Credit Risk; Probability of n Defaults; Monte Carlo Simulation; Reducing Credit Risk; End-of-Chapter Questions; 9 Liquidity Risk; What Is Liquidity Risk?; The Demand for Liquidity; The Supply of Liquidity; Simple Liquidity Measures; Weighted Average Days Volume; Liquidity Schedule; Liquidity Cost Models; Exogenous Liquidity Models; Endogenous Liquidity Models; Volume-Weighted Average Price. | |
| 500 | |a Optimal Liquidation. | ||
| 520 | |a A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models. Topics include: - Value at risk- Stress testing- Credit risk- Liquidity risk- Factor analysis- Expected shortfall- Copulas- Extreme value theory- Risk model backtesting- Bayesian analysis- ... and much more. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Risk assessment. | |
| 650 | 0 | |a Risk management. | |
| 650 | 2 | |a Risk Assessment | |
| 650 | 2 | |a Risk Management | |
| 650 | 6 | |a Évaluation du risque. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 7 | |a risk assessment. |2 aat | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance |x General. |2 bisacsh | |
| 650 | 7 | |a Risk assessment |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 776 | 0 | 8 | |i Print version: |a Miller, Michael B. |t Quantitative Financial Risk Management. |d Newark : John Wiley & Sons, Incorporated, ©2018 |z 9781119522201 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=5592833 |z Texto completo |
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