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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 |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Newark :
John Wiley & Sons, Incorporated,
2018.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.
- 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.
- 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.
- 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.
- 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.