Financial Market Risk : Measurement and Analysis /

Detalles Bibliográficos
Autor principal: Los, Cornelis (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Routledge, 2006.
Colección:Routledge international studies in money and banking ; 24.
Temas:
Hedging (Finance)
Risk management.
Risk Management
Couverture (Finances)
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Economics > General.
BUSINESS & ECONOMICS > Finance.
Risk management
Hedging.
Dynamische modellen.
Stochastische processen.
Financial risk management.
Couverture (finances) > Mathématiques.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Pt. I. Financial risk processes
  • 1. Risk
  • asset class, horizon and time
  • 2. Competing financial market hypotheses
  • 3. Stable scaling distributions in finance
  • 4. Persistence of financial risk
  • Pt. II. Financial risk measurement
  • 5. Frequency analysis of financial risk
  • 6. Fourier time-frequency analysis of risk
  • 7. Wavelet time-scale analysis of risk
  • 8. Multiresolution analysis of local risk
  • Pt. III. Term structure dynamics
  • 9. Chaos
  • nonunique equilibria processes
  • 10. Measuring term structure dynamics
  • 11. Simulation of financial turbulence
  • Pt. IV. Financial risk management
  • 12. Managing VaR and extreme values
  • App. A. Original scaling in financial economics
  • App. B. S&P500 daily closing prices for 1988.

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