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Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and MATLAB - Jon Danielsson
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2016, ISBN: 0470669438

[SR: 157456], Capa dura, [EAN: 9780470669433], John Wiley & Sons, John Wiley & Sons, Book, [PU: John Wiley & Sons], 2016-07-11, John Wiley & Sons, 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, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in t, 13983212011, Gestão de Risco, 13983208011, Seguro, 13983171011, Indústrias e Profissões, 7882717011, Administração, Negócios e Economia, 7882627011, Inglês e Outras Línguas, 7841278011, Categorias, 6740748011, Livros, 8169562011, Custom Stores, 8169627011, Busca Avançada, 13420260011, Volta às Aulas, 8169561011, Specialty Stores, 6740748011, Livros

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Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab - Jon Danielsson
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ISBN: 0470669438

[SR: 907889], Hardcover, [EAN: 9780470669433], Wiley, Wiley, Book, [PU: Wiley], Wiley, 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, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in t, 2647, Risk Management, 2638, Insurance, 3, Business & Money, 1000, Subjects, 283155, Books

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Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab (The Wiley Finance Series) - Jon Danielsson
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Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab (The Wiley Finance Series) - gebunden oder broschiert

2011, ISBN: 0470669438

[SR: 58983], Hardcover, [EAN: 9780470669433], John Wiley & Sons, John Wiley & Sons, Book, [PU: John Wiley & Sons], 2011-03-25, John Wiley & Sons, Financial Risk Forecasting, 268153, Economics, 268156, Econometrics, 268159, Economic Conditions, 268160, Economic Policy & Development, 506824, Economic Systems, 268163, History, 268164, International Economics, 268170, Labour, 268173, Macroeconomics, 268176, Microeconomics, 268177, Political Economy, 268178, Theory & Philosophy, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 659984, Forecasting, 268179, Professional Finance, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 268183, Insurance, 268179, Professional Finance, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books, 659996, Risk Management, 268179, Professional Finance, 68, Business, Finance & Law, 1025612, Subjects, 266239, Books

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Financial Risk Forecasting : The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab - Jonathan E. Martin
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Financial Risk Forecasting : The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab - Taschenbuch

ISBN: 9780470669433

ID: 9780470669433

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk.; Paperback \ Jonathan E. Martin; Reference > Research & information: general > Decision theory: general > Risk assessment, John Wiley and Sons Ltd

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Financial Risk Forecasting - Jon Danielsson
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Financial Risk Forecasting - gebunden oder broschiert

2011, ISBN: 9780470669433

ID: 12890773

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Details zum Buch
Financial Risk Forecasting

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market and credit risks. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. The book first provides an introduction to the financial markets and market process, and the nature of risk in this environment. It then introduces risk measures such as VaR, risk in derivatives, the properties of market prices, volatility, backtesting, risk management and the regulation of risk, extreme value theory and credit risks, and finally, looks at financial crises and how the nature of risk changes with these crises. It will act as a complete guide to the core quantitative competencies required to understand and manage risks in today's financial climate. In addition, the author provides source code in both MATLAB and R, two of the most commonly used modeling programs with which the reader can implement the models illustrated in the book.

Detailangaben zum Buch - Financial Risk Forecasting


EAN (ISBN-13): 9780470669433
ISBN (ISBN-10): 0470669438
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2011
Herausgeber: Wiley John + Sons
274 Seiten
Gewicht: 0,658 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 30.09.2009 08:23:42
Buch zuletzt gefunden am 01.11.2017 14:28:55
ISBN/EAN: 0470669438

ISBN - alternative Schreibweisen:
0-470-66943-8, 978-0-470-66943-3


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