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The Wiley Finance Ser.: Finanzrisikopr
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- Sofort-KaufenThe Wiley Finance Ser.: Finanzrisikoprognose : Theorie und Praxis der
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eBay-Artikelnr.:116831466482
Artikelmerkmale
- Artikelzustand
- Educational Level
- Adult & Further Education
- Level
- Advanced, Business
- ISBN
- 9780470669433
Über dieses Produkt
Product Identifiers
Publisher
Wiley & Sons, Incorporated, John
ISBN-10
0470669438
ISBN-13
9780470669433
eBay Product ID (ePID)
92334429
Product Key Features
Number of Pages
304 Pages
Language
English
Publication Name
Financial Risk Forecasting : The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab
Subject
Investments & Securities / Futures, Finance / Financial Risk Management, Insurance / Risk Assessment & Management
Publication Year
2011
Type
Textbook
Subject Area
Business & Economics
Series
The Wiley Finance Ser.
Format
Hardcover
Dimensions
Item Height
0.8 in
Item Weight
23.7 Oz
Item Length
9.9 in
Item Width
6.9 in
Additional Product Features
Intended Audience
Scholarly & Professional
Illustrated
Yes
Synopsis
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk., 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 Jn Danelsson, 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 focusing 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 the book., 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 the book.
LC Classification Number
HD61
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An Easy Choice
100% positive Bewertungen•455 Artikel verkauft
Angemeldet als privater VerkäuferDaher finden verbraucherschützende Vorschriften, die sich aus dem EU-Verbraucherrecht ergeben, keine Anwendung. Der eBay-Käuferschutz gilt dennoch für die meisten Käufe.
Verkäuferbewertungen (124)
- o***o (264)- Bewertung vom Käufer.Letztes JahrBestätigter KaufA+ seller. Item as described, prompt shipping.1st Print - Compact City: A Plan for a Liveable Urban Environment - Dantzig 1974 (Nr. 115854633591)
- *****- Bewertung vom Käufer.Letzte 6 MonateBestätigter KaufAs described well packaged
- -***d (359)- Bewertung vom Käufer.Letzter MonatBestätigter KaufGreat seller! Many Thanks!