Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab /
Daníelsson, Jón.
Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab / Jón Daníelsson. - Chichester : John Wiley, 2011. - 1 online resource (xxi, 274 pages) : illustrations. - Wiley finance series . - Wiley finance series. .
Formerly CIP.
Includes bibliographical references and index.
Cover; Dedication; Title page; Copyright; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.2 S & P 500 returns; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.7 Nonlinear dependence; 1.8 Copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling Volatility; 2.2 Simple volatility models; 2.3 GARCH and conditional volatility; 2.4 Maximum likelihood estimation of volatility models; 2.5 Diagnosing volatility models.
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 pres.
9781119205869 1119205867 9781119977100 111997710X 9781119977117 1119977118 9781119977124 1119977126
Financial risk management--Forecasting.
Financial risk management--Simulation methods.
BUSINESS & ECONOMICS--Insurance--Risk Assessment & Management.
Electronic books.
HG6024.3 / .D365 2011eb
658.1550112
Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab / Jón Daníelsson. - Chichester : John Wiley, 2011. - 1 online resource (xxi, 274 pages) : illustrations. - Wiley finance series . - Wiley finance series. .
Formerly CIP.
Includes bibliographical references and index.
Cover; Dedication; Title page; Copyright; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.2 S & P 500 returns; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.7 Nonlinear dependence; 1.8 Copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling Volatility; 2.2 Simple volatility models; 2.3 GARCH and conditional volatility; 2.4 Maximum likelihood estimation of volatility models; 2.5 Diagnosing volatility models.
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 pres.
9781119205869 1119205867 9781119977100 111997710X 9781119977117 1119977118 9781119977124 1119977126
Financial risk management--Forecasting.
Financial risk management--Simulation methods.
BUSINESS & ECONOMICS--Insurance--Risk Assessment & Management.
Electronic books.
HG6024.3 / .D365 2011eb
658.1550112