Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab / Jón Daníelsson.
By: Daníelsson, Jón.Material type: BookSeries: Wiley finance series: Publisher: Chichester : John Wiley, 2011Description: 1 online resource (xxi, 274 pages) : illustrations.Content type: text Media type: computer Carrier type: online resourceISBN: 9781119205869; 1119205867; 9781119977100; 111997710X; 9781119977117; 1119977118; 9781119977124; 1119977126.Subject(s): Financial risk management -- Forecasting | Financial risk management -- Simulation methods | BUSINESS & ECONOMICS -- Insurance -- Risk Assessment & ManagementGenre/Form: Electronic books.Additional physical formats: Print version:: Financial risk forecasting.DDC classification: 658.1550112 Online resources: Wiley Online Library
Includes bibliographical references and index.
Formerly CIP. Uk
Print version record.
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.
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.