TY  - BOOK
AU  - Daníelsson,Jón
TI  - Financial risk forecasting: the theory and practice of forecasting market risk, with implementation in R and Matlab 
T2  - Wiley finance series
SN  - 9781119205869
AV  - HG6024.3 .D365 2011eb
U1  - 658.1550112 22
PY  - 2011///
CY  - Chichester
PB  - John Wiley
KW  - Financial risk management
KW  - Forecasting
KW  - Simulation methods
KW  - BUSINESS & ECONOMICS
KW  - Insurance
KW  - Risk Assessment & Management
KW  - bisacsh
KW  - Electronic books
N1  - 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
N2  - 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
UR  - http://onlinelibrary.wiley.com/book/10.1002/9781119205869
ER  -