Econometric Analysis of Risk Models
Author | : Rulon Pope |
Publisher | : |
Total Pages | : 16 |
Release | : 1978 |
Genre | : |
ISBN | : |
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Author | : Rulon Pope |
Publisher | : |
Total Pages | : 16 |
Release | : 1978 |
Genre | : |
ISBN | : |
Author | : A. R. Pagan |
Publisher | : London : Centre for Decision Sciences and Econometrics, University of Western Ontario |
Total Pages | : 52 |
Release | : 1986 |
Genre | : Econometric models |
ISBN | : |
Author | : Carol Alexander |
Publisher | : John Wiley & Sons |
Total Pages | : 437 |
Release | : 2008-05-27 |
Genre | : Business & Economics |
ISBN | : 0470998016 |
Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM. Empirical examples and case studies specific to this volume include: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.
Author | : M. Ishaq Bhatti |
Publisher | : Routledge |
Total Pages | : 286 |
Release | : 2017-03-02 |
Genre | : Business & Economics |
ISBN | : 135194195X |
In recent years econometricians have examined the problems of diagnostic testing, specification testing, semiparametric estimation and model selection. In addition researchers have considered whether to use model testing and model selection procedures to decide the models that best fit a particular dataset. This book explores both issues with application to various regression models, including the arbitrage pricing theory models. It is ideal as a reference for statistical sciences postgraduate students, academic researchers and policy makers in understanding the current status of model building and testing techniques.
Author | : Carol Alexander |
Publisher | : John Wiley & Sons |
Total Pages | : 1691 |
Release | : 2009-02-24 |
Genre | : Business & Economics |
ISBN | : 0470997990 |
Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.
Author | : Gregory Connor |
Publisher | : Princeton University Press |
Total Pages | : 400 |
Release | : 2010-03-15 |
Genre | : Business & Economics |
ISBN | : 1400835291 |
Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Author | : Kyriaki Kosmidou |
Publisher | : Springer Science & Business Media |
Total Pages | : 127 |
Release | : 2010-07-25 |
Genre | : Business & Economics |
ISBN | : 0387766804 |
Financial globalization has increased the significance of methods used in the evaluation of country risk, one of the major research topics in economics and finance. Written by experts in the fields of multicriteria methodology, credit risk assessment, operations research, and financial management, this book develops a comprehensive framework for evaluating models based on several classification techniques that emerge from different theoretical directions. This book compares different statistical and data mining techniques, noting the advantages of each method, and introduces new multicriteria methodologies that are important to country risk modeling. This work is a useful toolkit for economists, financial managers, bank managers, operations researchers, management scientists, and risk analysts. Moreover, the book can also be used as a supplementary textbook for graduate courses in finance and financial risk management.
Author | : G. Gregoriou |
Publisher | : Springer |
Total Pages | : 277 |
Release | : 2010-12-13 |
Genre | : Business & Economics |
ISBN | : 0230298109 |
This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Author | : Asian Development Bank |
Publisher | : |
Total Pages | : 124 |
Release | : 2002 |
Genre | : Business & Economics |
ISBN | : |
Aiming to support the development of a framework for the analysis of risk in project design and economic analysis, this handbook outlines technical approaches to modeling risk. Also summarized is the nature and practice of sensitivity analysis in dealing with uncertain outcomes as well as the principles to consider in typical risk analysis situations sector by sector. Case studies are included to demonstrate the application of quantitative risk analysis using actual Asian Development Bank projects to help improve project design and quality. Handbook users will learn to identify factors that are the key determinants of project outcomes, determine the likelihood of an individual project's returns being unacceptable, and design measures to mitigate the risks arising from the identified key factors.
Author | : Carol Alexander |
Publisher | : John Wiley & Sons |
Total Pages | : 503 |
Release | : 2009-02-09 |
Genre | : Business & Economics |
ISBN | : 0470997885 |
Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.