Extreme Financial Risks PDF Download
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Author | : Yannick Malevergne |
Publisher | : Springer Science & Business Media |
Total Pages | : 312 |
Release | : 2006-01-16 |
Genre | : Mathematics |
ISBN | : 3540272666 |
Download Extreme Financial Risks Book in PDF, ePub and Kindle
"Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
Author | : Christian Walter |
Publisher | : World Scientific |
Total Pages | : 370 |
Release | : 2014-01-21 |
Genre | : Business & Economics |
ISBN | : 1783263105 |
Download Extreme Financial Risks And Asset Allocation Book in PDF, ePub and Kindle
Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.
Author | : Karamjeet Paul |
Publisher | : Elsevier |
Total Pages | : 173 |
Release | : 2013-09-16 |
Genre | : Business & Economics |
ISBN | : 0124172229 |
Download Managing Extreme Financial Risk Book in PDF, ePub and Kindle
Managing Extreme Financial Risk addresses the need for better management strategies in light of increased market risk and volatility in financial institutions' revenue models. Top officials from the financial and regulatory industries point to real corporate issues, showing how institutions react to financial crises. From first-hand experiences, they explain how effective sustainability management does not just prevent being blindsided; it also leads to proactive solutions that enhance an institution's strength to weather a sudden financial crisis, add significant shareholder value, and reduce systemic risk. Readable, coherent, and logical, Managing Extreme Financial Risk shows how extreme risk needs to be handled when the cost of being wrong means the difference between life and death of the institution. Based on the firsthand experiences and perspectives of senior-level executives Concentrates on extreme risk, when the cost of being wrong is not the loss of profits, but the death of the institution Written to be easily understood without algorithms, models, and quants
Author | : Satyajit Das |
Publisher | : FT Press |
Total Pages | : 481 |
Release | : 2011 |
Genre | : Business & Economics |
ISBN | : 0132790076 |
Download Extreme Money Book in PDF, ePub and Kindle
Everything from home mortgages to climate change has become financialized, as vast fortunes are generated by individuals who build nothing of lasting value. Das shows how "extreme money" has become ever more unreal; how "voodoo banking" continues to generate massive phony profits even now; and how a new generation of "Masters of the Universe" has come to domiinate the world.
Author | : Stephen Chan |
Publisher | : |
Total Pages | : 1 |
Release | : 2018 |
Genre | : Electronic books |
ISBN | : 9783038974406 |
Download Extreme Values and Financial Risk Book in PDF, ePub and Kindle
Since the 2008 financial crisis, modeling of the extreme values of financial risk has become important. Postgraduate programs and PhD research programs in mathematical finance are cropping up in nearly every university. Additionally, many conferences are being held annually on the topic of extreme financial risk. The aim of this Special Issue is to provide a collection of papers from leading experts in the area of extreme financial risk.
Author | : Saralees Nadarajah |
Publisher | : MDPI |
Total Pages | : 115 |
Release | : 2019-01-15 |
Genre | : Business |
ISBN | : 3038974390 |
Download Extreme Values and Financial Risk Book in PDF, ePub and Kindle
This book is a printed edition of the Special Issue "Extreme Values and Financial Risk" that was published in JRFM
Author | : Thierry Roncalli |
Publisher | : CRC Press |
Total Pages | : 987 |
Release | : 2020-04-23 |
Genre | : Business & Economics |
ISBN | : 1351385224 |
Download Handbook of Financial Risk Management Book in PDF, ePub and Kindle
Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874
Author | : Jon Danielsson |
Publisher | : John Wiley & Sons |
Total Pages | : 307 |
Release | : 2011-04-20 |
Genre | : Business & Economics |
ISBN | : 1119977118 |
Download Financial Risk Forecasting Book in PDF, ePub and Kindle
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.
Author | : Michael B. Miller |
Publisher | : John Wiley & Sons |
Total Pages | : 325 |
Release | : 2018-11-13 |
Genre | : Business & Economics |
ISBN | : 111952220X |
Download Quantitative Financial Risk Management Book in PDF, ePub and Kindle
A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models. Topics include: • Value at risk • Stress testing • Credit risk • Liquidity risk • Factor analysis • Expected shortfall • Copulas • Extreme value theory • Risk model backtesting • Bayesian analysis • . . . and much more
Author | : Thorsten Lehnert |
Publisher | : |
Total Pages | : 140 |
Release | : 2002 |
Genre | : |
ISBN | : 9789090165103 |
Download Extreme Events in Financial Risk Management Book in PDF, ePub and Kindle