Market Risk Analysis
Value at Risk Models
By (author) Carol Alexander
Normal Price: $145.95
Your Price: $131.36 AUD, inc. GST
Shipping: $7.95 per order
You Save: $14.59! (10% off normal price)
Plus...earn $6.57 in Boomerang Bucks
Availability: Available to Backorder, No Due Date for Supply
Market Risk Analysis by Carol Alexander
Book DescriptionWritten 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.
Buy Market Risk Analysis book by Carol Alexander from Australia's Online Bookstore, Boomerang Books.
Book DetailsISBN: 9780470997888
(249mm x 173mm x 33mm)
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 9-Jan-2009
Country of Publication: United Kingdom
Books By Author Carol Alexander
Bessie Coleman, Hardback (February 2016)
Meet Bessie Coleman. She was the first African-American woman to earn her international pilots license. And she did so against great odds. No one in America was willing to teach a black woman to fly. Still, Bessie never gave up on her dream of becoming a world-famous aviator.
Introduction to Value-at-Risk, Paperback (April 2013)
The value-at-risk measurement methodology is a widely-used tool in financial market risk management.
Market Risk Analysis, Hardback (January 2009)
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.
Operational Risk, Paperback (March 2003)» View all books by Carol Alexander
A comprehensive and innovative look at how to protect financial institutions from operational risk.
» Have you read this book? We'd like to know what you think about it - write a review about Market Risk Analysis book by Carol Alexander and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a member - it's free to sign up!)
Author Biography - Carol Alexander
Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager's International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis (John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager's Handbook (McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world's leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander
Bestselling Books: Our Current Bestsellers | Australia's Hottest 1000 Books | Bestselling Fiction | Bestselling Crime Mysteries and Thrillers | Bestselling Non Fiction Books | Bestselling Sport Books | Bestselling Gardening and Handicrafts Books | Bestselling Biographies | Bestselling Food and Drink | Bestselling History | Bestselling Travel Books | Bestselling School Textbooks & Study Guides | Bestselling Children's General Non-Fiction | Bestselling Young Adult Fiction | Bestselling Children's Fiction | Bestselling Picture Books | Top 100 US Bestsellers
Phone: 1300 36 33 32 (9am-5pm Mon-Fri AEST) - International: +61 2 9960 7998 - Online Form
Address: Boomerang Books, 878 Military Road, Mosman Junction, NSW, 2088
© 2003-2016. All Rights Reserved. Eclipse Commerce Pty Ltd - ACN: 122 110 687 - ABN: 49 122 110 687
For every $20 you spend on books, you will receive $1 in Boomerang Bucks loyalty dollars. You can use your Boomerang Bucks as a credit towards a future purchase from Boomerang Books. Note that you must be a Member (free to sign up) and that conditions do apply.