Market Risk Analysis
Practical Financial Econometrics v. 2
By (author) Carol Alexander
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Market Risk Analysis by Carol Alexander
Book DescriptionWritten 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.
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Book DetailsISBN: 9780470998014
(247mm x 177mm x 30mm)
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 18-Apr-2008
Country of Publication: United Kingdom
Books By Author Carol Alexander
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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.
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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
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