Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab /

• Main Author: Daníelsson, Jón
• Format: eBook
• Language: English
• Published: Chichester : John Wiley, 2011.
• Series: Wiley finance series.
• Subjects: Financial risk management > Forecasting.; Financial risk management > Simulation methods.; BUSINESS & ECONOMICS > Insurance > Risk Assessment & Management.; Electronic books.
• Item Description: Formerly CIP.
• Physical Description: 1 online resource (xxi, 274 pages) : illustrations.
• Bibliography: Includes bibliographical references and index.
• ISBN: 9781119205869; 1119205867; 9781119977100; 111997710X; 9781119977117; 1119977118; 9781119977124; 1119977126
• DOI: 10.1002/9781119205869

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.