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.

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, statist...

Table of Contents:

• Cover; Dedication; Title page; Copyright; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.2 S & P 500 returns; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.7 Nonlinear dependence; 1.8 Copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling Volatility; 2.2 Simple volatility models; 2.3 GARCH and conditional volatility; 2.4 Maximum likelihood estimation of volatility models; 2.5 Diagnosing volatility models.