Download or read book Analysis of Financial Risks in a GARCH Framework written by Monica Ahlstedt and published by . This book was released on 1998 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sammandrag.

Download or read book Analysis of Financial Risks in a GARCH Framework written by Monica Ahlstedt and published by . This book was released on 1998 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sammandrag.

Download or read book Market Risk Analysis Practical Financial Econometrics written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-05-27 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written 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.

Download or read book Financial Risk Management and Modeling written by Constantin Zopounidis and published by Springer Nature. This book was released on 2021-09-13 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.

Download or read book Scenario Analysis in Risk Management written by Bertrand K. Hassani and published by Springer. This book was released on 2016-10-26 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on identifying and explaining the key determinants of scenario analysis in the context of operational risk, stress testing and systemic risk, as well as management and planning. Each chapter presents alternative solutions to perform reliable scenario analysis. The author also provides technical notes and describes applications and key characteristics for each of the solutions. In addition, the book includes a section to help practitioners interpret the results and adjust them to real-life management activities. Methodologies, including those derived from consensus strategies, extreme value theory, Bayesian networks, Neural networks, Fault Trees, frequentist statistics and data mining are introduced in such a way as to make them understandable to readers without a quantitative background. Particular emphasis is given to the added value of the implementation of these methodologies.

Download or read book Understanding Financial Risk Management written by Angelo Corelli and published by Emerald Group Publishing. This book was released on 2019-10-28 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding Financial Risk Management provides an innovative approach to financial risk management. With a broad view of theory and the industry, it aims at being a friendly, but serious, starting point for those who encounter risk management for the first time, as well as for more advanced users.

Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Risk Estimation on High Frequency Financial Data written by Florian Jacob and published by Springer. This book was released on 2015-03-28 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt: By studying the ability of the Normal Tempered Stable (NTS) model to fit the statistical features of intraday data at a 5 min sampling frequency, Florian Jacobs extends the research on high frequency data as well as the appliance of tempered stable models. He examines the DAX30 returns using ARMA-GARCH NTS, ARMA-GARCH MNTS (Multivariate Normal Tempered Stable) and ARMA-FIGARCH (Fractionally Integrated GARCH) NTS. The models will be benchmarked through their goodness of fit and their VaR and AVaR, as well as in an historical Backtesting.

Download or read book Financial Risk Management written by Jimmy Skoglund and published by John Wiley & Sons. This book was released on 2015-09-08 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.

Download or read book Advances in Financial Risk Management written by Jonathan A. Batten and published by Springer. This book was released on 2015-12-04 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.

Download or read book An Empirical Analysis of the Relationship Between the Value Premium and Financial Distress Within a GARCH Framework written by Mohammed Elgammal and published by . This book was released on 2010 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis provides an empirical analysis of the relationship between the value premium and financial distress. Measures of leverage and default are used as proxies for financial distress. Using both an international data set, 1991 to 2006 and a long time series data set for the United States, 1927 - 2007, the thesis adds knowledge about the role of the value premium in asset pricing theory. Generalised autoregressive conditional heteroscedastic modelling (GARCH) is used and information gathered on the volatility of the value premium. A vector autoregressive (VAR) framework and Granger Causality tests are utilised in order to offer a deeper examination of the relationship between risk premium and economic activity. The results add further evidence to support the view that the value premium appears to be linked to variables associated with financial distress, although it is noted that this does not necessarily mean that participants in financial markets behave rationally.

Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School

Download or read book Advancing Financial Risk Estimates by Incorporating GARCH Into Value at Risk written by Bora Oskay and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper revisits the performance of frequently used risk forecasting methods, such as the Value-at-Risk models. The aim is to analyze its performance, and mitigate its pitfalls by incorporating conditional variance estimates, as generated by a GARCH model. Notably, this paper tests several variants of the GARCH family with the use of several underlying distributions in order to create a model with the best forecasting ability on the MSCI index. Substituting the obtained volatility estimates in a VaR model should eventually increase the forecasting ability beyond a traditional VaR method. Finally, the paper finds that incorporating volatility estimates as generated by AVGARCH(2,2) with a JSU distribution yields out-of-sample VaR estimates which are superior to traditional methods at high confidence levels. Consequently, valuable insights and potential real life application of the proposed model is conceivable.

Download or read book The Shape of the Risk Premium written by Benoît Perron and published by . This book was released on 2004 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Risk Management with Bayesian Estimation of GARCH Models written by David Ardia and published by Springer Science & Business Media. This book was released on 2008-05-08 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.

Download or read book Practical Volatility and Correlation Modeling for Financial Market Risk Management written by Torben G. Andersen and published by . This book was released on 2005 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: "What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, the demands of real-world risk management in financial institutions--in particular, real-time risk tracking in very high-dimensional situations--impose strict limits on model complexity. Hence we stress parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds"--National Bureau of Economic Research web site.