Download or read book Gauging Risk with Higher Moments written by Gyöngyi Bugár and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Measuring Market Risk with Value at Risk written by Pietro Penza and published by John Wiley & Sons. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

Download or read book Modeling Measuring and Managing Risk written by Georg Ch Pflug and published by World Scientific. This book was released on 2007 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first in the market to treat single- and multi-period risk measures (risk functionals) in a thorough, comprehensive manner. It combines the treatment of properties of the risk measures with the related aspects of decision making under risk. The book introduces the theory of risk measures in a mathematically sound way. It contains properties, characterizations and representations of risk functionals for single-period and multi-period activities, and also shows the embedding of such functionals in decision models and the properties of these models.

Download or read book Incorporating Higher Moments Into Value at Risk Estimation written by Arnold Polanski and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Value-at-Risk (VaR) forecasting generally relies on a parametric density function of portfolio returns that ignores higher moments or assumes them constant. In this paper, we propose a new simple approach to estimation of a portfolio VaR. We employ the Gram-Charlier expansion (GCE) augmenting the standard normal distribution with time-varying higher moments. We allow the first four moments of the GCE to depend on past information, which leads to a more accurate approximation of the tails of the distribution. The results unambiguously show that our GCE-based VaR forecasts provide accurate and robust estimates of the realised VaR, outperforming those generated by the constant-higher-moments models.

Download or read book Multi moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.

Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.

Download or read book Measuring Hedge Fund Risk with Multi Moment Risk Measures written by Zsolt Berenyi and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Alternative investments, and especially hedge funds, often have 1) non-normally distributed returns and 2) attributes like thin trading or limited liquidity, both being characteristic to this class of investments. In this paper, I propose a higher moment-based distributional risk measure, termed as variance-equivalent, which is designed to account exactly for the above features. This class of risk measures is based on the consideration that investors trade return moments within the set of available investments. This notion also provides a unique risk adjustment method, which is tested empirically on a sample of mutual and hedge funds. Comparing these moment-based risk measures with other, conventional measures of risk, such as the variance or downside deviation, they are examined for efficiency in terms of opportunity costs when using the given criteria as an ex ante decision tool for portfolio performance.

Download or read book Measuring Risk in Complex Stochastic Systems written by J. Franke and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Complex dynamic processes of life and sciences generate risks that have to be taken. The need for clear and distinctive definitions of different kinds of risks, adequate methods and parsimonious models is obvious. The identification of important risk factors and the quantification of risk stemming from an interplay between many risk factors is a prerequisite for mastering the challenges of risk perception, analysis and management successfully. The increasing complexity of stochastic systems, especially in finance, have catalysed the use of advanced statistical methods for these tasks. The methodological approach to solving risk management tasks may, however, be undertaken from many different angles. A financial insti tution may focus on the risk created by the use of options and other derivatives in global financial processing, an auditor will try to evalu ate internal risk management models in detail, a mathematician may be interested in analysing the involved nonlinearities or concentrate on extreme and rare events of a complex stochastic system, whereas a statis tician may be interested in model and variable selection, practical im plementations and parsimonious modelling. An economist may think about the possible impact of risk management tools in the framework of efficient regulation of financial markets or efficient allocation of capital.

Download or read book Risk Tolerance in Financial Decision Making written by C. Lucarelli and published by Springer. This book was released on 2010-12-03 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book sheds light on the emotional side of risk taking behaviour using an innovative cross-disciplinary approach, mixing financial competences with psychology and affective neuroscience. In doing so, it shows the implications for market participants and regulators in terms of transparency and communication between intermediaries and customers.

Download or read book The Oxford Handbook of Banking written by Allen N. Berger and published by . This book was released on 2015 with total page 1105 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Banking, Second Edition provides an overview and analysis of developments and research in banking written by leading researchers in the field. This handbook will appeal to graduate students of economics, banking and finance, academics, practitioners, regulators, and policy makers. Consequently, the book strikes a balance between abstract theory, empirical analysis, and practitioner, and policy-related material. The Handbook is split into five parts. Part I, The Theory of Banking, examines the role of banks in the wider financial system, why banks exist, how they function, and their corporate governance and risk management practices. Part II deals with Bank Operations and Performance. A range of issues are covered including bank performance, financial innovation, and technological change. Aspects relating to small business, consumer, and mortgage lending are analysed together with securitization, shadow banking, and payment systems. Part III entitled Regulatory and Policy Perspectives discusses central banking, monetary policy transmission, market discipline, and prudential regulation and supervision. Part IV of the book covers various Macroeconomic Perspectives in Banking. This part includes a discussion of systemic risk and banking and sovereign crises, the role of the state in finance and development as well as how banks influence real economic activity. The final Part V examines International Differences in Banking Structures and Environments. This part of the Handbook examines banking systems in the United States, European Union, Japan, Africa, Transition countries, and the developing nations of Asia and Latin America.

Download or read book Macrofinancial Risk Analysis written by Dale Gray and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.

Download or read book The Handbook of Risk written by IMCA and published by John Wiley & Sons. This book was released on 2003-06-03 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ultimate source for risk management information Before entering into any investment, the risk of that venture must be identified and quantified. The Handbook of Risk provides in-depth coverage of risk from every possible angle and illuminates the subject by covering the quantitative and and behavioral issues faced by investment professionals on a day-to-day basis. This valuable reference offers a prescriptive and descriptive treatment of risk management for those looking to control, contain, and minimize the risk of their investments. The Handbook of Risk is also a perfect companion for professionals looking to complete IMCA certification courses. Ben Warwick (Denver, CO) is the "Market View" columnist for worldlyinvestor.com and Chief Investment Officer of Sovereign Wealth Management, Inc. He has written numerous books, including The WorldlyInvestorGuide to Beating the Market (Wiley: 0471215317), and Searching for Alpha (Wiley: 0471348228). IMCA (The Investment Management Consultants Association) is a professional association established in 1990 that represents the investment consulting profession in the United States and Canada. Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Download or read book Professional s Handbook of Financial Risk Management written by Lev Borodovsky and published by Elsevier. This book was released on 2000-02-25 with total page 817 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professional's Handbook of Financial Risk Management is a major reference work in finance. A complete practical reference book covering all aspects of financial risk management including an in-depth look at operational risk management, regulation, risk-based capital, and risk adjusted performance measurement. The book focuses on practical financial risk management techniques and solutions, and is designed to guide the risk professional step-by-step through the implementation of a firm-wide risk management framework. This book covers the various roles of the risk management function. Rather than describing every possible role in exhaustive detail, the authors have provided a story line for each of the discussed topics, including practical issues that a risk manager needs to consider when tackling the subject, possible solutions to difficulties that might be encountered, background knowledge that is essential to know, and more intricate practices and techniques that are being used. By providing these fundamentals, the novice risk professional can gain a thorough understanding of the topic in question while the more experienced professional can use some of the more advanced concepts within the book. Thus the book can be used to broaden your own knowledge of the risk world, both by familiarizing yourself with areas in which you lack experience and by enhancing your knowledge in areas that you already have expertise. All authors are leaders in their field who between them have the expertise and knowledge, both practical and theoretical, to produce this definitive risk management guide. The editors of this book, Marc Lore and Lev Borodovsky, are senior financial risk managers at Sanwa Bank (International) London, and Credit Suisse First Boston, USA respectively. They also run The Global Association of Risk Professionals (GARP), the industry association for financial risk management practitioners and researchers. - Endorsed by GARP - Global Association of Risk Professionals - Authored and edited by leading financial markets risk professionals - International in coverage; the concepts and methods covered are not specific to any country or institution, but rather to the risk management profession as a whole

Download or read book Risk Modeling Concepts Relating to the Design and Rating of Agricultural Insurance Contracts written by Barry K. Goodwin and published by World Bank Publications. This book was released on 2004 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Goodwin and Mahul identify the key issues and concerns that arise in the design and rating of crop yield insurance plans, with a particular emphasis on production risk modeling. The authors show how the availability of data shapes the insurance scheme and the ratemaking procedures. Relying on the U.S. experience and recent developments in statistics and econometrics, they review risk modeling concepts and provide technical guidelines in the development of crop insurance plans. Finally, they show how these risk modeling techniques can be extended to price risk in order to develop crop revenue insurance schemes. This paper-- a product of the Financial Sector Operations and Policy Department-- is part of a larger effort in the department to develop effective risk management and financial products for agriculture"-- World Bank web site.

Download or read book The Oxford Handbook of Banking Second Edition written by Allen N. Berger and published by OUP Oxford. This book was released on 2014-11-27 with total page 1105 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Banking, Second Edition provides an overview and analysis of developments and research in banking written by leading researchers in the field. This handbook will appeal to graduate students of economics, banking and finance, academics, practitioners, regulators, and policy makers. Consequently, the book strikes a balance between abstract theory, empirical analysis, and practitioner, and policy-related material. The Handbook is split into five parts. Part I, The Theory of Banking, examines the role of banks in the wider financial system, why banks exist, how they function, and their corporate governance and risk management practices. Part II deals with Bank Operations and Performance. A range of issues are covered including bank performance, financial innovation, and technological change. Aspects relating to small business, consumer, and mortgage lending are analysed together with securitization, shadow banking, and payment systems. Part III entitled Regulatory and Policy Perspectives discusses central banking, monetary policy transmission, market discipline, and prudential regulation and supervision. Part IV of the book covers various Macroeconomic Perspectives in Banking. This part includes a discussion of systemic risk and banking and sovereign crises, the role of the state in finance and development as well as how banks influence real economic activity. The final Part V examines International Differences in Banking Structures and Environments. This part of the Handbook examines banking systems in the United States, European Union, Japan, Africa, Transition countries, and the developing nations of Asia and Latin America.

Download or read book Measuring and Managing Information Risk written by Jack Freund and published by Butterworth-Heinemann. This book was released on 2014-08-23 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the factor analysis of information risk (FAIR) methodology developed over ten years and adopted by corporations worldwide, Measuring and Managing Information Risk provides a proven and credible framework for understanding, measuring, and analyzing information risk of any size or complexity. Intended for organizations that need to either build a risk management program from the ground up or strengthen an existing one, this book provides a unique and fresh perspective on how to do a basic quantitative risk analysis. Covering such key areas as risk theory, risk calculation, scenario modeling, and communicating risk within the organization, Measuring and Managing Information Risk helps managers make better business decisions by understanding their organizational risk. - Uses factor analysis of information risk (FAIR) as a methodology for measuring and managing risk in any organization. - Carefully balances theory with practical applicability and relevant stories of successful implementation. - Includes examples from a wide variety of businesses and situations presented in an accessible writing style.

Download or read book Electrical Measuring Instruments and Measurements written by S.C. Bhargava and published by CRC Press. This book was released on 2012-12-27 with total page 700 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, written for the benefit of engineering students and practicing engineers alike, is the culmination of the author's four decades of experience related to the subject of electrical measurements, comprising nearly 30 years of experimental research and more than 15 years of teaching at several engineering institutions. The unique feature of this book, apart from covering the syllabi of various universities, is the style of presentation of all important aspects and features of electrical measurements, with neatly and clearly drawn figures, diagrams and colour and b/w photos that illustrate details of instruments among other things, making the text easy to follow and comprehend. Enhancing the chapters are interspersed explanatory comments and, where necessary, footnotes to help better understanding of the chapter contents. Also, each chapter begins with a "recall" to link the subject matter with the related science or phenomenon and fundamental background. The first few chapters of the book comprise "Units, Dimensions and Standards"; "Electricity, Magnetism and Electromagnetism" and "Network Analysis". These topics form the basics of electrical measurements and provide a better understanding of the main topics discussed in later chapters. The last two chapters represent valuable assets of the book, and relate to (a) "Magnetic Measurements", describing many unique features not easily available elsewhere, a good study of which is essential for the design and development of most electric equipment – from motors to transformers and alternators, and (b) "Measurement of Non-electrical Quantities", dealing extensively with the measuring techniques of a number of variables that constitute an important requirement of engineering measurement practices. The book is supplemented by ten appendices covering various aspects dealing with the art and science of electrical measurement and of relevance to some of the topics in main chapters. Other useful features of the book include an elaborate chapter-by-chapter list of symbols, worked examples, exercises and quiz questions at the end of each chapter, and extensive authors' and subject index. This book will be of interest to all students taking courses in electrical measurements as a part of a B.Tech. in electrical engineering. Professionals in the field of electrical engineering will also find the book of use.