Documents disponibles escrits per aquest autor

Financial risk forecasting / Jón Daníelsson (2011)

Públic ISBD Títol : Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab Tipus de document : text imprès Autors : Jón Daníelsson, Autor Editorial : Chichester : John Wiley & Sons Data de publicació : 2011 Col·lecció : Wiley finance series Nombre de pàgines : xxi, 274 p. ll. : il., gràf. Dimensions : 25 cm ISBN/ISSN/DL : 978-0-470-66943-3 Nota general : Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Risc Classificació : 601.9 Risc Resum : "Financial Risk Forecasting" is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the author's 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 focusing 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(R) 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. Vista prèvia a Google Books : http://books.google.es/books?id=_lbj47brJLAC&lpg=PA1&hl=es&pg=PA1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=3 Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab [text imprès] / Jón Daníelsson, Autor . - Chichester : John Wiley & Sons, 2011 . - xxi, 274 p. : il., gràf. ; 25 cm. - (Wiley finance series) . ISBN : 978-0-470-66943-3 Inclou índex i bibliografia Idioma : Anglès (eng) Matèries : Risc Classificació : 601.9 Risc Resum : "Financial Risk Forecasting" is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the author's 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 focusing 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(R) 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. Vista prèvia a Google Books : http://books.google.es/books?id=_lbj47brJLAC&lpg=PA1&hl=es&pg=PA1#v=onepage&q&f=false Permalink : https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=3

Exemplars

Codi de barres	Signatura topogràfica	Tipus de document	Localització	Secció	Estat	Volum	Nota
10114744	601.9 Dan	Llibre	Biblioteca IEF Ramon Trias Fargas	Biblioteca	Disponible Disponible