05628nam 2200745 450 991080883830332120200520144314.01-118-57298-X1-118-57297-11-118-57306-4(CKB)2550000001134410(EBL)1481180(SSID)ssj0001055710(PQKBManifestationID)11688277(PQKBTitleCode)TC0001055710(PQKBWorkID)11014175(PQKB)10188132(DLC) 2013020505(Au-PeEL)EBL1481180(CaPaEBR)ebr10783647(CaONFJC)MIL534118(OCoLC)844074322(CaSebORM)9781118572986(MiAaPQ)EBC1481180(PPN)191455725(EXLCZ)99255000000113441020130520h20132013 uy 0engurunu|||||txtccrHandbook of market risk /Christian Szylar, Marshall Wace LLP1st editionHoboken New Jersey :John Wiley & Sons, Inc.,[2013]©20131 online resource (428 p.)Wiley Handbooks in Financial Engineering and EconometricsDescription based upon print version of record.1-118-12718-8 1-306-02867-1 Includes bibliographical references and index.Cover; Title page; Copyright page; Dedication; Contents; Foreword; Acknowledgments; About the Author; Introduction; Chapter One: Introduction to Financial Markets; 1.1 The Money Market; 1.2 The Capital Market; 1.2.1 The Bond Market; 1.2.2 The Stock Market; 1.3 The Futures and Options Market; 1.4 The Foreign Exchange Market; 1.5 The Commodity Market; Further Reading; Chapter Two: The Efficient Markets Theory; 2.1 Assumptions behind a Perfectly Competitive Market; 2.2 The Efficient Market Hypothesis; 2.2.1 Strong EMH; 2.2.2 Semi-Strong EMH; 2.2.3 Weak-Form EMH2.3 Critics of Efficient Markets Theory 2.4 Development of Behavioral Finance; 2.5 Beating the Market: Fundamental versus Technical; 2.5.1 Fundamental Methods; 2.5.2 Technical Analysis; Further Reading; Chapter Three: Return and Volatility Estimates; 3.1 Standard Deviation; 3.2 Standard Deviation with a Moving Observation Window; 3.3 Exponentially Weighted Moving Average (EWMA); 3.4 Double (Holt) Exponential Smoothing Model (DES); 3.5 Principal Component Analysis (PCA) Models; 3.6 The VIX; 3.7 Geometric Brownian Motion Process; 3.8 GARCH; 3.9 Estimator Using the Highest and Lowest3.9.1 Parkinson Estimator 3.9.2 Rogers Satchell Estimator; 3.9.3 Garman-Klass Estimator; Further Reading; Chapter Four: Diversification, Portfolios of Risky Assets, and the Efficient Frontier; 4.1 Variance and Covariance; 4.2 Two-Asset Portfolio: Expected Return and Risk; 4.3 Correlation Coefficient; 4.3.1 Correlation Coefficient and Its Impact on Portfolio Risk; 4.3.2 The Number of Assets in a Portfolio and Its Impact on Portfolio Risk; 4.3.3 The Effect of Diversification on Risk; 4.4 The Efficient Frontier; 4.5 Correlation Regime Shifts and Correlation Estimates; 4.5.1 Increased Correlation4.5.2 Severity of Correlation Changes 4.6 Correlation Estimates; 4.6.1 Copulas; 4.6.2 Moving Average; 4.6.3 Correlation Estimators in Matrix Notation; 4.6.4 Bollerslev's Constant Conditional Correlation Model; 4.6.5 Engle's Dynamic Conditional Correlation Model; 4.6.6 Estimating the Parameters of the DCC Model; 4.6.7 Implementing the DCC Model; Further Reading; Chapter Five: The Capital Asset Pricing Model and the Arbitrage Pricing Theory; 5.1 Implications of the CAPM Assumptions; 5.1.1 The Same Linear Efficient Frontier for All Investors; 5.1.2 Everyone Holds the Market Portfolio5.2 The Separation Theorem 5.3 Relationships Defined by the CAPM; 5.3.1 The Capital Market Line; 5.3.2 The Security Market Line; 5.4 Interpretation of Beta; 5.5 Determining the Level of Diversification of a Portfolio; 5.6 Investment Implications of the CAPM; 5.7 Introduction to the Arbitrage Pricing Theory (APT); Further Reading; Chapter Six: Market Risk and Fundamental Multifactors Model; 6.1 Why a Multifactors Model?; 6.2 The Returns Model; 6.2.1 The Least-Squares Regression Solution; 6.2.2 Statistical Approaches; 6.2.3 Hybrid Solutions; 6.3 Estimation Universe; 6.4 Model Factors6.4.1 Market Factor or InterceptA ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk. Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market riWiley Handbooks in Financial Engineering and EconometricsCapital marketFinancial risk managementRisk managementCapital market.Financial risk management.Risk management.332.64/5Szylar Christian1613930MiAaPQMiAaPQMiAaPQBOOK9910808838303321Handbook of market risk4051434UNINA