LEADER 05627nam 2200745 450 001 9910138995603321 005 20200520144314.0 010 $a1-118-57298-X 010 $a1-118-57297-1 010 $a1-118-57306-4 035 $a(CKB)2550000001134410 035 $a(EBL)1481180 035 $a(SSID)ssj0001055710 035 $a(PQKBManifestationID)11688277 035 $a(PQKBTitleCode)TC0001055710 035 $a(PQKBWorkID)11014175 035 $a(PQKB)10188132 035 $a(DLC) 2013020505 035 $a(Au-PeEL)EBL1481180 035 $a(CaPaEBR)ebr10783647 035 $a(CaONFJC)MIL534118 035 $a(OCoLC)844074322 035 $a(CaSebORM)9781118572986 035 $a(MiAaPQ)EBC1481180 035 $a(PPN)191455725 035 $a(EXLCZ)992550000001134410 100 $a20130520h20132013 uy 0 101 0 $aeng 135 $aurunu||||| 181 $ctxt 182 $cc 183 $acr 200 10$aHandbook of market risk /$fChristian Szylar, Marshall Wace LLP 205 $a1st edition 210 1$aHoboken New Jersey :$cJohn Wiley & Sons, Inc.,$d[2013] 210 4$dİ2013 215 $a1 online resource (428 p.) 225 1 $aWiley Handbooks in Financial Engineering and Econometrics 300 $aDescription based upon print version of record. 311 $a1-118-12718-8 311 $a1-306-02867-1 320 $aIncludes bibliographical references and index. 327 $aCover; 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 EMH 327 $a2.3 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 Lowest 327 $a3.9.1 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 Correlation 327 $a4.5.2 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 Portfolio 327 $a5.2 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 Factors 327 $a6.4.1 Market Factor or Intercept 330 $aA ONE-STOP GUIDE FOR THE THEORIES, APPLICATIONS, AND STATISTICAL METHODOLOGIES OF MARKET RISK Understanding and investigating the impacts of market risk on the financial landscape is crucial in preventing crises. Written by a hedge fund specialist, the Handbook of Market Risk is the comprehensive guide to the subject of market risk. Featuring a format that is accessible and convenient, the handbook employs numerous examples to underscore the application of the material in a real-world setting. The book starts by introducing the various methods to measure market ri 410 0$aWiley Handbooks in Financial Engineering and Econometrics 606 $aCapital market 606 $aFinancial risk management 606 $aRisk management 615 0$aCapital market. 615 0$aFinancial risk management. 615 0$aRisk management. 676 $a332.64/5 700 $aSzylar$b Christian$0896613 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910138995603321 996 $aHandbook of market risk$92041946 997 $aUNINA