Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
Financial risk forecasting [[electronic resource] ] : the theory and practice of forecasting market risk, with implementation in R and Matlab / / Jón Daníelsson
| Financial risk forecasting [[electronic resource] ] : the theory and practice of forecasting market risk, with implementation in R and Matlab / / Jón Daníelsson |
| Autore | Daníelsson Jón |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina |
658.155
658.1550112 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial risk management - Forecasting
Financial risk management - Simulation methods R (Computer program language) Gestió financera Gestió del risc Previsió Mètodes de simulació |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-97711-8
1-119-20586-7 1-283-40512-1 9786613405128 1-119-97710-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Risk Forecasting; Contents; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.1.1 Stock indices; 1.1.2 Prices and returns; 1.2 S&P 500 returns; 1.2.1 S&P 500 statistics; 1.2.2 S&P 500 statistics in R and Matlab; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.4.1 Volatility clusters; 1.4.2 Volatility clusters and the ACF; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.6.1 Statistical tests for fat tails; 1.6.2 Graphical methods for fat tail analysis
1.6.3 Implications of fat tails in finance1.7 Nonlinear dependence; 1.7.1 Sample evidence of nonlinear dependence; 1.7.2 Exceedance correlations; 1.8 Copulas; 1.8.1 The Gaussian copula; 1.8.2 The theory of copulas; 1.8.3 An application of copulas; 1.8.4 Some challenges in using copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling volatility; 2.2 Simple volatility models; 2.2.1 Moving average models; 2.2.2 EWMA model; 2.3 GARCH and conditional volatility; 2.3.1 ARCH; 2.3.2 GARCH; 2.3.3 The ''memory'' of a GARCH model; 2.3.4 Normal GARCH; 2.3.5 Student-t GARCH 2.3.6 (G)ARCH in mean2.4 Maximum likelihood estimation of volatility models; 2.4.1 The ARCH(1) likelihood function; 2.4.2 The GARCH(1,1) likelihood function; 2.4.3 On the importance of σ1; 2.4.4 Issues in estimation; 2.5 Diagnosing volatility models; 2.5.1 Likelihood ratio tests and parameter significance; 2.5.2 Analysis of model residuals; 2.5.3 Statistical goodness-of-fit measures; 2.6 Application of ARCH and GARCH; 2.6.1 Estimation results; 2.6.2 Likelihood ratio tests; 2.6.3 Residual analysis; 2.6.4 Graphical analysis; 2.6.5 Implementation; 2.7 Other GARCH-type models 2.7.1 Leverage effects and asymmetry2.7.2 Power models; 2.7.3 APARCH; 2.7.4 Application of APARCH models; 2.7.5 Estimation of APARCH; 2.8 Alternative volatility models; 2.8.1 Implied volatility; 2.8.2 Realized volatility; 2.8.3 Stochastic volatility; 2.9 Summary; 3 Multivariate volatility models; 3.1 Multivariate volatility forecasting; 3.1.1 Application; 3.2 EWMA; 3.3 Orthogonal GARCH; 3.3.1 Orthogonalizing covariance; 3.3.2 Implementation; 3.3.3 Large-scale implementations; 3.4 CCC and DCC models; 3.4.1 Constant conditional correlations (CCC); 3.4.2 Dynamic conditional correlations (DCC) 3.4.3 Implementation3.5 Estimation comparison; 3.6 Multivariate extensions of GARCH; 3.6.1 Numerical problems; 3.6.2 The BEKK model; 3.7 Summary; 4 Risk measures; 4.1 Defining and measuring risk; 4.2 Volatility; 4.3 Value-at-risk; 4.3.1 Is VaR a negative or positive number?; 4.3.2 The three steps in VaR calculations; 4.3.3 Interpreting and analyzing VaR; 4.3.4 VaR and normality; 4.3.5 Sign of VaR; 4.4 Issues in applying VaR; 4.4.1 VaR is only a quantile; 4.4.2 Coherence; 4.4.3 Does VaR really violate subadditivity?; 4.4.4 Manipulating VaR; 4.5 Expected shortfall 4.6 Holding periods, scaling and the square root of time |
| Record Nr. | UNINA-9910139552503321 |
Daníelsson Jón
|
||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab / / Jón Daníelsson
| Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab / / Jón Daníelsson |
| Autore | Daníelsson Jón |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, West Sussex, U.K., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina |
658.155
658.1550112 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial risk management - Forecasting
Financial risk management - Simulation methods R (Computer program language) Gestió financera Gestió del risc Previsió Mètodes de simulació |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-119-97711-8
1-119-20586-7 1-283-40512-1 9786613405128 1-119-97710-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Financial Risk Forecasting; Contents; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.1.1 Stock indices; 1.1.2 Prices and returns; 1.2 S&P 500 returns; 1.2.1 S&P 500 statistics; 1.2.2 S&P 500 statistics in R and Matlab; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.4.1 Volatility clusters; 1.4.2 Volatility clusters and the ACF; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.6.1 Statistical tests for fat tails; 1.6.2 Graphical methods for fat tail analysis
1.6.3 Implications of fat tails in finance1.7 Nonlinear dependence; 1.7.1 Sample evidence of nonlinear dependence; 1.7.2 Exceedance correlations; 1.8 Copulas; 1.8.1 The Gaussian copula; 1.8.2 The theory of copulas; 1.8.3 An application of copulas; 1.8.4 Some challenges in using copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling volatility; 2.2 Simple volatility models; 2.2.1 Moving average models; 2.2.2 EWMA model; 2.3 GARCH and conditional volatility; 2.3.1 ARCH; 2.3.2 GARCH; 2.3.3 The ''memory'' of a GARCH model; 2.3.4 Normal GARCH; 2.3.5 Student-t GARCH 2.3.6 (G)ARCH in mean2.4 Maximum likelihood estimation of volatility models; 2.4.1 The ARCH(1) likelihood function; 2.4.2 The GARCH(1,1) likelihood function; 2.4.3 On the importance of σ1; 2.4.4 Issues in estimation; 2.5 Diagnosing volatility models; 2.5.1 Likelihood ratio tests and parameter significance; 2.5.2 Analysis of model residuals; 2.5.3 Statistical goodness-of-fit measures; 2.6 Application of ARCH and GARCH; 2.6.1 Estimation results; 2.6.2 Likelihood ratio tests; 2.6.3 Residual analysis; 2.6.4 Graphical analysis; 2.6.5 Implementation; 2.7 Other GARCH-type models 2.7.1 Leverage effects and asymmetry2.7.2 Power models; 2.7.3 APARCH; 2.7.4 Application of APARCH models; 2.7.5 Estimation of APARCH; 2.8 Alternative volatility models; 2.8.1 Implied volatility; 2.8.2 Realized volatility; 2.8.3 Stochastic volatility; 2.9 Summary; 3 Multivariate volatility models; 3.1 Multivariate volatility forecasting; 3.1.1 Application; 3.2 EWMA; 3.3 Orthogonal GARCH; 3.3.1 Orthogonalizing covariance; 3.3.2 Implementation; 3.3.3 Large-scale implementations; 3.4 CCC and DCC models; 3.4.1 Constant conditional correlations (CCC); 3.4.2 Dynamic conditional correlations (DCC) 3.4.3 Implementation3.5 Estimation comparison; 3.6 Multivariate extensions of GARCH; 3.6.1 Numerical problems; 3.6.2 The BEKK model; 3.7 Summary; 4 Risk measures; 4.1 Defining and measuring risk; 4.2 Volatility; 4.3 Value-at-risk; 4.3.1 Is VaR a negative or positive number?; 4.3.2 The three steps in VaR calculations; 4.3.3 Interpreting and analyzing VaR; 4.3.4 VaR and normality; 4.3.5 Sign of VaR; 4.4 Issues in applying VaR; 4.4.1 VaR is only a quantile; 4.4.2 Coherence; 4.4.3 Does VaR really violate subadditivity?; 4.4.4 Manipulating VaR; 4.5 Expected shortfall 4.6 Holding periods, scaling and the square root of time |
| Record Nr. | UNINA-9910811774203321 |
|
Daníelsson Jón
|
||
| Chichester, West Sussex, U.K., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Global financial systems : stability and risk / / Jon Danielsson
| Global financial systems : stability and risk / / Jon Danielsson |
| Autore | Daníelsson Jón |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Harlow, England : , : Pearson, , [2013] |
| Descrizione fisica | 1 online resource (442 pages) : color illustrations, graphs |
| Disciplina | 332/.042 |
| Collana | Always Learning |
| Soggetto topico | International finance |
| ISBN | 0-273-77471-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover -- Cover2 -- Contents -- Author's acknowledgements -- Publisher's acknowledgements -- Introduction -- 1: Systemic risk -- 1.1 Case study: the 1914 crisis -- 1.2 The concept of systemic risk -- 1.3 Who creates systemic risk? -- 1.4 Fundamental origins of systemic risk -- 1.5 Summary -- References -- 2: The Great Depression, 1929-1933 -- 2.1 Build-up to a depression -- 2.2 The Great Depression -- 2.3 Causes of the Great Depression -- 2.4 Implications for future policy -- 2.5 Summary -- References -- 3: Endogenous risk -- 3.1 Millennium Bridge -- 3.2 Dual role of prices -- 3.3 Risk -- 3.4 Dynamic trading strategies -- 3.5 Actual and perceived risk and bubbles -- 3.6 The LTCM crisis of 1998 -- 3.7 Conclusion -- References -- 4: Liquidity -- 4.1 The liquidity crisis of 1998 -- 4.2 What is liquidity? -- 4.3 Liquidity models -- 4.4 Policy implications -- 4.5 Summary -- References -- 5: The central bank -- 5.1 The origins of central banks -- 5.2 Banking supervision -- 5.3 Monetary policy -- 5.4 Financial stability -- 5.5 Bailing out governments -- 5.6 Challenges for central banking -- 5.7 Summary -- Appendix: central bank interest rate -- References -- 6: The Asian crisis of 1997 and the IMF -- 6.1 Building up to a crisis -- 6.2 The crisis in individual countries -- 6.3 Reasons for the crisis -- 6.4 Policy options for the crisis countries -- 6.5 Role of the IMF -- 6.6 Wider lessons -- 6.7 Summary -- References -- 7: Banking crises -- 7.1 Money and early banking -- 7.2 Moral hazard -- 7.3 Costs of banking crises -- 7.4 Causes of banking crises -- 7.5 Bank and banking system failures -- 7.6 Summary -- References -- 8: Bank runs and deposit insurance -- 8.1 Bank runs and crises -- 8.2 Modelling deposit insurance -- 8.3 Pros and cons of deposit insurance -- 8.4 Summary -- References -- 9: Trading and speculation -- 9.1 Trading scandals and abuse.
9.2 Trading and risk -- 9.3 Trading activities -- 9.4 Policy issues -- 9.5 Summary -- Appendix: Basic terminology of trading -- References -- 10: Credit markets -- 10.1 Market for credit -- 10.2 Credit rating agencies -- 10.3 Credit models -- 10.4 Margins, haircuts and mark-to-market -- 10.5 Securitisation -- 10.6 Summary -- References -- 11: Currency markets -- 11.1 Fixed or floating -- 11.2 Foreign exchange interventions -- 11.3 Capital controls -- 11.4 Exchange rate regimes -- 11.5 Perils of overvaluation -- 11.6 Undervaluation and 'currency wars' -- 11.7 Reserve currency -- 11.8 Summary -- Appendix: Exchange rate regimes -- References -- 12: Currency crisis models -- 12.1 First-generation models -- 12.2 The Argentinian crisis -- 12.3 Second-generation models -- 12.4 The European crisis, 1992-1993 -- 12.5 Global games currency crisis model -- 12.6 Summary -- References -- 13: Financial regulations -- 13.1 Banking regulations -- 13.2 Bank capital -- 13.3 International financial regulations: Basel -- 13.4 Summary -- Appendix: Value-at-Risk -- References -- 14: Bailouts -- 14.1 Successful and unsuccessful bailouts -- 14.2 The historical origins of Lending of last resort (LOLR) -- 14.3 What are bailouts? -- 14.4 Alternatives to bailouts -- 14.5 Bailouts in the crisis starting in 2007 -- 14.6 Bailouts, moral hazard and politics -- 14.7 Model of asset bubbles -- 14.8 Summary -- References -- 15: Dangerous financial instruments -- 15.1 Complexity kills -- 15.2 Derivatives -- 15.3 Credit default swaps -- 15.4 Collateralised debt obligations -- 15.5 Summary -- Appendix A: Mechanics of CDSs -- Appendix B: CDO calculations -- References -- 16: Failures in risk management and regulations before the crisis -- 16.1 Regulatory failures -- 16.2 Capital and the crisis -- 16.3 Summary -- References -- 17: The ongoing crisis: 2007-2009 phase. 17.1 Build-up to a crisis -- 17.2 Hidden and ignored risk -- 17.3 The changing nature of banking -- 17.4 Crisis, 2007-2008 -- 17.5 Was it a subprime crisis? -- 17.6 Policy response -- 17.7 Summary -- References -- 18: Ongoing developments in financial regulation -- 18.1 New and changed institutions -- 18.2 Basel III -- 18.3 Liquidity -- 18.4 How much capital? -- 18.5 Recovery and resolution -- 18.6 What about too big to fail? -- 18.7 Summary -- References -- 19: Sovereign debt crises -- 19.1 Newfoundland -- 19.2 Sovereign debt -- 19.3 Enforcement -- 19.4 Background to the European sovereign debt crisis -- 19.5 Summary -- References -- Glossary -- Bibliography -- Index. |
| Record Nr. | UNINA-9910150216103321 |
|
Daníelsson Jón
|
||
| Harlow, England : , : Pearson, , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||