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Measuring Market Risk [[electronic resource]]
| Measuring Market Risk [[electronic resource]] |
| Autore | Dowd Kevin |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Chichester, : Wiley, 2007 |
| Descrizione fisica | 1 online resource (412 p.) |
| Disciplina | 332.632042 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Financial futures - Mathematical models
Financial futures Mathematical models Portfolio management Portfolio management - Mathematical models Risk management Risk management - Mathematical models Investment & Speculation Finance Business & Economics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-67348-4
1-280-73872-3 9786610738724 0-470-01651-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Measuring Market Risk; Contents; Preface to the Second Edition; Acknowledgements; 1 The Rise of Value at Risk; 1.1 The Emergence of Financial Risk Management; 1.2 Market Risk Measurement; 1.3 Risk Measurement Before VaR; 1.3.1 Gap Analysis; 1.3.2 Duration Analysis; 1.3.3 Scenario Analysis; 1.3.4 Portfolio Theory; 1.3.5 Derivatives Risk Measures; 1.4 Value at Risk; 1.4.1 The Origin and Development of VaR; 1.4.2 Attractions of VaR; 1.4.3 Criticisms of VaR; Appendix: Types of Market Risk; 2 Measures of Financial Risk; 2.1 The Mean-Variance Framework for Measuring Financial Risk
2.2 Value at Risk2.2.1 Basics of VaR; 2.2.2 Determination of the VaR Parameters; 2.2.3 Limitations of VaR as a Risk Measure; 2.3 Coherent Risk Measures; 2.3.1 The Coherence Axioms and their implications; 2.3.2 The Expected Shortfall; 2.3.3 Spectral Risk Measures; 2.3.4 Scenarios as Coherent Risk Measures; 2.4 Conclusions; Appendix 1: Probability Functions; Appendix 2: Regulatory Uses of VaR; 3 Estimating Market Risk Measures: An Introduction and Overview; 3.1 Data; 3.1.1 Profit/Loss Data; 3.1.2 Loss/Profit Data; 3.1.3 Arithmetic Return Data; 3.1.4 Geometric Return Data 3.2 Estimating Historical Simulation VaR3.3 Estimating Parametric VaR; 3.3.1 Estimating VaR with Normally Distributed Profits/Losses; 3.3.2 Estimating VaR with Normally Distributed Arithmetic Returns; 3.3.3 Estimating Lognormal VaR; 3.4 Estimating Coherent Risk Measures; 3.4.1 Estimating Expected Shortfall; 3.4.2 Estimating Coherent Risk Measures; 3.5 Estimating the Standard Errors of risk Measure Estimators; 3.5.1 Standard Errors of Quantile Estimators; 3.5.2 Standard Errors in Estimators of Coherent Risk Measures; 3.6 The Core Issues: An Overview; Appendix 1: Preliminary Data Analysis Appendix 2: Numerical Integration Methods4 Non-Parametric Approaches; 4.1 Compiling Historical Simulation Data; 4.2 Estimation of Historical Simulation VaR and ES; 4.2.1 Basic Historical Simulation; 4.2.2 Bootstrapped Historical Simulation; 4.2.3 Historical Simulation using Non-Parametric Density Estimation; 4.2.4 Estimating Curves and Surfaces for VAR and ES; 4.3 Estimating Confidence Intervals for Historical Simulation VaR and ES; 4.3.1 An Order-Statistics Approach to the Estimation of Confidence Intervals for HS VaR and ES 4.3.2 A Bootstrap Approach to the Estimation of Confidence Intervals for HS VaR and ES4.4 Weighted Historical Simulation; 4.4.1 Age-Weighted Historical Simulation; 4.4.2 Volatility-Weighted Historical Simulation; 4.4.3 Correlation-Weighted Historical Simulation; 4.4.4 Filtered Historical Simulation; 4.5 Advantages and Disadvantages of Non-Parametric Methods; 4.5.1 Advantages; 4.5.2 Disadvantages; 4.6 Conclusions; Appendix 1: Estimating Risk Measures with Order Statistics; Appendix 2: The Bootstrap; Appendix 3: Non-Parametric Density Estimation Appendix 4: Principal Components Analysis and Factor Analysis |
| Record Nr. | UNINA-9910143700303321 |
Dowd Kevin
|
||
| Chichester, : Wiley, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Measuring Market Risk [[electronic resource]]
| Measuring Market Risk [[electronic resource]] |
| Autore | Dowd Kevin |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Chichester, : Wiley, 2007 |
| Descrizione fisica | 1 online resource (412 p.) |
| Disciplina | 332.632042 |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Financial futures - Mathematical models
Financial futures Mathematical models Portfolio management Portfolio management - Mathematical models Risk management Risk management - Mathematical models Investment & Speculation Finance Business & Economics |
| ISBN |
1-118-67348-4
1-280-73872-3 9786610738724 0-470-01651-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Measuring Market Risk; Contents; Preface to the Second Edition; Acknowledgements; 1 The Rise of Value at Risk; 1.1 The Emergence of Financial Risk Management; 1.2 Market Risk Measurement; 1.3 Risk Measurement Before VaR; 1.3.1 Gap Analysis; 1.3.2 Duration Analysis; 1.3.3 Scenario Analysis; 1.3.4 Portfolio Theory; 1.3.5 Derivatives Risk Measures; 1.4 Value at Risk; 1.4.1 The Origin and Development of VaR; 1.4.2 Attractions of VaR; 1.4.3 Criticisms of VaR; Appendix: Types of Market Risk; 2 Measures of Financial Risk; 2.1 The Mean-Variance Framework for Measuring Financial Risk
2.2 Value at Risk2.2.1 Basics of VaR; 2.2.2 Determination of the VaR Parameters; 2.2.3 Limitations of VaR as a Risk Measure; 2.3 Coherent Risk Measures; 2.3.1 The Coherence Axioms and their implications; 2.3.2 The Expected Shortfall; 2.3.3 Spectral Risk Measures; 2.3.4 Scenarios as Coherent Risk Measures; 2.4 Conclusions; Appendix 1: Probability Functions; Appendix 2: Regulatory Uses of VaR; 3 Estimating Market Risk Measures: An Introduction and Overview; 3.1 Data; 3.1.1 Profit/Loss Data; 3.1.2 Loss/Profit Data; 3.1.3 Arithmetic Return Data; 3.1.4 Geometric Return Data 3.2 Estimating Historical Simulation VaR3.3 Estimating Parametric VaR; 3.3.1 Estimating VaR with Normally Distributed Profits/Losses; 3.3.2 Estimating VaR with Normally Distributed Arithmetic Returns; 3.3.3 Estimating Lognormal VaR; 3.4 Estimating Coherent Risk Measures; 3.4.1 Estimating Expected Shortfall; 3.4.2 Estimating Coherent Risk Measures; 3.5 Estimating the Standard Errors of risk Measure Estimators; 3.5.1 Standard Errors of Quantile Estimators; 3.5.2 Standard Errors in Estimators of Coherent Risk Measures; 3.6 The Core Issues: An Overview; Appendix 1: Preliminary Data Analysis Appendix 2: Numerical Integration Methods4 Non-Parametric Approaches; 4.1 Compiling Historical Simulation Data; 4.2 Estimation of Historical Simulation VaR and ES; 4.2.1 Basic Historical Simulation; 4.2.2 Bootstrapped Historical Simulation; 4.2.3 Historical Simulation using Non-Parametric Density Estimation; 4.2.4 Estimating Curves and Surfaces for VAR and ES; 4.3 Estimating Confidence Intervals for Historical Simulation VaR and ES; 4.3.1 An Order-Statistics Approach to the Estimation of Confidence Intervals for HS VaR and ES 4.3.2 A Bootstrap Approach to the Estimation of Confidence Intervals for HS VaR and ES4.4 Weighted Historical Simulation; 4.4.1 Age-Weighted Historical Simulation; 4.4.2 Volatility-Weighted Historical Simulation; 4.4.3 Correlation-Weighted Historical Simulation; 4.4.4 Filtered Historical Simulation; 4.5 Advantages and Disadvantages of Non-Parametric Methods; 4.5.1 Advantages; 4.5.2 Disadvantages; 4.6 Conclusions; Appendix 1: Estimating Risk Measures with Order Statistics; Appendix 2: The Bootstrap; Appendix 3: Non-Parametric Density Estimation Appendix 4: Principal Components Analysis and Factor Analysis |
| Record Nr. | UNINA-9910829905203321 |
|
Dowd Kevin
|
||
| Chichester, : Wiley, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modelling financial time series [[electronic resource] /] / Stephen J Taylor
| Modelling financial time series [[electronic resource] /] / Stephen J Taylor |
| Autore | Taylor Stephen (Stephen J.) |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New Jersey, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (297 p.) |
| Disciplina | 332.63/222011 |
| Soggetto topico |
Stocks - Prices - Mathematical models
Commodity exchanges - Mathematical models Financial futures - Mathematical models Time-series analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-91161-5
9786611911614 981-277-085-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Features of financial returns -- 3. Modelling price volatility -- 4. Forecasting standard deviations -- 5. The accuracy of autocorrelation estimates -- 6. Testing the random walk hypothesis -- 7. Forecasting trends in prices -- 8. Evidence against the efficiency of future markets -- 9. Valuing options -- 10. Concluding remarks. |
| Record Nr. | UNINA-9910458071803321 |
|
Taylor Stephen (Stephen J.)
|
||
| New Jersey, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modelling financial time series [[electronic resource] /] / Stephen J Taylor
| Modelling financial time series [[electronic resource] /] / Stephen J Taylor |
| Autore | Taylor Stephen (Stephen J.) |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New Jersey, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (297 p.) |
| Disciplina | 332.63/222011 |
| Soggetto topico |
Stocks - Prices - Mathematical models
Commodity exchanges - Mathematical models Financial futures - Mathematical models Time-series analysis |
| ISBN |
1-281-91161-5
9786611911614 981-277-085-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Features of financial returns -- 3. Modelling price volatility -- 4. Forecasting standard deviations -- 5. The accuracy of autocorrelation estimates -- 6. Testing the random walk hypothesis -- 7. Forecasting trends in prices -- 8. Evidence against the efficiency of future markets -- 9. Valuing options -- 10. Concluding remarks. |
| Record Nr. | UNINA-9910784886503321 |
|
Taylor Stephen (Stephen J.)
|
||
| New Jersey, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Rational expectations and efficiency in futures markets / / edited by Barry A. Goss
| Rational expectations and efficiency in futures markets / / edited by Barry A. Goss |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 1992 |
| Descrizione fisica | 1 online resource (252 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | GrossB. A <1939-> (Barry Andrew) |
| Soggetto topico |
Futures market - Mathematical models
Financial futures - Mathematical models Commodity futures - Mathematical models Rational expectations (Economic theory) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-134-97521-X
1-280-22633-1 9786610226337 0-203-97857-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Rational expectations and welfare in financial futures markets / Jerome L. Stein -- 2. Foreign currency futures spreads and risk premiums / Thomas H. McCurdy and Zeuan G. Morgan -- 3. Assessing market performance : an examination of livestock futures markets / Raymond M. Leuthold and Philip Garcia -- 4. Rational expectations and experimental methods / Glenn W. Harrison -- 5. Efficiency of the yen futures market at the Chicago Mercantile Exchange / Stephen J. Taylor -- 6. Simultaneity, forecasting and efficiency in the US oats market / Barry A. Goss, Siang-Choo Chan and S. Gulay Avsar -- 7. Alternative performance models in interest rate futures / Jot Yau, Uttama Savanayana and Thomas Schneeweis -- 8. A rational expectations model of the Australian wool spot and futures markets / Barry A. Goss and S. Gulay Avsar -- 9. The announcement effects of economic variables / Ting-Yean Tan. |
| Record Nr. | UNINA-9910449733303321 |
| London ; ; New York : , : Routledge, , 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Rational expectations and efficiency in futures markets / / edited by Barry A. Goss
| Rational expectations and efficiency in futures markets / / edited by Barry A. Goss |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 1992 |
| Descrizione fisica | 1 online resource (252 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | GrossB. A <1939-> (Barry Andrew) |
| Soggetto topico |
Futures market - Mathematical models
Financial futures - Mathematical models Commodity futures - Mathematical models Rational expectations (Economic theory) |
| ISBN |
1-134-97520-1
1-134-97521-X 1-280-22633-1 9786610226337 0-203-97857-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Rational expectations and welfare in financial futures markets / Jerome L. Stein -- 2. Foreign currency futures spreads and risk premiums / Thomas H. McCurdy and Zeuan G. Morgan -- 3. Assessing market performance : an examination of livestock futures markets / Raymond M. Leuthold and Philip Garcia -- 4. Rational expectations and experimental methods / Glenn W. Harrison -- 5. Efficiency of the yen futures market at the Chicago Mercantile Exchange / Stephen J. Taylor -- 6. Simultaneity, forecasting and efficiency in the US oats market / Barry A. Goss, Siang-Choo Chan and S. Gulay Avsar -- 7. Alternative performance models in interest rate futures / Jot Yau, Uttama Savanayana and Thomas Schneeweis -- 8. A rational expectations model of the Australian wool spot and futures markets / Barry A. Goss and S. Gulay Avsar -- 9. The announcement effects of economic variables / Ting-Yean Tan. |
| Record Nr. | UNINA-9910783008803321 |
| London ; ; New York : , : Routledge, , 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Rational expectations and efficiency in futures markets / / edited by Barry A. Goss
| Rational expectations and efficiency in futures markets / / edited by Barry A. Goss |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London ; ; New York, : Routledge, 1992 |
| Descrizione fisica | 1 online resource (252 p.) |
| Disciplina | 332.64/5 |
| Altri autori (Persone) | GrossBarry A <1939-> (Barry Andrew) |
| Soggetto topico |
Futures market - Mathematical models
Financial futures - Mathematical models Commodity futures - Mathematical models Rational expectations (Economic theory) |
| ISBN |
1-134-97520-1
1-134-97521-X 1-280-22633-1 9786610226337 0-203-97857-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Rational expectations and welfare in financial futures markets / Jerome L. Stein -- 2. Foreign currency futures spreads and risk premiums / Thomas H. McCurdy and Zeuan G. Morgan -- 3. Assessing market performance : an examination of livestock futures markets / Raymond M. Leuthold and Philip Garcia -- 4. Rational expectations and experimental methods / Glenn W. Harrison -- 5. Efficiency of the yen futures market at the Chicago Mercantile Exchange / Stephen J. Taylor -- 6. Simultaneity, forecasting and efficiency in the US oats market / Barry A. Goss, Siang-Choo Chan and S. Gulay Avsar -- 7. Alternative performance models in interest rate futures / Jot Yau, Uttama Savanayana and Thomas Schneeweis -- 8. A rational expectations model of the Australian wool spot and futures markets / Barry A. Goss and S. Gulay Avsar -- 9. The announcement effects of economic variables / Ting-Yean Tan. |
| Record Nr. | UNINA-9910966551903321 |
| London ; ; New York, : Routledge, 1992 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The risks of financial modeling [[electronic resource] ] : VaR and the economic meltdown : hearing before the Subcommittee on Investigations and Oversight, Committee on Science and Technology, House of Representatives, One Hundred Eleventh Congress, first session, September 10, 2009
| The risks of financial modeling [[electronic resource] ] : VaR and the economic meltdown : hearing before the Subcommittee on Investigations and Oversight, Committee on Science and Technology, House of Representatives, One Hundred Eleventh Congress, first session, September 10, 2009 |
| Pubbl/distr/stampa | Washington : , : U.S. G.P.O., , 2010 |
| Descrizione fisica | 1 online resource (iv, 151 pages) : illustrations |
| Soggetto topico |
Finance - Mathematical models
Financial futures - Mathematical models Financial risk management - Mathematical models Global Financial Crisis, 2008-2009 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Risks of financial modeling |
| Record Nr. | UNINA-9910697243503321 |
| Washington : , : U.S. G.P.O., , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
