Financial market risk : measurement and analysis / / Cornelis A. Los
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| Autore: |
Los Cornelis Albertus <1951->
|
| Titolo: |
Financial market risk : measurement and analysis / / Cornelis A. Los
|
| Pubblicazione: | London ; ; New York, : Routledge, 2003 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 1 online resource (493 p.) |
| Disciplina: | 332/.01/5195 |
| Soggetto topico: | Hedging (Finance) |
| Risk management | |
| Note generali: | Description based upon print version of record. |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | Book Cover; Title; Copyright; Contents; Preface; Introduction; 1 Risk asset class horizon and time; 2 Competing financial market hypotheses; 3 Stable scaling distributions in finance; 4 Persistence of financial risk; 5 Frequency analysis of financial risk; 6 Fourier time frequency analysis of risk; 7 Wavelet time scale analysis of risk; 8 Multiresolution analysis of local risk; 9 Chaos nonunique equilibria processes; 10 Measuring term structure dynamics; 11 Simulation of financial turbulence; 12 Managing VaR and extreme values; Appendix A original scaling in financial economics |
| Appendix B S P500 daily closing prices for 1988Index | |
| Sommario/riassunto: | This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex mark |
| Titolo autorizzato: | Financial market risk |
| ISBN: | 1-134-46931-4 |
| 0-429-24222-0 | |
| 1-134-46932-2 | |
| 1-280-34798-8 | |
| 9786610347988 | |
| 0-203-98763-2 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910820379403321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Routledge international studies in money and banking ; ; 24.