Buch, Englisch, 344 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 580 g
Buch, Englisch, 344 Seiten, Format (B × H): 152 mm x 229 mm, Gewicht: 580 g
ISBN: 978-0-12-374448-7
Verlag: William Andrew Publishing
The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems.
Zielgruppe
Graduate students and professionals working in financial engineering and risk management, quantitative asset management, macroeconomic and financial forecasting, quantitative trading, and applied research.
Autoren/Hrsg.
Fachgebiete
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
- Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
- Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
Weitere Infos & Material
Part I: Background Risk Management and Financial Returns The Dangers of VaR and Historical Simulation A Primer on Financial Econometrics. NEW
Part 2: Portfolio Level Risk Models Volatility Modeling using Daily Returns Volatility Modeling using Intraday Returns. NEW Modeling the Conditional Distribution
Part 3: Asset Level Risk Models Correlation Modeling Copula Models and Integrated Risk Management. NEW Simulating the Term Structure of Risk
Part 4: Further Topics Option Pricing Option Risk Management CDS Pricing and Credit Risk Management. NEW Backtesting and Stress Testing