Anticipating Correlations


Anticipating Correlations
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Anticipating Correlations


Anticipating Correlations
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Author : Robert Engle
language : en
Publisher: Princeton University Press
Release Date : 2009-01-19

Anticipating Correlations written by Robert Engle and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-01-19 with Business & Economics categories.


Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.



Quantitative Risk And Portfolio Management


Quantitative Risk And Portfolio Management
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Author : Kenneth J. Winston
language : en
Publisher: Cambridge University Press
Release Date : 2023-09-21

Quantitative Risk And Portfolio Management written by Kenneth J. Winston and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-09-21 with Business & Economics categories.


A modern introduction to risk and portfolio management for advanced undergraduate and beginning graduate students who will become practitioners in the field of quantitative finance, including extensive live data and Python code as online supplements which allow the application of theory to real-world situations.



Risks


Risks
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Author : Mogens Steffensen
language : en
Publisher: MDPI
Release Date : 2021-06-03

Risks written by Mogens Steffensen and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-03 with Social Science categories.


This book is a collection of feature articles published in Risks in 2020. They were all written by experts in their respective fields. In these articles, they all develop and present new aspects and insights that can help us to understand and cope with the different and ever-changing aspects of risks. In some of the feature articles the probabilistic risk modeling is the central focus, whereas impact and innovation, in the context of financial economics and actuarial science, is somewhat retained and left for future research. In other articles it is the other way around. Ideas and perceptions in financial markets are the driving force of the research but they do not necessarily rely on innovation in the underlying risk models. Together, they are state-of-the-art, expert-led, up-to-date contributions, demonstrating what Risks is and what Risks has to offer: articles that focus on the central aspects of insurance and financial risk management, that detail progress and paths of further development in understanding and dealing with...risks. Asking the same type of questions (which risk allocation and mitigation should be provided, and why?) creates value from three different perspectives: the normative perspective of market regulator; the existential perspective of the financial institution; the phenomenological perspective of the individual consumer or policy holder.



The Methodology And Practice Of Econometrics


The Methodology And Practice Of Econometrics
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Author : Jennifer Castle
language : en
Publisher: Oxford University Press
Release Date : 2009-04-30

The Methodology And Practice Of Econometrics written by Jennifer Castle and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-30 with Business & Economics categories.


Building upon, and celebrating the work of David Hendry, this volume consists of a number of specially commissioned pieces from some of the leading econometricians in the world. It reflects on the recent advances in econometrics and considers the future progress for the methodology of econometrics.



Encyclopedia Of Business Analytics And Optimization


Encyclopedia Of Business Analytics And Optimization
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Author : Wang, John
language : en
Publisher: IGI Global
Release Date : 2014-02-28

Encyclopedia Of Business Analytics And Optimization written by Wang, John and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-28 with Business & Economics categories.


As the age of Big Data emerges, it becomes necessary to take the five dimensions of Big Data- volume, variety, velocity, volatility, and veracity- and focus these dimensions towards one critical emphasis - value. The Encyclopedia of Business Analytics and Optimization confronts the challenges of information retrieval in the age of Big Data by exploring recent advances in the areas of knowledge management, data visualization, interdisciplinary communication, and others. Through its critical approach and practical application, this book will be a must-have reference for any professional, leader, analyst, or manager interested in making the most of the knowledge resources at their disposal.



Elements Of Financial Risk Management


Elements Of Financial Risk Management
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Author : Peter Christoffersen
language : en
Publisher: Academic Press
Release Date : 2011-11-10

Elements Of Financial Risk Management written by Peter Christoffersen and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-11-10 with Business & Economics categories.


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. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises



Stochastic Models Statistics And Their Applications


Stochastic Models Statistics And Their Applications
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Author : Ansgar Steland
language : en
Publisher: Springer
Release Date : 2015-02-04

Stochastic Models Statistics And Their Applications written by Ansgar Steland and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-02-04 with Mathematics categories.


This volume presents the latest advances and trends in stochastic models and related statistical procedures. Selected peer-reviewed contributions focus on statistical inference, quality control, change-point analysis and detection, empirical processes, time series analysis, survival analysis and reliability, statistics for stochastic processes, big data in technology and the sciences, statistical genetics, experiment design, and stochastic models in engineering. Stochastic models and related statistical procedures play an important part in furthering our understanding of the challenging problems currently arising in areas of application such as the natural sciences, information technology, engineering, image analysis, genetics, energy and finance, to name but a few. This collection arises from the 12th Workshop on Stochastic Models, Statistics and Their Applications, Wroclaw, Poland.



Counting Statistics For Dependent Random Events


Counting Statistics For Dependent Random Events
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Author : Enrico Bernardi
language : en
Publisher: Springer Nature
Release Date : 2021-03-22

Counting Statistics For Dependent Random Events written by Enrico Bernardi and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-22 with Business & Economics categories.


This book on counting statistics presents a novel copula-based approach to counting dependent random events. It combines clustering, combinatorics-based algorithms and dependence structure in order to tackle and simplify complex problems, without disregarding the hierarchy of or interconnections between the relevant variables. These problems typically arise in real-world applications and computations involving big data in finance, insurance and banking, where experts are confronted with counting variables in monitoring random events. In this new approach, combinatorial distributions of random events are the core element. In order to deal with the high-dimensional features of the problem, the combinatorial techniques are used together with a clustering approach, where groups of variables sharing common characteristics and similarities are identified and the dependence structure within groups is taken into account. The original problems can then be modeled using new classes of copulas, referred to here as clusterized copulas, which are essentially based on preliminary groupings of variables depending on suitable characteristics and hierarchical aspects. The book includes examples and real-world data applications, with a special focus on financial applications, where the new algorithms’ performance is compared to alternative approaches and further analyzed. Given its scope, the book will be of interest to master students, PhD students and researchers whose work involves or can benefit from the innovative methodologies put forward here. It will also stimulate the empirical use of new approaches among professionals and practitioners in finance, insurance and banking.



Introduction To Bayesian Estimation And Copula Models Of Dependence


Introduction To Bayesian Estimation And Copula Models Of Dependence
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Author : Arkady Shemyakin
language : en
Publisher: John Wiley & Sons
Release Date : 2017-03-20

Introduction To Bayesian Estimation And Copula Models Of Dependence written by Arkady Shemyakin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-20 with Mathematics categories.


Presents an introduction to Bayesian statistics, presents an emphasis on Bayesian methods (prior and posterior), Bayes estimation, prediction, MCMC,Bayesian regression, and Bayesian analysis of statistical modelsof dependence, and features a focus on copulas for risk management Introduction to Bayesian Estimation and Copula Models of Dependence emphasizes the applications of Bayesian analysis to copula modeling and equips readers with the tools needed to implement the procedures of Bayesian estimation in copula models of dependence. This book is structured in two parts: the first four chapters serve as a general introduction to Bayesian statistics with a clear emphasis on parametric estimation and the following four chapters stress statistical models of dependence with a focus of copulas. A review of the main concepts is discussed along with the basics of Bayesian statistics including prior information and experimental data, prior and posterior distributions, with an emphasis on Bayesian parametric estimation. The basic mathematical background of both Markov chains and Monte Carlo integration and simulation is also provided. The authors discuss statistical models of dependence with a focus on copulas and present a brief survey of pre-copula dependence models. The main definitions and notations of copula models are summarized followed by discussions of real-world cases that address particular risk management problems. In addition, this book includes: • Practical examples of copulas in use including within the Basel Accord II documents that regulate the world banking system as well as examples of Bayesian methods within current FDA recommendations • Step-by-step procedures of multivariate data analysis and copula modeling, allowing readers to gain insight for their own applied research and studies • Separate reference lists within each chapter and end-of-the-chapter exercises within Chapters 2 through 8 • A companion website containing appendices: data files and demo files in Microsoft® Office Excel®, basic code in R, and selected exercise solutions Introduction to Bayesian Estimation and Copula Models of Dependence is a reference and resource for statisticians who need to learn formal Bayesian analysis as well as professionals within analytical and risk management departments of banks and insurance companies who are involved in quantitative analysis and forecasting. This book can also be used as a textbook for upper-undergraduate and graduate-level courses in Bayesian statistics and analysis. ARKADY SHEMYAKIN, PhD, is Professor in the Department of Mathematics and Director of the Statistics Program at the University of St. Thomas. A member of the American Statistical Association and the International Society for Bayesian Analysis, Dr. Shemyakin's research interests include informationtheory, Bayesian methods of parametric estimation, and copula models in actuarial mathematics, finance, and engineering. ALEXANDER KNIAZEV, PhD, is Associate Professor and Head of the Department of Mathematics at Astrakhan State University in Russia. Dr. Kniazev's research interests include representation theory of Lie algebras and finite groups, mathematical statistics, econometrics, and financial mathematics.



Advanced Equity Derivatives


Advanced Equity Derivatives
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Author : Sebastien Bossu
language : en
Publisher: John Wiley & Sons
Release Date : 2014-05-19

Advanced Equity Derivatives written by Sebastien Bossu and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-19 with Business & Economics categories.


In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.