Market Risk Analysis Boxset
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Market Risk Analysis Boxset
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Author : Carol Alexander
language : en
Publisher: John Wiley & Sons
Release Date : 2009-02-24
Market Risk Analysis Boxset written by Carol Alexander 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 2009-02-24 with Business & Economics categories.
Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.
Market Risk Analysis
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Author :
language : en
Publisher:
Release Date : 2009
Market Risk Analysis written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Market Risk Analysis Quantitative Methods In Finance
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Author : Carol Alexander
language : en
Publisher:
Release Date : 2008
Market Risk Analysis Quantitative Methods In Finance written by Carol Alexander and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Hedging (Finance) categories.
Market Risk Analysis is a series of 4 interlinked text books. Its aim is to define a syllabus for education in market risk analysis, from the basics to the most advanced level of understanding we have today, to set standards for the profession of market risk analyst, and to provide the means whereby the required skills may be attained. The main purpose is to provide a self-study programme for readers wishing to gain a proper foundation for the job of market risk analyst. The four volumes of Market Risk Analysis illustrate virtually every concept or formula with a practical, numerical example or a longer, empirical case study.
Market Risk Analysis
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Author : Carol Alexander
language : en
Publisher:
Release Date : 2008
Market Risk Analysis written by Carol Alexander and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Financial risk management categories.
Financial Market Risk
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Author : Cornelis Los
language : en
Publisher: Routledge
Release Date : 2003-07-24
Financial Market Risk written by Cornelis Los and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-07-24 with Business & Economics categories.
This book covers the latest theories and empirical findings of financial risk, its measurement and management, and its applications in the world of finance.
Market Risk Analysis Volume I
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Author : Carol Alexander
language : en
Publisher:
Release Date : 2008
Market Risk Analysis Volume I written by Carol Alexander and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business enterprises categories.
Measuring Market Risk
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Author : Kevin Dowd
language : en
Publisher: John Wiley & Sons
Release Date : 2007-01-11
Measuring Market Risk written by Kevin Dowd 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 2007-01-11 with Business & Economics categories.
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies.
Market Risk Analysis Volume Iii
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Author : Carol Alexander
language : en
Publisher:
Release Date : 2008
Market Risk Analysis Volume Iii written by Carol Alexander and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Market Risk Analysis A Complete Guide 2020 Edition
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Author : Gerardus Blokdyk
language : en
Publisher:
Release Date : 2019
Market Risk Analysis A Complete Guide 2020 Edition written by Gerardus Blokdyk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Electronic books categories.
Market Risk Analysis A Complete Guide - 2020 Edition.
Market Risk Analysis Volume Ii
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Author : Carol Alexander
language : en
Publisher:
Release Date : 2008
Market Risk Analysis Volume Ii written by Carol Alexander and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.