Financial risk forecasting: the theory and practice of forecasting market risk, with implementation in R and Matlab
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statist...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Chichester
John Wiley
2011
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| Series: | Wiley finance series
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| Subjects: | |
| Online Access: | FAW01 FHA01 FLA01 FRO01 FUBA1 UBG01 UEI03 UER01 Volltext Buchcover Buchcover Buchcover Buchcover |
| Summary: | Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use - that risk is exogenous - and what happens when those assumptions are violated. |
| Physical Description: | 1 Online-Ressource (XXI, 274 S.) graph. Darst. |
| ISBN: | 9781119205869 9781119977100 111997710X 9781119977117 1119977118 9781119977124 1119977126 |
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| author | Daníelsson, Jón 1963- |
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| author_sort | Daníelsson, Jón 1963- |
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| dewey-full | 658.1550112 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.1550112 |
| dewey-search | 658.1550112 |
| dewey-sort | 3658.1550112 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV043393684 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:24:46Z |
| institution | BVB |
| isbn | 9781119205869 9781119977100 111997710X 9781119977117 1119977118 9781119977124 1119977126 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028812268 |
| oclc_num | 760884478 1074829761 |
| open_access_boolean | |
| owner | DE-945 DE-861 DE-29 DE-Aug4 DE-188 DE-473 DE-BY-UBG DE-1046 DE-1047 |
| owner_facet | DE-945 DE-861 DE-29 DE-Aug4 DE-188 DE-473 DE-BY-UBG DE-1046 DE-1047 |
| physical | 1 Online-Ressource (XXI, 274 S.) graph. Darst. |
| psigel | ZDB-4-EBA ZDB-4-EBU ZDB-30-PAD ZDB-30-PBE ZDB-35-WIC ZDB-4-EBA FAW_PDA_EBA ZDB-35-WIC FHA_PDA_WIC_Kauf ZDB-4-EBU FLA_PDA_EBU ZDB-35-WIC FRO_PDA_WIC ZDB-35-WIC ZDB-35-WIC 2020 ZDB-35-WIC UBG_PDA_WIC_Kauf23 ZDB-35-WIC UER_PDA_WIC_Kauf |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | John Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Daníelsson, Jón 1963- Verfasser (DE-588)115392769 aut Financial risk forecasting the theory and practice of forecasting market risk, with implementation in R and Matlab Jón Daníelsson Chichester John Wiley 2011 1 Online-Ressource (XXI, 274 S.) graph. Darst. txt rdacontent c rdamedia cr rdacarrier Wiley finance series Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use - that risk is exogenous - and what happens when those assumptions are violated. BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Wirtschaft Financial risk management / Forecasting Financial risk management / Simulation methods Risikomanagement (DE-588)4121590-4 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf MATLAB (DE-588)4329066-8 gnd rswk-swf Electronic books Finanzwirtschaft (DE-588)4017214-4 s Risikomanagement (DE-588)4121590-4 s Prognose (DE-588)4047390-9 s DE-604 Finanzmathematik (DE-588)4017195-4 s MATLAB (DE-588)4329066-8 s Erscheint auch als Druck-Ausgabe, Hardcover 978-0-470-66943-3 0-470-66943-8 https://onlinelibrary.wiley.com/doi/book/10.1002/9781119205869 Verlag URL des Erstveröffentlichers Volltext SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028812268&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Buchcover SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028812268&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Buchcover SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028812268&sequence=000003&line_number=0003&func_code=DB_RECORDS&service_type=MEDIA Buchcover SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028812268&sequence=000004&line_number=0004&func_code=DB_RECORDS&service_type=MEDIA Buchcover |
| spellingShingle | Daníelsson, Jón 1963- Financial risk forecasting the theory and practice of forecasting market risk, with implementation in R and Matlab BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Wirtschaft Financial risk management / Forecasting Financial risk management / Simulation methods Risikomanagement (DE-588)4121590-4 gnd Prognose (DE-588)4047390-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Finanzwirtschaft (DE-588)4017214-4 gnd MATLAB (DE-588)4329066-8 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4047390-9 (DE-588)4017195-4 (DE-588)4017214-4 (DE-588)4329066-8 |
| title | Financial risk forecasting the theory and practice of forecasting market risk, with implementation in R and Matlab |
| title_auth | Financial risk forecasting the theory and practice of forecasting market risk, with implementation in R and Matlab |
| title_exact_search | Financial risk forecasting the theory and practice of forecasting market risk, with implementation in R and Matlab |
| title_full | Financial risk forecasting the theory and practice of forecasting market risk, with implementation in R and Matlab Jón Daníelsson |
| title_fullStr | Financial risk forecasting the theory and practice of forecasting market risk, with implementation in R and Matlab Jón Daníelsson |
| title_full_unstemmed | Financial risk forecasting the theory and practice of forecasting market risk, with implementation in R and Matlab Jón Daníelsson |
| title_short | Financial risk forecasting |
| title_sort | financial risk forecasting the theory and practice of forecasting market risk with implementation in r and matlab |
| title_sub | the theory and practice of forecasting market risk, with implementation in R and Matlab |
| topic | BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management bisacsh Wirtschaft Financial risk management / Forecasting Financial risk management / Simulation methods Risikomanagement (DE-588)4121590-4 gnd Prognose (DE-588)4047390-9 gnd Finanzmathematik (DE-588)4017195-4 gnd Finanzwirtschaft (DE-588)4017214-4 gnd MATLAB (DE-588)4329066-8 gnd |
| topic_facet | BUSINESS & ECONOMICS / Insurance / Risk Assessment & Management Wirtschaft Financial risk management / Forecasting Financial risk management / Simulation methods Risikomanagement Prognose Finanzmathematik Finanzwirtschaft MATLAB |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781119205869 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028812268&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028812268&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028812268&sequence=000003&line_number=0003&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028812268&sequence=000004&line_number=0004&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT danielssonjon financialriskforecastingthetheoryandpracticeofforecastingmarketriskwithimplementationinrandmatlab |