Econometrics of Risk

This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.

Produk Detail:

  • Author : Van-Nam Huynh
  • Publisher : Springer
  • Pages : 498 pages
  • ISBN : 3319134493
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKEconometrics of Risk

Econometrics of Risk

Econometrics of Risk
  • Author : Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta,Komsan Suriya
  • Publisher : Springer
  • Release : 15 December 2014
GET THIS BOOKEconometrics of Risk

This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative

The Econometrics of Individual Risk

The Econometrics of Individual Risk
  • Author : Christian Gourieroux,Joann Jasiak
  • Publisher : Princeton University Press
  • Release : 28 July 2015
GET THIS BOOKThe Econometrics of Individual Risk

The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course

Risk Measurement, Econometrics and Neural Networks

Risk Measurement, Econometrics and Neural Networks
  • Author : Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollmer
  • Publisher : Springer Science & Business Media
  • Release : 06 December 2012
GET THIS BOOKRisk Measurement, Econometrics and Neural Networks

This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and

Market Risk Analysis, Practical Financial Econometrics

Market Risk Analysis, Practical Financial Econometrics
  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Release : 30 April 2008
GET THIS BOOKMarket Risk Analysis, Practical Financial Econometrics

Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
  • Author : G. Gregoriou,R. Pascalau
  • Publisher : Springer
  • Release : 13 December 2010
GET THIS BOOKFinancial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.

Applied Econometrics with SAS

Applied Econometrics with SAS
  • Author : Barry K. Goodwin,A. Ford Ramsey,Jan Chvosta
  • Publisher : SAS Institute
  • Release : 04 April 2018
GET THIS BOOKApplied Econometrics with SAS

Using Applied Econometrics with SAS: Modeling Demand, Supply, and Risk, you will quickly master SAS applications for implementing and estimating standard models in the field of econometrics. This guide introduces you to the major theories underpinning applied demand and production economics. For each of its three main topics—demand, supply, and risk—a concise theoretical orientation leads directly into consideration of specific economic models and econometric techniques, collectively covering the following: Double-log demand systems Linear expenditure systems Almost ideal demand

Risk Econometrics

Risk Econometrics
  • Author : Elena Goldman
  • Publisher : Academic Press
  • Release : 01 August 2020
GET THIS BOOKRisk Econometrics

Risk Econometrics: A Practical Guide to Bayesian and Frequentist Methods serves as a guide to mastering a growing number of applications in network analysis, environmental science and healthcare. By avoiding a focus either on time series or cross-sectional/panel data methods and adopting either Frequentist (Classical) or Bayesian approaches, it trains readers to recognize the most important aspects of applied Frequentist and Bayesian statistics, emphasizing methods, insights, and popular advances widely used during the last ten years. Sections dive deeply

The Econometrics of Individual Risk

The Econometrics of Individual Risk
  • Author : Christian Gourieroux,Joann Jasiak
  • Publisher : Princeton University Press
  • Release : 24 July 2011
GET THIS BOOKThe Econometrics of Individual Risk

The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course

The Fundamental Rules of Risk Management

The Fundamental Rules of Risk Management
  • Author : Nigel Da Costa Lewis
  • Publisher : CRC Press
  • Release : 29 May 2012
GET THIS BOOKThe Fundamental Rules of Risk Management

The consequences of taking on risk can be ruinous to personal finances, professional careers, corporate survivability, and even nation states. Yet many risk managers do not have a clear understanding of the basics. Requiring no statistical or mathematical background, The Fundamental Rules of Risk Management gives you the knowledge to successfully handle risk in your organization. The book begins with a deep investigation into the behavioral roots of risk. Using both historical and contemporary contexts, author Nigel Da Costa Lewis

Financial Econometrics

Financial Econometrics
  • Author : Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
  • Publisher : John Wiley & Sons
  • Release : 22 March 2007
GET THIS BOOKFinancial Econometrics

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics

Market Risk Analysis, Value at Risk Models

Market Risk Analysis, Value at Risk Models
  • Author : Carol Alexander
  • Publisher : John Wiley & Sons
  • Release : 15 January 2009
GET THIS BOOKMarket Risk Analysis, Value at Risk Models

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III,

Communicating about Risks and Safe Use of Medicines

Communicating about Risks and Safe Use of Medicines
  • Author : Priya Bahri
  • Publisher : Springer Nature
  • Release : 17 June 2020
GET THIS BOOKCommunicating about Risks and Safe Use of Medicines

At the core of this book lies the question how to approach medicines, risks and communication as a researcher - or anybody planning and evaluating a communication intervention, or wanting to understand communication events in private and the media. With a view to tackle current shortcomings of communication systems and processes for improved implementation, patient satisfaction and health outcomes, a multilayered approach is presented. This combines multiple data types and methods to obtain a wider and deeper understanding of the

Advanced Computational Methods for Knowledge Engineering

Advanced Computational Methods for Knowledge Engineering
  • Author : Tien Do,Hoai An Le Thi,Ngoc Thanh Nguyen
  • Publisher : Springer Science & Business Media
  • Release : 11 April 2014
GET THIS BOOKAdvanced Computational Methods for Knowledge Engineering

The proceedings consists of 30 papers which have been selected and invited from the submissions to the 2nd International Conference on Computer Science, Applied Mathematics and Applications (ICCSAMA 2014) held on 8-9 May, 2014 in Budapest, Hungary. The conference is organized into 7 sessions: Advanced Optimization Methods and Their Applications, Queueing Models and Performance Evaluation, Software Development and Testing, Computational Methods for Mobile and Wireless Networks, Computational Methods for Knowledge Engineering, Logic Based Methods for Decision Making and Data Mining and Nonlinear Systems and