Econometrics and Risk Management

Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.

Produk Detail:

  • Author : Thomas B. Fomby
  • Publisher : Emerald Group Publishing
  • Pages : 304 pages
  • ISBN : 1848551967
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKEconometrics and Risk Management

Econometrics and Risk Management

Econometrics and Risk Management
  • Author : Thomas B. Fomby,Jean-Pierre Fouque,Knut Solna
  • Publisher : Emerald Group Publishing
  • Release : 01 December 2008
GET THIS BOOKEconometrics and Risk Management

Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.

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 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

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

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.

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

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

Econometric Modeling of Value-at-risk

Econometric Modeling of Value-at-risk
  • Author : Timotheos Angelidis,Stavros Degiannakis
  • Publisher : Nova Science Pub Incorporated
  • Release : 24 June 2021
GET THIS BOOKEconometric Modeling of Value-at-risk

Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimise the forecast error. This book provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.