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 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

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

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

Financial Valuation and Econometrics

Financial Valuation and Econometrics
  • Author : Kian Guan Lim
  • Publisher : World Scientific
  • Release : 18 January 2021
GET THIS BOOKFinancial Valuation and Econometrics

This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics modeling, and the empirical analyses of financial data by applying appropriate econometric techniques. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and methods for investment and financial decision-making. The book is targeted at advanced finance undergraduates and beginner professionals performing financial forecasts or empirical modeling who will find it refreshing to see

The Econometrics of Financial Markets

The Econometrics of Financial Markets
  • Author : John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
  • Publisher : Princeton University Press
  • Release : 28 June 2012
GET THIS BOOKThe Econometrics of Financial Markets

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis,

Introductory Econometrics for Finance

Introductory Econometrics for Finance
  • Author : Chris Brooks
  • Publisher : Cambridge University Press
  • Release : 22 May 2008
GET THIS BOOKIntroductory Econometrics for Finance

This best-selling introduction to econometrics is specifically written for finance students. The new edition builds on the successful data- and problem-driven approach of the first edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts.

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

Econometrics of Information and Efficiency

Econometrics of Information and Efficiency
  • Author : Jati Sengupta
  • Publisher : Springer Science & Business Media
  • Release : 31 July 1993
GET THIS BOOKEconometrics of Information and Efficiency

Broadly viewed, information theory analyzes the uncertainty of a given set of data and its probabilistic characteristics. Whereas the economic theory of information emphasizes the value of information to agents in a market, the entropy theory stresses the various aspects of imprecision of data and their interactions with the subjective decision processes.