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Elements of financial risk management
Başlık:
Elements of financial risk management
Yazar:
Christoffersen, Peter F.
ISBN:
9780123744487
Yazar Ek Girişi:
Basım Bilgisi:
2nd ed.
Yayın Bilgileri:
Amsterdam ; Boston : Academic Press, c2012
Fiziksel Tanımlama:
p. cm.
İçerik:
Part I: Background Risk Management and Financial Returns The Dangers of VaR and Historical Simulation. A Primer on Financial Econometrics. NEW Part 2: Portfolio Level Risk Models Volatility Modeling using Daily Returns Volatility Modeling using Intraday Returns. NEW Modeling the Conditional Distribution Part 3: Asset Level Risk Models Correlation Modeling Copula Models and Integrated Risk Management. NEW Simulating the Term Structure of Risk Part 4: Further Topics Option Pricing Option Risk Management CDS Pricing and Credit Risk Management. NEW Backtesting and Stress Testing.
Özet:
The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Four new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual and PowerPoint slides, support its step-by-step approach to choosing tools and solving problems. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises.
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ScienceDirect An electronic book accessible through the World Wide Web; click for informationMevcut:*
Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
HD61 .C548 2012 | 137144-1001 | E-Kütüphane | Arıyor... |
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