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Market Risk Analysis - Value-at-Risk Models, Volume IV

Autor: Alexander

Limbă:

Legare: Copertă tare

Editura: John Wiley & Sons Inc

Disponibilitate: În depozitul extern în cantități mici

Expediem în 11-15 zile

624.31 lei

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part...

Informații despre carte

Autor

Alexander

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2009

Pagini

492

EAN

9780470997888

ISBN

0470997885

Enbook ID

04380316

Editura

John Wiley & Sons Inc

Greutate

1036

Dimensiuni

252 x 173 x 34

Descriere completă

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, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL); New formulae for VaR based on autocorrelated returns; Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR; Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas; Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios; Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components; Backtesting and the assessment of risk model risk; Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.

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Market Risk Analysis - Value-at-Risk Models, Volume IV

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