Market Risk Analysis pdf epub mobi txt 電子書 下載 2024


Market Risk Analysis

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Carol Alexander
John Wiley & Sons
2008-4-18
416
GBP 55.00
Hardcover
9780470998014

圖書標籤: 金融  Carol.Alexander  risk  quant  finance  英文  trading  quantitative   


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发表于2024-12-24

Market Risk Analysis epub 下載 mobi 下載 pdf 下載 txt 電子書 下載 2024

Market Risk Analysis epub 下載 mobi 下載 pdf 下載 txt 電子書 下載 2024

Market Risk Analysis pdf epub mobi txt 電子書 下載 2024



圖書描述

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 each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. 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: Factor analysis with orthogonal regressions and using principal component factors; Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters; Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization; Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management; Simulation of normal mixture and Markov switching GARCH returns; Cointegration based index tracking and pairs trading, with error correction and impulse response modelling; Markov switching regression models (Eviews code); GARCH term structure forecasting with volatility targeting; Non-linear quantile regressions with applications to hedging.

Market Risk Analysis 下載 mobi epub pdf txt 電子書

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Market Risk Analysis pdf epub mobi txt 電子書 下載
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