FINANCIAL RISK FORECASTING

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Financial Risk Forecasting

Author : Jon Danielsson
ISBN : 9781119977117
Genre : Business & Economics
File Size : 49.15 MB
Format : PDF, ePub
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Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.
Category: Business & Economics

Financial Risk Forecasting

Author : Jon Danielsson
ISBN : 9781119977100
Genre : Business & Economics
File Size : 90.95 MB
Format : PDF, Docs
Download : 749
Read : 531

Financial Risk Forecasting is a complete introduction topractical quantitative risk management, with a focus on marketrisk. Derived from the authors teaching notes and years spenttraining practitioners in risk management techniques, it bringstogether the three key disciplines of finance, statistics andmodeling (programming), to provide a thorough grounding in riskmanagement techniques. Written by renowned risk expert Jon Danielsson, the book beginswith an introduction to financial markets and market prices,volatility clusters, fat tails and nonlinear dependence. It thengoes on to present volatility forecasting with both univatiate andmultivatiate methods, discussing the various methods used byindustry, with a special focus on the GARCH family of models. Theevaluation of the quality of forecasts is discussed in detail.Next, the main concepts in risk and models to forecast risk arediscussed, especially volatility, value-at-risk and expectedshortfall. The focus is both on risk in basic assets such as stocksand foreign exchange, but also calculations of risk in bonds andoptions, with analytical methods such as delta-normal VaR andduration-normal VaR and Monte Carlo simulation. The book then moveson to the evaluation of risk models with methods like backtesting,followed by a discussion on stress testing. The book concludes byfocussing on the forecasting of risk in very large and uncommonevents with extreme value theory and considering the underlyingassumptions behind almost every risk model in practical use –that risk is exogenous – and what happens when thoseassumptions are violated. Every method presented brings together theoretical discussionand derivation of key equations and a discussion of issues inpractical implementation. Each method is implemented in both MATLABand R, two of the most commonly used mathematical programminglanguages for risk forecasting with which the reader can implementthe models illustrated in the book. The book includes four appendices. The first introduces basicconcepts in statistics and financial time series referred tothroughout the book. The second and third introduce R and MATLAB,providing a discussion of the basic implementation of the softwarepackages. And the final looks at the concept of maximum likelihood,especially issues in implementation and testing. The book is accompanied by a website - ahref="http://www.financialriskforecasting.com/"www.financialriskforecasting.com/a– which features downloadable code as used in the book.
Category: Business & Economics

Quantitative Financial Risk Management

Author : Desheng Dash Wu
ISBN : 3642193390
Genre : Business & Economics
File Size : 58.30 MB
Format : PDF, ePub, Docs
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The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management to diverse business environments. Included are traditional market and credit risk management models such as the Black-Scholes Option Pricing Model, the Vasicek Model, Factor models, CAPM models, GARCH models, KMV models and credit scoring models.
Category: Business & Economics

Systemic Real And Financial Risks

Author : Marcella Lucchetta
ISBN : 9781463946968
Genre : Business & Economics
File Size : 78.14 MB
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This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk indicators to structural shocks identified by standard macroeconomic and banking theory. Using a large number of quarterly time series of the G-7 economies in 1980Q1-2010Q2, we show that the model exhibits significant out-of sample forecasting power for tail real and financial risk realizations, and that stress testing provides useful early warnings on the build-up of real and financial vulnerabilities.
Category: Business & Economics

Elements Of Financial Risk Management

Author : Peter Christoffersen
ISBN : 9780080472614
Genre : Business & Economics
File Size : 58.63 MB
Format : PDF
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Elements of Financial Risk Management offers an introduction to modern risk management. It focuses on implementation, especially recent techniques which facilitate bridging the gap between standard textbooks on risk and real-life risk management systems. It identifies key features of risk asset returns and captures them in tractable statistical models in the companion website. It presents step-by-step approaches as a means to solve problems. This book is intended for three types of readers with an interest in financial risk management. First, Master's and Ph.D. students specializing in finance and economics. Second, market practitioners with a quantitative undergraduate or graduate degree. Third, a small group of advanced undergraduates majoring in either economics, engineering, finance, or another quantitative field. The book will also suit those in financial engineering courses who have strong quantitative backgrounds and those in Ph.D. courses. *Pinpoints key features of risk asset returns and captures them in tractable statistical models in the companion website *Presents step-by-step approaches as a means to solve problems *Visible patterns in the data motivate the choices of tools, and when tools fall short, it presents the next tool
Category: Business & Economics

Financial Risk Management

Author : Allan M. Malz
ISBN : 9781118022917
Genre : Business & Economics
File Size : 52.51 MB
Format : PDF
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Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: Market risk, from Value-at-Risk (VaR) to risk models for options Credit risk, from portfolio credit risk to structured credit products Model risk and validation Risk capital and stress testing Liquidity risk, leverage, systemic risk, and the forms they take Financial crises, historical and current, their causes and characteristics Financial regulation and its evolution in the wake of the global crisis And much more Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.
Category: Business & Economics

Value At Risk 3rd Ed

Author : Philippe Jorion
ISBN : 9780071736923
Genre : Business & Economics
File Size : 33.83 MB
Format : PDF
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Since its original publication, Value at Risk has become the industry standard in risk management. Now in its Third Edition, this international bestseller addresses the fundamental changes in the field that have occurred across the globe in recent years. Philippe Jorion provides the most current information needed to understand and implement VAR-as well as manage newer dimensions of financial risk. Featured updates include: An increased emphasis on operational risk Using VAR for integrated risk management and to measure economic capital Applications of VAR to risk budgeting in investment management Discussion of new risk-management techniques, including extreme value theory, principal components, and copulas Extensive coverage of the recently finalized Basel II capital adequacy rules for commercial banks, integrated throughout the book A major new feature of the Third Edition is the addition of short questions and exercises at the end of each chapter, making it even easier to check progress. Detailed answers are posted on the companion web site www.pjorion.com/var/. The web site contains other materials, including additional questions that course instructors can assign to their students. Jorion leaves no stone unturned, addressing the building blocks of VAR from computing and backtesting models to forecasting risk and correlations. He outlines the use of VAR to measure and control risk for trading, for investment management, and for enterprise-wide risk management. He also points out key pitfalls to watch out for in risk-management systems. The value-at-risk approach continues to improve worldwide standards for managing numerous types of risk. Now more than ever, professionals can depend on Value at Risk for comprehensive, authoritative counsel on VAR, its application, and its results-and to keep ahead of the curve.
Category: Business & Economics