Market Risk Analysis, Value at Risk Models

Released on by Carol Alexander
preview-18

  • Market Risk Analysis, Value at Risk Models Book Detail

  • Author : Carol Alexander
  • Release Date : 2009-02-09
  • Publisher : John Wiley & Sons
  • Genre : Business & Economics
  • Pages : 503
  • ISBN 13 : 0470997885
  • File Size : 52,52 MB
DOWNLOAD BOOK

Market Risk Analysis, Value at Risk Models by Carol Alexander PDF Summary

Book Description: 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.

Disclaimer: www.yourbookbest.com does not own Market Risk Analysis, Value at Risk Models books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.

Market Risk Analysis, Value at Risk Models

Market Risk Analysis, Value at Risk Models

File Size : 69,69 MB
Total View : 5228 Views
DOWNLOAD

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 o

Market Risk Analysis, Boxset

Market Risk Analysis, Boxset

File Size : 35,35 MB
Total View : 628 Views
DOWNLOAD

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volume

Measuring Market Risk with Value at Risk

Measuring Market Risk with Value at Risk

File Size : 35,35 MB
Total View : 9289 Views
DOWNLOAD

"This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a