Umfang:
XVI, 326 S.
,
graph. Darst.
Ausgabe:
2. ed.
Ausgabe:
Online-Ausg. Amsterdam [u.a] Elsevier 2011 Online-Ressource ScienceDirect
ISBN:
9780123744487
,
9781283347693
,
0123744482
,
9780080922430
Inhalt:
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
Anmerkung:
Includes bibliographical references and index. - Print version record
,
Front cover; Elements of Financial Risk Management; Copyright; Dedication; Table of Contents; Preface; Acknowledgments; Part I: Background; Chapter 1. Risk Management and Financial Returns; 1 Chapter Outline; 2 Learning Objectives; 3 Risk Management and the Firm; 3.1 Why Should Firms Manage Risk?; 3.2 Evidence on Risk Management Practices; 3.3 Does Risk Management Improve Firm Performance?; 4 A Brief Taxonomy of Risks; 5 Asset Returns Definitions; 6 Stylized Facts of Asset Returns; 7 A Generic Model of Asset Returns; 8 From Asset Prices to Portfolio Returns
,
9 Introducing the Value-at-Risk (VaR) Risk Measure10 Overview of the Book; Appendix: Return VaR and VaR; Further Resources; References; Empirical Exercises; Chapter 2. Historical Simulation, Value-at-Risk, and Expected Shortfall; 1 Chapter Overview; 2 Historical Simulation; 2.1 Defining Historical Simulation; 2.2 Pros and Cons of Historical Simulation; 3 Weighted Historical Simulation (WHS); 4 Evidence from the 2008-2009 Crisis; 5 The True Probability of Breaching the HS VaR; 6 VaR with Extreme Coverage Rates; 7 Expected Shortfall; 8 Summary; Further Resources; References
,
Empirical ExercisesChapter 3. A Primer on Financial Time Series Analysis; 1 Chapter Overview; 2 Probability Distributions and Moments; 2.1 Univariate Probability Distributions; 2.2 Bivariate Distributions; 2.3 Conditional Distributions; 2.4 Sample Moments; 3 The Linear Model; 3.1 The Importance of Data Plots; 4 Univariate Time Series Models; 4.1 Autocorrelation; 4.2 Autoregressive (AR) Models; 4.3 Moving Average (MA) Models; 4.4 Combining AR and MA into ARMA Models; 4.5 Random Walks, Units Roots, and ARIMA Models; 4.6 Pitfall 1: Spurious Mean-Reversion; 4.7 Testing for Unit Roots
,
5 Multivariate Time Series Models5.1 Time Series Regression; 5.2 Pitfall 2: Spurious Regression; 5.3 Cointegration; 5.4 Cross-Correlations; 5.5 Vector Autoregressions (VAR); 5.6 Pitfall 3: Spurious Causality; 6 Summary; Further Resources; References; Empirical Exercises; Part II: Univariate Risk Models; Chapter 4. Volatility Modeling Using Daily Data; 1 Chapter Overview; 2 Simple Variance Forecasting; 3 The GARCH Variance Model; 4 Maximum Likelihood Estimation; 4.1 Standard Maximum Likelihood Estimation; 4.2 Quasi-Maximum Likelihood Estimation; 4.3 An Example; 5. Extensions to the GARCH Model
,
5.1 The Leverage Effect5.2 More General News Impact Functions; 5.3 More General Dynamics; 5.4 Explanatory Variables; 5.5 Generalizing the Low Frequency Variance Dynamics; 5.6 Estimation of Extended Models; 6. Variance Model Evaluation; 6.1 Model Comparisons Using LR Tests; 6.2 Diagnostic Check on the Autocorrelations; 6.3 Volatility Forecast Evaluation Using Regression; 6.4 The Volatility Forecast Loss Function; 7 Summary; Appendix A: Component GARCH and GARCH(2,2); Appendix B: The HYGARCH Long-Memory Model; Further Resources; References; Empirical Exercises
,
Chapter 5. Volatility Modeling Using Intraday Data
Weitere Ausg.:
ISBN 9780080922430
Weitere Ausg.:
ISBN 0080922430
Weitere Ausg.:
ISBN 9780123744487
Weitere Ausg.:
Erscheint auch als Druck-Ausgabe Christoffersen, Peter F Elements of financial risk management Amsterdam ; Boston : Academic Press, c2012
Sprache:
Englisch
Fachgebiete:
Wirtschaftswissenschaften
Schlagwort(e):
Risikomanagement
;
Risikomanagement
;
Finanzmanagement
;
Electronic books
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