Financial Market Risk: Measurement and Analysis (Routledge International Studies in Money and Banking) - Hardcover

Cornelis A. Los

Hardcover

ISBN 10: 041527866X ISBN 13: 9780415278669

Publisher: Routledge, 2006

Synopsis

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.

About this title

About the Author

Cornelis A. Los is Associate Professor of Finance at Kent State University, USA. In the past he has been a Senior Economist of the Federal Reserve Bank of New York and of Nomura Research Institute (America), Inc., and Chief Economist of ING Bank, New York. He has also been a Professor in Finance at Nanyang Technological University in Singapore and at Adelaide and Deakin Universities in Australia.

From the Inside Flap

What is financial market risk? How is it measured and analyzed? Is all financial market risk dangerous? If not, which risk is hedgeable? These questions, and more, are answered in this comprehensive book written by Cornelis A. Los. The text covers such issues as:

- competing financial market hypotheses;
- degree of persistence of financial market risk;
- time - frequency and time - scale analysis of financial market risk;
- chaos and other nonunique equilibrium processes;
- consequences for term structure analysis.

This important book challenges the conventional statistical ergodicity paradigm of global financial market risk analysis. As such it will be of great interest to students, academics and researchers involved in financial economics, international finance and business. It will also appeal to professionals in international banking institutions.

Edition details

• Publisher: Routledge
• Publication date: 2006
• Language: English
• ISBN 10: 041527866X
• ISBN 13: 9780415278669
• Binding: Hardcover
• Edition number: 2
• Number of pages: 496