Market Risk Analysis, Practical Financial Econometrics (Volume II)

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9780470998014: Market Risk Analysis, Practical Financial Econometrics (Volume II)
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Written by leading market risk academic, Professor Carol Alexander,Practical Financial Econometrics forms part two of the Market RiskAnalysis four volume set. It introduces the econometric techniquesthat are commonly applied to finance with a critical and selectiveexposition, emphasising the areas of econometrics, such as GARCH,cointegration and copulas that are required for resolving problemsin market risk analysis. The book covers material for aone-semester graduate course in applied financial econometrics in avery pedagogical fashion as each time a concept is introduced anempirical example is given, and whenever possible this isillustrated with an Excel spreadsheet.

All together, the Market Risk Analysis four volume setillustrates virtually every concept or formula with a practical,numerical example or a longer, empirical case study. Across allfour volumes there are approximately 300 numerical and empiricalexamples, 400 graphs and figures and 30 case studies many of whichare contained in interactive Excel spreadsheets available from thethe accompanying CD-ROM . Empirical examples and case studiesspecific to this volume include:

  • Factor analysis with orthogonal regressions and usingprincipal component factors;
  • Estimation of symmetric and asymmetric, normal and Studentt GARCH and E-GARCH parameters;
  • Normal, Student t, Gumbel, Clayton, normal mixturecopula densities, and simulations from these copulas withapplication to VaR and portfolio optimization;
  • Principal component analysis of yield curves with applicationsto portfolio immunization and asset/liability management;
  • Simulation of normal mixture and Markov switching GARCHreturns;
  • Cointegration based index tracking and pairs trading, witherror correction and impulse response modelling;
  • Markov switching regression models (Eviews code);
  • GARCH term structure forecasting with volatilitytargeting;
  • Non-linear quantile regressions with applications tohedging.

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From the Inside Flap:

Market Risk Analysis is a series of four volumes:

Volume I: Quantitative Methods in Finance

Volume II: Practical Financial Econometrics

Volume III: Pricing, Hedging and Trading FinancialInstruments

Volume IV: Value at Risk Models.

Although the four volumes are very much interlinked, eachcontaining numerous cross-references to other volumes, they arewritten as self-contained texts.

Volume I covers the essential mathematical and financialbackground for subsequent volumes. There are six comprehensivechapters covering all the calculus, linear algebra, probability andstatistics, numerical methods and portfolio mathematics that arenecessary for market risk analysis. It is a complete andpedagogical introduction to quantitative methods applied tofinance.

Volume II provides a detailed understanding of financialeconometrics, with a unique focus on applications to asset pricing,fund management and market risk analysis. It covers equity factormodels, including a detailed analysis of the Barra model andtracking error, principal component analysis, volatility andcorrelation, GARCH, cointegration, copulas, Markov switching,quantile regression, discrete choice models, non-linear regression,forecasting and model evaluation.

Volume III has five extensive chapters on the pricing, hedgingand trading of bonds and swaps, futures and forwards, options andvolatility, and detailed descriptions of mapping portfolios ofthese financial instruments to their risk factors. There arenumerous examples, all coded in interactive Excel spreadsheets,including many pricing formulae for exotic options but excludingthe calibration of stochastic volatility models, for which Matlabcode is provided.

Volume IV builds on the three previous volumes to provide acomprehensive and detailed treatment of market VaR models. Theexposition starts at an elementary level but, as in all the othervolumes, the pedagogical approach accompanied by numerousinteractive Excel spreadsheets allows readers to experience theapplication of parametric linear, historical simulation and MonteCarlo VaR models to increasingly complex portfolios. Startingwith simple positions, readers are soon applying risk models tolarge international securities portfolios, commodity futures, pathdependent options and much else. This rigorous treatment includesmany new results and applications to regulatory and economiccapital allocation, measurement of VaR model risk and stresstesting.

Each volume is accompanied by a CD-ROM which featuresnumerous interactive Excel spreadsheets that illustrate the vastmajority of the problems and case studies in these texts. Forfurther information see the accompanying CD-ROM

About the Author:

Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager’s International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis(John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager’s Handbook(McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world’s leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander

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Book Description John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condition: New. Volume II. Language: English. Brand new Book. 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. Seller Inventory # AAH9780470998014

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Book Description John Wiley and Sons Ltd, United Kingdom, 2008. Hardback. Condition: New. Volume II. Language: English . Brand New Book. 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. Seller Inventory # AAH9780470998014

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