Items related to Financial Risk Management: A Simple Introduction

Financial Risk Management: A Simple Introduction - Softcover

Book 12 of 20: Simple Introductions

Erickson, K. H.

 
9781500349240: Financial Risk Management: A Simple Introduction
Softcover
ISBN 10: 1500349240 ISBN 13: 9781500349240
Publisher: CreateSpace Independent Publishing Platform, 2014

Synopsis

Financial Risk Management: A Simple Introduction presents a detailed guide to some of the central ideas and tools of financial risk management, with theory, examples, formulas, and calculations to illustrate the analysis.


Calculate leverage, duration, modified duration, and convexity to find the risk exposure and interest rate risk sensitivity of an asset. Understand bond immunization to manage risk, and assess non-vanilla bond risk using both effective duration and effective convexity.


Use value at risk to forecast maximum losses over a period, with detailed step by step instructions provided to using the variance-covariance, historical simulation, and Monte Carlo methods. Learn how to perform autocorrelation and unit root tests to test the square root of time rule.


Conduct time-varying volatility analysis, using detailed steps to create an exponentially weighted moving average and then backtest it for robustness.


Apply financial risk management tools to the empirical 1994 bankruptcy of Orange County, California to determine if it could have been avoided, and assess a number of financial derivative hedge instruments.

"synopsis" may belong to another edition of this title.

Publisher
CreateSpace Independent Publishing Platform
Publication date
2014
Language
English
ISBN 10 
1500349240
ISBN 13 
9781500349240
Binding
Paperback
Number of pages
102