Financial Market Risk: Measurement and Analysis - Hardcover
Book 14 of 115: Routledge International Studies in Money and Banking
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.
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From the Publisher
This book covers the latest theories and empirical findings of financial risk, its measurement and management, and its applications in the world of finance. Various ways for managing different types of risk - such as uncertainty, randomness, irregularity and probability - are initially measured. This book should prove to be invaluable to all students studying financial economics at an advanced level.
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.
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