 Elements of Financial Risk Managementin Elsevier Monographs from Elsevier, currently edited by Candice Janco Abstract: 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. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, 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 Keywords: ARMA; asset returns; Binomial trees; Black-Scholes-Merton model; bootstrapping; coherent stress testing; Cornish-Fisher approximation; correlation; Covariance; credit default swaps; credit VaR; DCC models; Default; dependence; distribution forecast evaluation; distributions; Expected Shortfall; extreme value theory; factor structure; Filtered Historical Simulation; full valuation; GARCH; Gram-Charlier approximation; Historical Simulation; implied volatility functions; leverage effect; linear model; market microstructure noise; maximum likelihood; Merton model; moments; Monte Carlo simulation; moving average; multivariate t distribution; normal copula; Option delta; option gamma; Probability; QQ plots; quadratic model; quasi maximum likelihood; random number generation; range-based volatility; realized covariance; Realized volatility; Real-life VaRs; recovery; regression; RiskMetrics; sampling frequency; stylized facts of returns; t copula; t distribution; Threshold correlations; Types of risk; Value-at-Risk; VAR; VaR violations; Vasicek distribution; Volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:monogr:9780123744487 Access Statistics for this book More books in Elsevier Monographs from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.