Statistical Analysis of Financial Data

Rupak Chatterjee

Chapter Chapter 3 in Practical Methods of Financial Engineering and Risk Management, 2014, pp 65-141 from Springer

Abstract: Abstract Chapters 1 and 2 presented various financial instruments in the form of market data familiar to Wall Street traders—namely, Bloomberg screens. Chapter 3 lays the mathematical foundation for the valuation of financial instruments, which depends in the first place on an analysis of the likelihood of future events using the tools of statistics and probability. This chapter shows you how to perform a statistical analysis of a given financial instrument by first identifying a suitable probability distribution and then calibrating it appropriately. Finally, this chapter discusses Risk measures such as value at risk, conditional value at risk, and the term structure of statistics.

Keywords: Risk Measure; Trading Strategy; Term Structure; Hedge Fund; Modern Portfolio Theory (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4302-6134-6_3

Ordering information: This item can be ordered from
http://www.springer.com/9781430261346

DOI: 10.1007/978-1-4302-6134-6_3

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla (sonal.shukla@springer.com) and Springer Nature Abstracting and Indexing (indexing@springernature.com).