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Econometrics of Risk

Econometrics of Risk
A Book

by Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta,Komsan Suriya

  • Publisher : Springer
  • Release : 2014-12-15
  • Pages : 498
  • ISBN : 3319134493
  • Language : En, Es, Fr & De
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This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.

Econometrics and Risk Management

Econometrics and Risk Management
A Book

by Thomas B. Fomby,Jean-Pierre Fouque,Knut Solna

  • Publisher : Emerald Group Publishing
  • Release : 2008-12-01
  • Pages : 304
  • ISBN : 1848551967
  • Language : En, Es, Fr & De
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Covers credit risk and credit derivatives. This book offers several points of view on credit risk when looked at from the perspective of Econometrics and Financial Mathematics. It addresses the challenge of modeling defaults and their correlations, and results on copula, reduced form and structural models, and the top-down approach.

The Econometrics of Individual Risk

The Econometrics of Individual Risk
Credit, Insurance, and Marketing

by Christian Gourieroux,Joann Jasiak

  • Publisher : Princeton University Press
  • Release : 2015-07-28
  • Pages : 256
  • ISBN : 0691168210
  • Language : En, Es, Fr & De
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The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.

Risk Measurement, Econometrics and Neural Networks

Risk Measurement, Econometrics and Neural Networks
Selected Articles of the 6th Econometric-Workshop in Karlsruhe, Germany

by Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollmer

  • Publisher : Springer Science & Business Media
  • Release : 2012-12-06
  • Pages : 306
  • ISBN : 3642582729
  • Language : En, Es, Fr & De
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This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and credit risk.

Market Risk Analysis, Practical Financial Econometrics

Market Risk Analysis, Practical Financial Econometrics
A Book

by Carol Alexander

  • Publisher : John Wiley & Sons
  • Release : 2008-04-30
  • Pages : 426
  • ISBN : 0470771038
  • Language : En, Es, Fr & De
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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.

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
A Book

by G. Gregoriou,R. Pascalau

  • Publisher : Springer
  • Release : 2010-12-13
  • Pages : 257
  • ISBN : 0230298109
  • Language : En, Es, Fr & De
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This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.

Risk Econometrics

Risk Econometrics
A Practical Guide to Bayesian and Frequentist Methods

by Elena Goldman

  • Publisher : Academic Press
  • Release : 2020-08
  • Pages : 250
  • ISBN : 9780128178645
  • Language : En, Es, Fr & De
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Risk Econometrics: A Practical Guide to Bayesian and Frequentist Methods serves as a guide to mastering a growing number of applications in network analysis, environmental science and healthcare. By avoiding a focus either on time series or cross-sectional/panel data methods and adopting either Frequentist (Classical) or Bayesian approaches, it trains readers to recognize the most important aspects of applied Frequentist and Bayesian statistics, emphasizing methods, insights, and popular advances widely used during the last ten years. Sections dive deeply into the assumptions and pros and cons of statistical methods. Based on R and Python, and accompanied by both exercises and research projects, this book reinforces a balance between theory and practice that other books, wedded to only one statistical method, cannot match. Combines Frequentist and Bayesian methods in time series, cross sectional and panel data settings with an emphasis on risk modeling using R and Python Includes exercises and applications in new industry projects, such as Risk and return of environmental funds, Systemic risk measures using Bayesian and Frequentist methods, Initial margin setting for Central Clearing Counterparties (CCPs), and Measuring overall risk associated with a security relative to the market using MSCI Barra Factor Models

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics
A Book

by Simone Manganelli

  • Publisher : Unknown Publisher
  • Release : 2000
  • Pages : 240
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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High Frequency Financial Econometrics

High Frequency Financial Econometrics
Recent Developments

by Luc Bauwens,Winfried Pohlmeier,David Veredas

  • Publisher : Springer Science & Business Media
  • Release : 2007-12-31
  • Pages : 312
  • ISBN : 9783790819922
  • Language : En, Es, Fr & De
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Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Applied Econometrics with SAS

Applied Econometrics with SAS
Modeling Demand, Supply, and Risk

by Barry K. Goodwin,A. Ford Ramsey,Jan Chvosta

  • Publisher : SAS Institute
  • Release : 2018-04-04
  • Pages : 180
  • ISBN : 1635260507
  • Language : En, Es, Fr & De
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Using Applied Econometrics with SAS: Modeling Demand, Supply, and Risk, you will quickly master SAS applications for implementing and estimating standard models in the field of econometrics. This guide introduces you to the major theories underpinning applied demand and production economics. For each of its three main topics—demand, supply, and risk—a concise theoretical orientation leads directly into consideration of specific economic models and econometric techniques, collectively covering the following: Double-log demand systems Linear expenditure systems Almost ideal demand systems Rotterdam models Random parameters logit demand models Frequency-severity models Compound distribution models Cobb-Douglas production functions Translogarithmic cost functions Generalized Leontief cost functions Density estimation techniques Copula models SAS procedures that facilitate estimation of demand, supply, and risk models include the following, among others: PROC MODEL PROC COPULA PROC SEVERITY PROC KDE PROC LOGISTIC PROC HPCDM PROC IML PROC REG PROC COUNTREG PROC QLIM An empirical example, SAS programming code, and a complete data set accompany each econometric model, empowering you to practice these techniques while reading. Examples are drawn from both major scholarly studies and business applications so that professors, graduate students, government economic researchers, agricultural analysts, actuaries, and underwriters, among others, will immediately benefit. This book is part of the SAS Press program.

Financial Econometric Modeling of Risk in Commodity Markets

Financial Econometric Modeling of Risk in Commodity Markets
A Book

by Jeongseok Song

  • Publisher : Unknown Publisher
  • Release : 2004
  • Pages : 324
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Production Risk and Decision Making: Testing Alternative Econometric Models with Evidence from Egyptian Cotton Production

Production Risk and Decision Making: Testing Alternative Econometric Models with Evidence from Egyptian Cotton Production
A Book

by Mark Ollunga Odhiambo

  • Publisher : Unknown Publisher
  • Release : 1983
  • Pages : 448
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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Granularity Theory with Applications to Finance and Insurance

Granularity Theory with Applications to Finance and Insurance
A Book

by Patrick Gagliardini,Christian Gouriéroux

  • Publisher : Cambridge University Press
  • Release : 2014-10-06
  • Pages : 329
  • ISBN : 1316061868
  • Language : En, Es, Fr & De
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The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.

Financial Econometrics

Financial Econometrics
From Basics to Advanced Modeling Techniques

by Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić

  • Publisher : John Wiley & Sons
  • Release : 2007-03-22
  • Pages : 560
  • ISBN : 0470121521
  • Language : En, Es, Fr & De
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A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics
A Book

by Burcu Adıgüzel Mercangöz

  • Publisher : Springer Nature
  • Release : 2021-03-21
  • Pages : 456
  • ISBN : 3030541088
  • Language : En, Es, Fr & De
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This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Modeling Dependence in Econometrics

Modeling Dependence in Econometrics
A Book

by Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta

  • Publisher : Springer Science & Business Media
  • Release : 2013-11-18
  • Pages : 575
  • ISBN : 3319033956
  • Language : En, Es, Fr & De
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In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.

Financial Econometrics and Empirical Market Microstructure

Financial Econometrics and Empirical Market Microstructure
A Book

by Anil K. Bera,Sergey Ivliev,Fabrizio Lillo

  • Publisher : Springer
  • Release : 2014-11-18
  • Pages : 284
  • ISBN : 3319099469
  • Language : En, Es, Fr & De
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In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis. ​

Market Risk Analysis

Market Risk Analysis
A Book

by Carol Alexander

  • Publisher : Wiley
  • Release : 2009-02-24
  • Pages : 1652
  • ISBN : 9780470997994
  • Language : En, Es, Fr & De
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Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications. Volume I: Quantitative Methods in Finance covers the essential mathematical and financial background for subsequent volumes. Although many readers will already be familiar with this material, few competing texts contain such a complete and pedagogical exposition of all the basic quantitative concepts required for market risk analysis. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. This is an ideal background text for a Masters course in finance. Volume II: Practical Financial Econometrics provides a detailed understanding of financial econometrics, with applications to asset pricing and fund management as well as to market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation. Volume III: Pricing, Hedging and Trading Financial Instruments has five very long chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility as well detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided. The chapters on options and volatility together constitute 50% of the book, the slightly longer chapter on volatility concentrating on the dynamic properties the two volatility surfaces the implied and the local volatility surfaces that accompany an option pricing model, with particular reference to hedging. Volume IV: Value at Risk Models builds on the three previous volumes to provide by far the most comprehensive and detailed treatment of market VaR models that is currently available in any textbook. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, after a few chapters we apply value-at-risk models to interest rate sensitive portfolios, large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.

Journal for studies in economics and econometrics

Journal for studies in economics and econometrics
A Book

by Anonim

  • Publisher : Unknown Publisher
  • Release : 2006
  • Pages : 329
  • ISBN : 9876543210XXX
  • Language : En, Es, Fr & De
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The Basics of Financial Econometrics

The Basics of Financial Econometrics
Tools, Concepts, and Asset Management Applications

by Frank J. Fabozzi,Sergio M. Focardi,Svetlozar T. Rachev,Bala G. Arshanapalli

  • Publisher : John Wiley & Sons
  • Release : 2014-03-04
  • Pages : 448
  • ISBN : 1118727231
  • Language : En, Es, Fr & De
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An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.