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; Cointegrationbased 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.
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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; Cointegrationbased 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.
Imprint | John Wiley & Sons |
Country of origin | United States |
Release date | April 2008 |
Availability | Expected to ship within 12 - 17 working days |
First published | June 2008 |
Authors | C. Alexander |
Dimensions | 253 x 177 x 30mm (L x W x T) |
Format | Hardcover |
Pages | 396 |
Edition | Volume II |
ISBN-13 | 978-0-470-99801-4 |
Barcode | 9780470998014 |
Categories | |
LSN | 0-470-99801-6 |