Financial Risk Forecasting

The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab

Business & Finance, Industries & Professions, Insurance
Cover of the book Financial Risk Forecasting by Jon Danielsson, Wiley
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jon Danielsson ISBN: 9781119977117
Publisher: Wiley Publication: April 20, 2011
Imprint: Wiley Language: English
Author: Jon Danielsson
ISBN: 9781119977117
Publisher: Wiley
Publication: April 20, 2011
Imprint: Wiley
Language: English

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques.

Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated.

Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book.

The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing.

The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques.

Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated.

Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book.

The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing.

The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

More books from Wiley

Cover of the book Introduction to Information Literacy for Students by Jon Danielsson
Cover of the book Asian Financial Statement Analysis by Jon Danielsson
Cover of the book Wiley IFRS 2017 by Jon Danielsson
Cover of the book The Hologram by Jon Danielsson
Cover of the book Work Time by Jon Danielsson
Cover of the book Show Your Work by Jon Danielsson
Cover of the book Emerging Nanoelectronic Devices by Jon Danielsson
Cover of the book Evidence-Based Nursing by Jon Danielsson
Cover of the book Events Exposed by Jon Danielsson
Cover of the book Lasers in Dentistry by Jon Danielsson
Cover of the book ABC of Emergency Radiology by Jon Danielsson
Cover of the book Numerical Methods for Partial Differential Equations by Jon Danielsson
Cover of the book Mastering VBA for Microsoft Office 365 by Jon Danielsson
Cover of the book International Construction Contract Law by Jon Danielsson
Cover of the book Architectural Technology by Jon Danielsson
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy