Elements of Financial Risk Management: A Buyside Perspective Using Excel and MATLAB

Elements of Financial Risk Management: A Buyside Perspective Using Excel and MATLAB, Third Edition focuses on the implementation of techniques that help students and practitioners bridge the gap between standard textbooks on risk and real-life risk management systems. Without a highly sophisticated quant background, readers can understand its detailed and comprehensive coverage of most market-risk related topics. More a financial econometrics book than a financial risk management book, it shows how to apply tools developed in financial econometrics to risk management. It differs from typical risk management books by digging more deeply in the assumptions and models behind risk calculations. Covers both new research streams (e.g., asymmetrical t distributions) and new areas of interest for practitioners, such as external stress testingIncludes 4 new chapters, updates every existing chapter, and expands its pedagogical elements to include MATLAB exercisesEnables students and practitioners to grasp most concepts and techniques with limited knowledge of basic statistics and financial mathematics INDICE: Part I: The Fundamentals of Financial Risk Management 1. Risk Management and Financial Returns 2. Historical Simulation, Value-at-Risk, and Expected Shortfall 3. Time Series Analysis for Financial Risk Management 4. Backtesting and Stress Testing Part II Univariate Risk Models 5. Volatility Modeling Using Daily Data 6. Volatility Modeling Using Intraday Data 7. Nonnormal Distributions Part III Multivariate Risk Models 8. Covariance and Correlation Models 9. Simulating the Term Structure of Risk 10. Distributions and Copulas for Integrated Risk Management 11. Risk Management Using the Asymmetric t Distribution Part IV: From Risk Management to Asset Management 12. Mean-Variance Portfolio Optimization and the Single Factor Model 13. Multifactor Models 14. Asset Management with Factor Structure Part V Option Risk and Credit Risk 15. Option Pricing 16. Option Risk Management 17. The Risk and Return to Option Strategies 18. Credit Risk Management

• ISBN: 978-0-12-815006-1
• Editorial: Academic Press
• Encuadernacion: Rústica
• Páginas: 400
• Fecha Publicación: 15/01/2019
• Nº Volúmenes: 1
• Idioma: Inglés