Econometrics of Risk

Econometrics of Risk
Author: Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta,Komsan Suriya
Publsiher: Springer
Total Pages: 498
Release: 2014-12-15
ISBN 10: 3319134493
ISBN 13: 9783319134499
Language: EN, FR, DE, ES & NL

Econometrics of Risk Book Review:

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.

The Econometrics of Individual Risk

The Econometrics of Individual Risk
Author: Christian Gourieroux,Joann Jasiak
Publsiher: Princeton University Press
Total Pages: 256
Release: 2015-07-28
ISBN 10: 0691168210
ISBN 13: 9780691168210
Language: EN, FR, DE, ES & NL

The Econometrics of Individual Risk Book Review:

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
Author: Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollmer
Publsiher: Springer Science & Business Media
Total Pages: 306
Release: 2012-12-06
ISBN 10: 3642582729
ISBN 13: 9783642582721
Language: EN, FR, DE, ES & NL

Risk Measurement Econometrics and Neural Networks Book Review:

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.

Econometrics and Risk Management

Econometrics and Risk Management
Author: Thomas B. Fomby,Jean-Pierre Fouque,Knut Solna
Publsiher: Emerald Group Publishing
Total Pages: 304
Release: 2008-12-01
ISBN 10: 1848551975
ISBN 13: 9781848551978
Language: EN, FR, DE, ES & NL

Econometrics and Risk Management Book Review:

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.

Market Risk Analysis Practical Financial Econometrics

Market Risk Analysis  Practical Financial Econometrics
Author: Carol Alexander
Publsiher: John Wiley & Sons
Total Pages: 426
Release: 2008-04-30
ISBN 10: 0470771038
ISBN 13: 9780470771037
Language: EN, FR, DE, ES & NL

Market Risk Analysis Practical Financial Econometrics Book Review:

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.

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics
Author: Simone Manganelli
Publsiher: Unknown
Total Pages: 240
Release: 2000
ISBN 10:
ISBN 13: UCSD:31822028304194
Language: EN, FR, DE, ES & NL

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

The dynamics of cooperate credit risk An intensity based econometric

The dynamics of cooperate credit risk  An intensity based econometric
Author: Anonim
Publsiher: Rozenberg Publishers
Total Pages: 218
Release: 2008
ISBN 10: 9051709293
ISBN 13: 9789051709292
Language: EN, FR, DE, ES & NL

The dynamics of cooperate credit risk An intensity based econometric Book Review:

Financial Econometric Modeling of Risk in Commodity Markets

Financial Econometric Modeling of Risk in Commodity Markets
Author: Jeongseok Song
Publsiher: Unknown
Total Pages: 324
Release: 2004
ISBN 10:
ISBN 13: MSU:31293025043476
Language: EN, FR, DE, ES & NL

Financial Econometric Modeling of Risk in Commodity Markets Book Review:

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
Author: Mark Ollunga Odhiambo
Publsiher: Unknown
Total Pages: 448
Release: 1983
ISBN 10:
ISBN 13: UCAL:X16265
Language: EN, FR, DE, ES & NL

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

A Country Risk Index Econometric Formulation and an Application to Mexico

A Country Risk Index   Econometric Formulation and an Application to Mexico
Author: Michael Melvin (Economist),Don Schlagenhauf
Publsiher: Unknown
Total Pages: 70
Release: 1984
ISBN 10:
ISBN 13: IND:30000112290964
Language: EN, FR, DE, ES & NL

A Country Risk Index Econometric Formulation and an Application to Mexico Book Review:

Econometric Models for Time Varying Risk Premiums

Econometric Models for Time Varying Risk Premiums
Author: Russell Phillip Robins
Publsiher: Unknown
Total Pages: 152
Release: 1982
ISBN 10:
ISBN 13: UCSD:31822010005320
Language: EN, FR, DE, ES & NL

Econometric Models for Time Varying Risk Premiums Book Review:

Journal of Econometrics

Journal of Econometrics
Author: Anonim
Publsiher: Unknown
Total Pages: 329
Release: 2002
ISBN 10:
ISBN 13: UCAL:B4546526
Language: EN, FR, DE, ES & NL

Journal of Econometrics Book Review:

Applied Econometrics with SAS

Applied Econometrics with SAS
Author: Barry K. Goodwin,A. Ford Ramsey,Jan Chvosta
Publsiher: SAS Institute
Total Pages: 180
Release: 2018-04-04
ISBN 10: 1635260507
ISBN 13: 9781635260502
Language: EN, FR, DE, ES & NL

Applied Econometrics with SAS Book Review:

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 Valuation and Econometrics

Financial Valuation and Econometrics
Author: Kian Guan Lim
Publsiher: World Scientific
Total Pages: 481
Release: 2011
ISBN 10: 9814307955
ISBN 13: 9789814307956
Language: EN, FR, DE, ES & NL

Financial Valuation and Econometrics Book Review:

This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics modeling, and the empirical analyses of financial data by applying appropriate econometric techniques. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and methods for investment and financial decision-making. The book is targeted at advanced finance undergraduates and beginner professionals performing financial forecasts or empirical modeling who will find it refreshing to see how forecasting is not simply running a least squares regression line across data points, and that there are many minefields and pitfalls to avoid, such as spurious results and incorrect interpretations.

Brazilian Review of Econometrics

Brazilian Review of Econometrics
Author: Anonim
Publsiher: Unknown
Total Pages: 329
Release: 2006
ISBN 10:
ISBN 13: UCSD:31822035836022
Language: EN, FR, DE, ES & NL

Brazilian Review of Econometrics Book Review:

The Econometrics of Financial Markets

The Econometrics of Financial Markets
Author: John Y. Campbell,Andrew W. Lo,A. Craig MacKinlay
Publsiher: Princeton University Press
Total Pages: 632
Release: 2012-06-28
ISBN 10: 1400830214
ISBN 13: 9781400830213
Language: EN, FR, DE, ES & NL

The Econometrics of Financial Markets Book Review:

The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.

The Practice of Econometrics

The Practice of Econometrics
Author: Ernst R. Berndt
Publsiher: Reading, Mass. ; Don Mills, Ont. : Addison-Wesley Publishing Company
Total Pages: 702
Release: 1991
ISBN 10:
ISBN 13: STANFORD:36105002262173
Language: EN, FR, DE, ES & NL

The Practice of Econometrics Book Review:

Introductory Econometrics for Finance

Introductory Econometrics for Finance
Author: Chris Brooks
Publsiher: Cambridge University Press
Total Pages: 648
Release: 2008-05-22
ISBN 10: 052169468X
ISBN 13: 9780521694681
Language: EN, FR, DE, ES & NL

Introductory Econometrics for Finance Book Review:

This best-selling introduction to econometrics is specifically written for finance students. The new edition builds on the successful data- and problem-driven approach of the first edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts.

Nonparametric and Semiparametric Methods in Econometrics and Statistics

Nonparametric and Semiparametric Methods in Econometrics and Statistics
Author: William A. Barnett,James Powell,George E. Tauchen
Publsiher: Cambridge University Press
Total Pages: 508
Release: 1991-06-28
ISBN 10: 9780521424318
ISBN 13: 0521424313
Language: EN, FR, DE, ES & NL

Nonparametric and Semiparametric Methods in Econometrics and Statistics Book Review:

Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.

Journal of Economic Theory and Econometrics

Journal of Economic Theory and Econometrics
Author: Anonim
Publsiher: Unknown
Total Pages: 329
Release: 1997
ISBN 10:
ISBN 13: UCSD:31822022960876
Language: EN, FR, DE, ES & NL

Journal of Economic Theory and Econometrics Book Review: