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: 1848551967
ISBN 13: 9781848551961
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.

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.

Risk Econometrics

Risk Econometrics
Author: Elena Goldman
Publsiher: Academic Press
Total Pages: 250
Release: 2020-08
ISBN 10: 9780128178645
ISBN 13: 0128178647
Language: EN, FR, DE, ES & NL

Risk Econometrics Book Review:

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

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.

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:

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.

Exam Prep for: The Econometrics of Individual Risk

Exam Prep for: The Econometrics of Individual Risk
Author: Anonim
Publsiher: Anonim
Total Pages: 329
Release:
ISBN 10:
ISBN 13:
Language: EN, FR, DE, ES & NL

Exam Prep for: The Econometrics of Individual Risk Book Review:

Financial Valuation And Econometrics (2nd Edition)

Financial Valuation And Econometrics (2nd Edition)
Author: Kian Guan Lim
Publsiher: World Scientific Publishing Company
Total Pages: 604
Release: 2015-04-15
ISBN 10: 981464403X
ISBN 13: 9789814644037
Language: EN, FR, DE, ES & NL

Financial Valuation And Econometrics (2nd Edition) Book Review:

This book is an introduction to financial valuation and financial data analyses using econometric methods. It is intended for advanced finance undergraduates and graduates. Most chapters in the book would contain one or more finance application examples where finance concepts, and sometimes theory, are taught.This book is a modest attempt to bring together several important domains in financial valuation theory, in econometrics modelling, and in the empirical analyses of financial data. These domains are highly intertwined and should be properly understood in order to correctly and effectively harness the power of data and statistical or econometrics methods for investment and financial decision-making.The contribution in this book, and at the same time, its novelty, is in employing materials in basic econometrics, particularly linear regression analyses, and weaving into it threads of foundational finance theory, concepts, ideas, and models. It provides a clear pedagogical approach to allow very effective learning by a finance student who wants to be well equipped in both theory and ability to research the data.This is a handy book for finance professionals doing research to easily access the key techniques in data analyses using regression methods. Students learn all 3 skills at once — finance, econometrics, and data analyses. It provides for very solid and useful learning for advanced undergraduate and graduate students who wish to work in financial analyses, risk analyses, and financial research areas.

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: Anonim
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 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.

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.

Financial Econometrics

Financial Econometrics
Author: Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Publsiher: John Wiley & Sons
Total Pages: 560
Release: 2007-03-22
ISBN 10: 0470121521
ISBN 13: 9780470121528
Language: EN, FR, DE, ES & NL

Financial Econometrics Book Review:

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.

Financial Econometrics and Empirical Market Microstructure

Financial Econometrics and Empirical Market Microstructure
Author: Anil K. Bera,Sergey Ivliev,Fabrizio Lillo
Publsiher: Springer
Total Pages: 284
Release: 2014-11-18
ISBN 10: 3319099469
ISBN 13: 9783319099460
Language: EN, FR, DE, ES & NL

Financial Econometrics and Empirical Market Microstructure Book Review:

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. ​

Econometrics of Information and Efficiency

Econometrics of Information and Efficiency
Author: Jati Sengupta
Publsiher: Springer Science & Business Media
Total Pages: 256
Release: 1993-07-31
ISBN 10: 9780792323532
ISBN 13: 079232353X
Language: EN, FR, DE, ES & NL

Econometrics of Information and Efficiency Book Review:

Broadly viewed, information theory analyzes the uncertainty of a given set of data and its probabilistic characteristics. Whereas the economic theory of information emphasizes the value of information to agents in a market, the entropy theory stresses the various aspects of imprecision of data and their interactions with the subjective decision processes.

Nonparametric Econometrics

Nonparametric Econometrics
Author: Qi Li,Jeffrey Scott Racine
Publsiher: Princeton University Press
Total Pages: 768
Release: 2011-10-09
ISBN 10: 1400841062
ISBN 13: 9781400841066
Language: EN, FR, DE, ES & NL

Nonparametric Econometrics Book Review:

Until now, students and researchers in nonparametric and semiparametric statistics and econometrics have had to turn to the latest journal articles to keep pace with these emerging methods of economic analysis. Nonparametric Econometrics fills a major gap by gathering together the most up-to-date theory and techniques and presenting them in a remarkably straightforward and accessible format. The empirical tests, data, and exercises included in this textbook help make it the ideal introduction for graduate students and an indispensable resource for researchers. Nonparametric and semiparametric methods have attracted a great deal of attention from statisticians in recent decades. While the majority of existing books on the subject operate from the presumption that the underlying data is strictly continuous in nature, more often than not social scientists deal with categorical data--nominal and ordinal--in applied settings. The conventional nonparametric approach to dealing with the presence of discrete variables is acknowledged to be unsatisfactory. This book is tailored to the needs of applied econometricians and social scientists. Qi Li and Jeffrey Racine emphasize nonparametric techniques suited to the rich array of data types--continuous, nominal, and ordinal--within one coherent framework. They also emphasize the properties of nonparametric estimators in the presence of potentially irrelevant variables. Nonparametric Econometrics covers all the material necessary to understand and apply nonparametric methods for real-world problems.

Reliability and Risk

Reliability and Risk
Author: Nozer D. Singpurwalla
Publsiher: John Wiley & Sons
Total Pages: 396
Release: 2006-08-14
ISBN 10: 0470060336
ISBN 13: 9780470060339
Language: EN, FR, DE, ES & NL

Reliability and Risk Book Review:

We all like to know how reliable and how risky certain situations are, and our increasing reliance on technology has led to the need for more precise assessments than ever before. Such precision has resulted in efforts both to sharpen the notions of risk and reliability, and to quantify them. Quantification is required for normative decision-making, especially decisions pertaining to our safety and wellbeing. Increasingly in recent years Bayesian methods have become key to such quantifications. Reliability and Risk provides a comprehensive overview of the mathematical and statistical aspects of risk and reliability analysis, from a Bayesian perspective. This book sets out to change the way in which we think about reliability and survival analysis by casting them in the broader context of decision-making. This is achieved by: Providing a broad coverage of the diverse aspects of reliability, including: multivariate failure models, dynamic reliability, event history analysis, non-parametric Bayes, competing risks, co-operative and competing systems, and signature analysis. Covering the essentials of Bayesian statistics and exchangeability, enabling readers who are unfamiliar with Bayesian inference to benefit from the book. Introducing the notion of “composite reliability”, or the collective reliability of a population of items. Discussing the relationship between notions of reliability and survival analysis and econometrics and financial risk. Reliability and Risk can most profitably be used by practitioners and research workers in reliability and survivability as a source of information, reference, and open problems. It can also form the basis of a graduate level course in reliability and risk analysis for students in statistics, biostatistics, engineering (industrial, nuclear, systems), operations research, and other mathematically oriented scientists, wherein the instructor could supplement the material with examples and problems.

Financial Econometric Modeling of Risk in Commodity Markets

Financial Econometric Modeling of Risk in Commodity Markets
Author: Jeongseok Song
Publsiher: Anonim
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: