Market Risk Analysis Practical Financial Econometrics
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Description: Volume II: Practical Financial Econometrics As a set these books are a radical update and revision of Market Models: a Guide to Financial Data Analysis. They provide a rigorous explanation of the key theoretical ideas that market model developers are faced with, in practical, clear terms. Developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation therefore these books help risk managers, quantitative traders and investment analysts make the right decisions. The emphasis throughout is in understanding concepts and implementing solutions, assisted by the use of real-world examples both in the text and, interactively, on the accompanying CDs. All of the CD's contain VBA code & C++ code, plus VBA with Excel interface Statistical Models for Finance is a radical update and revision of the Financial Econometrics aspects covered in the highly successful Market Models: A Guide to Financial Data Analysis creating a new, stand-alone book forming Part III of the four volume set on market risk analysis. Statistical Models for Finance builds on the strengths of Market Models Part III to include GARCH models, in addition to Risk Metrics; Classical Models of Volatility and Correlation; Copulas and their Financial Applications; and Cointegration and Portfolio Management. The author covers GARCH, Copulas and Cointegration (for which there are no other standard texts) in Excel. Real-world case studies cover all the main financial applications with Excel spreadsheets in GARCH, Copulas, and Cointegration, which will also be included on the accompanying CD so that the reader is provided with complete solutions.
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All the information you need in one place! Each Study Brief is a summary of one specific subject; facts, figures, and explanations to help you learn faster.
List price: $105.00
Copyright year: 2008
Publisher: John Wiley & Sons, Incorporated
Publication date: 5/27/2008
Size: 7.00" wide x 10.00" long x 1.25" tall
|List of Figures.|
|List of Tables.|
|List of Examples.|
|Preface to Volume II.|