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Econometrics of Risk

Econometrics of Risk Book
Author : Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta,Komsan Suriya
Publisher : Springer
Release : 2014-12-15
ISBN : 3319134493
Language : En, Es, Fr & De

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Book Description :

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.

Econometrics and Risk Management

Econometrics and Risk Management Book
Author : Thomas B. Fomby,Jean-Pierre Fouque,Knut Solna
Publisher : Emerald Group Publishing
Release : 2008-12-01
ISBN : 1848551975
Language : En, Es, Fr & De

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Book Description :

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.

The Econometrics of Individual Risk

The Econometrics of Individual Risk Book
Author : Christian Gourieroux,Joann Jasiak
Publisher : Princeton University Press
Release : 2011-07-24
ISBN : 9781400829415
Language : En, Es, Fr & De

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Book Description :

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 Econometrics

Risk Econometrics Book
Author : Elena Goldman
Publisher : Academic Press
Release : 2020-08
ISBN : 9780128178645
Language : En, Es, Fr & De

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Book Description :

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

Risk Measurement Econometrics and Neural Networks

Risk Measurement  Econometrics and Neural Networks Book
Author : Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollmer
Publisher : Springer Science & Business Media
Release : 2012-12-06
ISBN : 3642582729
Language : En, Es, Fr & De

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Book Description :

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.

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics Book
Author : Simone Manganelli
Publisher : Unknown
Release : 2000
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics book written by Simone Manganelli, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Financial Econometric Modeling of Risk in Commodity Markets

Financial Econometric Modeling of Risk in Commodity Markets Book
Author : Jeongseok Song
Publisher : Unknown
Release : 2004
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Financial Econometric Modeling of Risk in Commodity Markets book written by Jeongseok Song, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Market Risk Analysis Practical Financial Econometrics

Market Risk Analysis  Practical Financial Econometrics Book
Author : Carol Alexander
Publisher : John Wiley & Sons
Release : 2008-04-30
ISBN : 0470771038
Language : En, Es, Fr & De

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Book Description :

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.

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 Book
Author : Mark Ollunga Odhiambo
Publisher : Unknown
Release : 1983
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Production Risk and Decision Making Testing Alternative Econometric Models with Evidence from Egyptian Cotton Production book written by Mark Ollunga Odhiambo, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Econometric Modeling of Value at risk

Econometric Modeling of Value at risk Book
Author : Timotheos Angelidis,Stavros Degiannakis
Publisher : Nova Science Pub Incorporated
Release : 2009
ISBN : 9781607410409
Language : En, Es, Fr & De

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Book Description :

Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to the bank regulators the risk that the financial institutions face. As it is essential to estimate it accurately, numerous methods have been proposed in order to minimise the forecast error. This book provides a selective survey of the risk management techniques that have been applied and discusses potential improvements in estimating, evaluating and adjusting Value-at-Risk and Expected Shortfall.

Applied Econometrics with SAS

Applied Econometrics with SAS Book
Author : Barry K. Goodwin,A. Ford Ramsey,Jan Chvosta
Publisher : SAS Institute
Release : 2018-04-04
ISBN : 1635260507
Language : En, Es, Fr & De

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Book Description :

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.

Journal of Econometrics

Journal of Econometrics Book
Author : Anonim
Publisher : Unknown
Release : 2002
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Journal of Econometrics book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Brazilian Review of Econometrics

Brazilian Review of Econometrics Book
Author : Anonim
Publisher : Unknown
Release : 2006
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Brazilian Review of Econometrics book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

The Practice of Econometrics

The Practice of Econometrics Book
Author : Ernst R. Berndt
Publisher : Reading, Mass. ; Don Mills, Ont. : Addison-Wesley Publishing Company
Release : 1991
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download The Practice of Econometrics book written by Ernst R. Berndt, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Journal of Economic Theory and Econometrics

Journal of Economic Theory and Econometrics Book
Author : Anonim
Publisher : Unknown
Release : 1997
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Journal of Economic Theory and Econometrics book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Financial Econometrics and Empirical Market Microstructure

Financial Econometrics and Empirical Market Microstructure Book
Author : Anil K. Bera,Sergey Ivliev,Fabrizio Lillo
Publisher : Springer
Release : 2014-11-18
ISBN : 3319099469
Language : En, Es, Fr & De

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Book Description :

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. ​

Journal of Econometrics

Journal of Econometrics Book
Author : Anonim
Publisher : Unknown
Release : 1988
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Journal of Econometrics book written by , available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Journal for studies in economics and econometrics

Journal for studies in economics and econometrics Book
Author : Anonim
Publisher : Unknown
Release : 2006
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

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The Econometric Analysis of Models with Risk Terms

The Econometric Analysis of Models with Risk Terms Book
Author : A. R. Pagan,Aman Ullah
Publisher : London : Centre for Decision Sciences and Econometrics, University of Western Ontario
Release : 1986
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This paper provides a critical survey of the methods employed to model the effects of risk in econometric models. Most of the popular methods are shown to suffer from errors-in-variables bias, and an instrumental variable method is suggested to overcome this problem. The technique exploits the orthogonality conditions existing between the squared unanticipated variables and functions of variables making up the information set defining the anticipations. An alternative procedure used in the paper is to directly estimate the conditional variance (risk) by non-parametric estimators. Applications are made to foreign exchange markets, interest rates and unemployment/inflation risk relations.

Theoretical and Applied Econometrics

Theoretical and Applied Econometrics Book
Author : Phoebus J. Dhrymes
Publisher : Edward Elgar Pub
Release : 1995
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

This selection of Professor Dhrymes's major papers combines contributions to econometric theory with a series of empirical studies. The theoretical papers focus on such issues as the general linear model, simultaneous equations models, and distributed lags and ancillary topics. Most of these papers originated with problems encountered in empirical research. The applied studies deal with production function and productivity topics, demand for labour, arbitrage pricing theory, demand for housing and related issues.