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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.

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.

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.

The Econometrics of Individual Risk

The Econometrics of Individual Risk Book
Author : Christian Gourieroux,Joann Jasiak
Publisher : Princeton University Press
Release : 2015-07-28
ISBN : 0691168210
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.

Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures

Financial Econometrics Modeling  Market Microstructure  Factor Models and Financial Risk Measures Book
Author : G. Gregoriou,R. Pascalau
Publisher : Springer
Release : 2010-12-13
ISBN : 0230298109
Language : En, Es, Fr & De

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Book Description :

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.

Handbook of Financial Econometrics

Handbook of Financial Econometrics Book
Author : Yacine Ait-Sahalia,Lars Peter Hansen
Publisher : Elsevier
Release : 2009-10-19
ISBN : 9780080929842
Language : En, Es, Fr & De

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Book Description :

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

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.

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

Granularity Theory with Applications to Finance and Insurance

Granularity Theory with Applications to Finance and Insurance Book
Author : Patrick Gagliardini,Christian Gouriéroux
Publisher : Cambridge University Press
Release : 2014-10-06
ISBN : 1316061868
Language : En, Es, Fr & De

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Book Description :

The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.

Applied Econometrics with SAS

Applied Econometrics with SAS Book
Author : Barry K. Goodwin,A. Ford Ramsey,Jan Chvosta Chvosta
Publisher : Unknown
Release : 2018-03
ISBN : 9781629604077
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.

Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics

Handbook of Research on Emerging Theories  Models  and Applications of Financial Econometrics Book
Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
Release : 2021-03-21
ISBN : 3030541088
Language : En, Es, Fr & De

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Book Description :

This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

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 : 1848551967
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.

High Frequency Financial Econometrics

High Frequency Financial Econometrics Book
Author : Luc Bauwens,Winfried Pohlmeier,David Veredas
Publisher : Springer Science & Business Media
Release : 2007-12-31
ISBN : 9783790819922
Language : En, Es, Fr & De

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Book Description :

Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

The Basics of Financial Econometrics

The Basics of Financial Econometrics Book
Author : Frank J. Fabozzi,Sergio M. Focardi,Svetlozar T. Rachev,Bala G. Arshanapalli
Publisher : John Wiley & Sons
Release : 2014-03-04
ISBN : 1118727231
Language : En, Es, Fr & De

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Book Description :

An accessible guide to the growing field of financial econometrics As finance and financial products have become more complex, financial econometrics has emerged as a fast-growing field and necessary foundation for anyone involved in quantitative finance. The techniques of financial econometrics facilitate the development and management of new financial instruments by providing models for pricing and risk assessment. In short, financial econometrics is an indispensable component to modern finance. The Basics of Financial Econometrics covers the commonly used techniques in the field without using unnecessary mathematical/statistical analysis. It focuses on foundational ideas and how they are applied. Topics covered include: regression models, factor analysis, volatility estimations, and time series techniques. Covers the basics of financial econometrics—an important topic in quantitative finance Contains several chapters on topics typically not covered even in basic books on econometrics such as model selection, model risk, and mitigating model risk Geared towards both practitioners and finance students who need to understand this dynamic discipline, but may not have advanced mathematical training, this book is a valuable resource on a topic of growing importance.

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. ​

Economic Models Estimation and Risk Programming Essays in Honor of Gerhard Tintner

Economic Models  Estimation and Risk Programming  Essays in Honor of Gerhard Tintner Book
Author : K. A. Fox,J. K. Sengupta,G. V. L. Narasimham
Publisher : Springer Science & Business Media
Release : 2012-12-06
ISBN : 3642461980
Language : En, Es, Fr & De

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Book Description :

These essays in honor of Professor Gerhard Tintner are substantive contributions to three areas of econometrics, (1) economic models and applications,. (2) estimation, and (3) stochastic programming, in each of which he has labored with outstanding success. His own work has extended into multivariate analysis, the pure theory of decision-making under un certainty, and other fields which are not touched upon here for reasons of space and focus. Thus, this collection is appropriate to his interests but covers much less than their full range. Professor Tintner's contributions to econometrics through teaching, writing, editing, lecturing and consulting have been varied and inter national. We have tried to highlight them in "The Econometric Work of Gerhard Tintner" and to place them in historical perspective in "The Invisible Revolution in Economics: Emergence of a Mathematical Science. " Professor Tintner's career to date has spanned the organizational life of the Econometric Society and his contributions have been nearly coextensive with its scope. His principal books and articles up to 1968 are listed in the "Selected Bibliography. " Professor Tintner's current research involves the intricate problems of specification and application of stochastic processes to economic systems, particularly to growth, diffusion of technology, and optimal control. As always, he is moving with the econometric frontier and a portion of the frontier is moving with him. IV Two of the editors wrote dissertations under Professor Tintner's sup- vision; the third knew him as a colleague and friend.

The Economics and Econometrics of Risk

The Economics and Econometrics of Risk Book
Author : Arnold Zellner,David Zilberman
Publisher : Unknown
Release : 2011
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download The Economics and Econometrics of Risk book written by Arnold Zellner,David Zilberman, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Econometrics of Financial High Frequency Data

Econometrics of Financial High Frequency Data Book
Author : Nikolaus Hautsch
Publisher : Springer Science & Business Media
Release : 2011-10-12
ISBN : 364221925X
Language : En, Es, Fr & De

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Book Description :

The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Practical Financial Econometrics Vol II

Practical Financial Econometrics Vol  II Book
Author : Carol Alexander
Publisher : Unknown
Release : 2008
ISBN : 0987650XXX
Language : En, Es, Fr & De

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Book Description :

Download Practical Financial Econometrics Vol II book written by Carol Alexander, available in PDF, EPUB, and Kindle, or read full book online anywhere and anytime. Compatible with any devices.

Modeling Dependence in Econometrics

Modeling Dependence in Econometrics Book
Author : Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta
Publisher : Springer Science & Business Media
Release : 2013-11-18
ISBN : 3319033956
Language : En, Es, Fr & De

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Book Description :

In economics, many quantities are related to each other. Such economic relations are often much more complex than relations in science and engineering, where some quantities are independence and the relation between others can be well approximated by linear functions. As a result of this complexity, when we apply traditional statistical techniques - developed for science and engineering - to process economic data, the inadequate treatment of dependence leads to misleading models and erroneous predictions. Some economists even blamed such inadequate treatment of dependence for the 2008 financial crisis. To make economic models more adequate, we need more accurate techniques for describing dependence. Such techniques are currently being developed. This book contains description of state-of-the-art techniques for modeling dependence and economic applications of these techniques. Most of these research developments are centered around the notion of a copula - a general way of describing dependence in probability theory and statistics. To be even more adequate, many papers go beyond traditional copula techniques and take into account, e.g., the dynamical (changing) character of the dependence in economics.