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- Product code: 256453
- ISBN: 0470998016,
ISBN13: 9780470998014,
426 pages, hardback
Published by John Wiley & Sons on 2008
, Volume 2 Rate this book...
Rating: 5.0/5 (1 vote cast)
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Description of Market Risk Analysis: Practical Financial Econometrics v. 2 |
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; and Non-linear quantile regressions with applications to hedging.
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Contents of Market Risk Analysis: Practical Financial Econometrics v. 2 |
List of Figures
List of Tables
List of Examples
Foreword
Preface to Volume II
II.1 Factor Models
II.1.1 Introduction
II.1.2 Single Factor Models
II.13 Multi-Factor Models
II.1.4 Case Study: Estimation of Fundamental Factor Models
II.1.5 Analysis of Barra Model
II.1.6 Tracking Error and Active Risk
II.1.7 Summary and Conclusions
II.2 Principal Component Analysis
II.2.1 Introduction
II.2.2 Review of Principal Component Analysis
II.2.3 Case Study: PCA of UK Government Yield Curves
II.2.4 Term Structure Factor Models
II.2.5 Equity PCA Factor Models
II.2.6 Summary and Conclusions
II.3 Classical Models of Volatility and Correlation
II.3.1 Introduction
II.3.2 Variance and Volatility
II.3.3 Covariance and Correlation
II.3.4 Equally Weighted Averages
II.3.5 Precision of Equally Weighted Estimates
II.3.6 Case Study: Volatility and Correlation of US Treasuries
II.3.7 Equally Weighted Moving Averages
II.3.8 Exponentially Weighted Moving Averages
II.3.9 Summary and Conclusions
II.4 Introduction to GARCH Models
II.4.1 Introduction
II.4.2 The Symmetric Normal GARCH Model
II.4.3 Asymmetric GARCH Models
II.4.4 Non-Normal GARCH Models
II.4.5 GARCH Covariance Matrices
II.4.6 Orthogonal GARCH
II.4.7 Monte Carlo Simulation with GARCH Models
II.4.8 Applications of GARCH Models
II.4.9 Summary and Conclusions
II.5 Time Series Models and Cointegration
II.5.1 Introduction
II.5.2 Stationary Processes
II.5.3 Stochastic Trends
II.5.4 Long Term Equilibrium
II.5.5 Modelling Short Term Dynamics
II.5.6 Summary and Conclusions
II.6 Introduction to Copulas
II.6.1 Introduction
II.6.2 Concordance Metrics
II.6.3 Copulas and Associated Theoretical Concepts
II.6.4 Examples of Copulas
II.6.5 Conditional Copula Distributions and Quantile Curves
II.6.6 Calibrating Copulas
II.6.7 Simulation with Copulas
II.6.8 Market Risk Applications
II.6.9 Summary and Conclusions
II.7 Advanced Econometric Models
II.7.1 Introduction
II.7.2 Quantile Regression
II.7.3 Case Studies on Quantile Regression
II.7.4 Other Non-Linear Regression Models
II.7.5 Markov Switching Models
II.7.6 Modelling Ultra High Frequency Data
II.7.7 Summary and Conclusions
II.8 Forecasting and Model Evaluation
II.8.1 Introduction
II.8.2 Returns Models
II.8.3 Volatility Models
II.8.4 Forecasting the Tails of a Distribution
II.8.5 Operational Evaluation
II.8.6 Summary and Conclusions
References
Index
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About Carol Alexander |
Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager's International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis(John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager's Handbook(McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world's leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander
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