03874cam a2200697Ka 4500 ocn760884478 OCoLC 20171116090707.0 m o d cr cnu---unuuu 111114s2011 enka ob 001 0 eng d 9781119205869 (electronic bk.) 1119205867 (electronic bk.) 9781119977100 (electronic bk.) 111997710X (electronic bk.) 9781119977117 (electronic bk.) 1119977118 (electronic bk.) 9781119977124 (electronic bk.) 1119977126 (electronic bk.) 9780470669433 0470669438 AU@ 000050961657 AU@ 000051426264 AU@ 000052900394 DEBBG BV041907682 DEBBG BV042970412 DEBBG BV043393684 DEBSZ 396999735 DEBSZ 421528672 DKDLA 820120-katalog:000556391 HEBIS 29983283X NZ1 14257181 (OCoLC)760884478 (OCoLC)778620975 (OCoLC)816882794 (OCoLC)961503532 (OCoLC)962613538 (OCoLC)965534575 N$T eng pn N$T YDXCP E7B CDX EBLCP MHW MERUC OCLCQ DEBSZ OCLCQ NLGGC OCLCQ IDEBK DEBBG DG1 OCLCQ COO OCLCQ AZK MAIN HG6024.3 .D365 2011eb BUS 033070 bisacsh 658.1550112 22 Daníelsson, Jón. Financial risk forecasting : the theory and practice of forecasting market risk, with implementation in R and Matlab / Jón Daníelsson. [electronic resource] Chichester : John Wiley, 2011. 1 online resource (xxi, 274 pages) : illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier Bibliography Wiley finance series Formerly CIP. Uk Includes bibliographical references and index. Cover; Dedication; Title page; Copyright; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.2 S & P 500 returns; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.7 Nonlinear dependence; 1.8 Copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling Volatility; 2.2 Simple volatility models; 2.3 GARCH and conditional volatility; 2.4 Maximum likelihood estimation of volatility models; 2.5 Diagnosing volatility models. Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to pres. Print version record. Financial risk management Forecasting. Financial risk management Simulation methods. BUSINESS & ECONOMICS Insurance Risk Assessment & Management. bisacsh Electronic books. Print version: Daníelsson, Jón. Financial risk forecasting. Chichester : John Wiley, 2011 9780470669433 (OCoLC)726091330 Wiley finance series. http://onlinelibrary.wiley.com/book/10.1002/9781119205869 Wiley Online Library ddc BK 205364 205364