Daníelsson, Jón. creator text bibliography Electronic books. enk Chichester John Wiley 2011 monographic eng

electronic resource

1 online resource (xxi, 274 pages) : illustrations. 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. 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. Jón Daníelsson. Formerly CIP. Includes bibliographical references and index. Financial risk management Forecasting Financial risk management Simulation methods BUSINESS & ECONOMICS Insurance Risk Assessment & Management HG6024.3 .D365 2011eb 658.1550112 Daníelsson, Jón. Chichester : John Wiley, 2011 (OCoLC)726091330 9781119205869 1119205867 9781119977100 111997710X 9781119977117 1119977118 9781119977124 1119977126 http://onlinelibrary.wiley.com/book/10.1002/9781119205869 http://onlinelibrary.wiley.com/book/10.1002/9781119205869 N$T 111114 20171116090707.0 ocn760884478 eng