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Market Risk Analysis: Practical Financial Econometrics, Volume 2 Carol Alexander
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Ŋ�能: 維護指數/個股週線成交量. 3.8.Decompose Single Risk Factor Risk . ŏ�考資料(Reference) : 7.4.Maintain Index/Stock(Week). Value at Risk 3rd Edition Philippe Jorion. Sensitivity analysis, and finding other robust and coherent risk measure approaches to value at risk which are applicable over longer time horizon using the square root rule to scale the time horizons. Function : maintain index volume . His research work has been published in international refereed “The Predictability of Non-Overlapping Forecasts: Evidence from a New Market”, Multinational Finance Journal, Volume 15 (1/2), pp. These studies have In this contemporary volatile business environment with increased uncertainty in financial markets and the recent global financial meltdown in 2008, effective measures of market risk have become crucial in most financial institutions. Financial Risk Manager Handbook 5th edition. Market Risk Analysis II : Practical Financial Econometrics Carol Alexander 2. Volume 2011 (2011), Article ID 708704, 12 pages As a result of this, GARCH has been applied to financial time series before the application of quantitative risk estimation techniques such as value at risk [2]. His research and teaching interests concentrate on ship finance and investments, freight derivatives, shipping risk management and on the econometric analysis and modelling of shipping markets. Function : maintain index/stock weekly volume . The focus of this paper is particularly on credit default swaps (CDS), as they have been highlighted as a potential source of systemic risk [3], and as such, the analysis of the marginal distribution of the credit default swap market merits further analysis. Description: Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set.