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Elements of Financial Risk Management
Taschenbuch von Peter Christoffersen
Sprache: Englisch

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Beschreibung
The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems.
The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems.
Inhaltsverzeichnis
Part I: BackgroundRisk Management and Financial Returns
The Dangers of VaR and Historical Simulation
A Primer on Financial Econometrics. NEW Part 2: Portfolio Level Risk ModelsVolatility Modeling using Daily Returns
Volatility Modeling using Intraday Returns. NEW
Modeling the Conditional Distribution Part 3: Asset Level Risk ModelsCorrelation Modeling
Copula Models and Integrated Risk Management. NEW
Simulating the Term Structure of Risk Part 4: Further TopicsOption Pricing
Option Risk Management
CDS Pricing and Credit Risk Management. NEW
Backtesting and Stress Testing
Details
Erscheinungsjahr: 2016
Medium: Taschenbuch
Inhalt: Kartoniert / Broschiert
ISBN-13: 9780128102350
ISBN-10: 0128102357
Sprache: Englisch
Herstellernummer: C2009-0-22827-3
Autor: Christoffersen, Peter
Auflage: 2. Aufl.
Hersteller: Academic Press
Elsevier Science & Technology
Verantwortliche Person für die EU: Zeitfracht Medien GmbH, Ferdinand-Jühlke-Str. 7, D-99095 Erfurt, produktsicherheit@zeitfracht.de
Maße: 16 x 152 x 229 mm
Von/Mit: Peter Christoffersen
Erscheinungsdatum: 19.08.2016
Gewicht: 0,59 kg
Artikel-ID: 126702576
Inhaltsverzeichnis
Part I: BackgroundRisk Management and Financial Returns
The Dangers of VaR and Historical Simulation
A Primer on Financial Econometrics. NEW Part 2: Portfolio Level Risk ModelsVolatility Modeling using Daily Returns
Volatility Modeling using Intraday Returns. NEW
Modeling the Conditional Distribution Part 3: Asset Level Risk ModelsCorrelation Modeling
Copula Models and Integrated Risk Management. NEW
Simulating the Term Structure of Risk Part 4: Further TopicsOption Pricing
Option Risk Management
CDS Pricing and Credit Risk Management. NEW
Backtesting and Stress Testing
Details
Erscheinungsjahr: 2016
Medium: Taschenbuch
Inhalt: Kartoniert / Broschiert
ISBN-13: 9780128102350
ISBN-10: 0128102357
Sprache: Englisch
Herstellernummer: C2009-0-22827-3
Autor: Christoffersen, Peter
Auflage: 2. Aufl.
Hersteller: Academic Press
Elsevier Science & Technology
Verantwortliche Person für die EU: Zeitfracht Medien GmbH, Ferdinand-Jühlke-Str. 7, D-99095 Erfurt, produktsicherheit@zeitfracht.de
Maße: 16 x 152 x 229 mm
Von/Mit: Peter Christoffersen
Erscheinungsdatum: 19.08.2016
Gewicht: 0,59 kg
Artikel-ID: 126702576
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