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Empirical Risk Modeling of Financial Time Series using Value at Risk

of risk assessment involves the Value at Risk, popularly known as VaR with some corresponding risk estimators; Expected Shortfall (ES), the;

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Financial Risk Management

assess non-vanilla bond risk using both effective duration and effective convexity.Use value at risk to forecast maximum losses;

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Econometric Modeling of Value at Risk

Recently risk management has become a standard prerequisite for all financial institutions. Value-at-Risk is the main tool of reporting to;

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Extreme Value Modeling and Risk Analysis

applications of extreme value modeling, including financial investments, insurance and financial risk management, weather and climate disasters;

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Introduction To Analysis Of Financial Data With R

applications to real-world empirical research. The author supplies a hands-on introduction to the analysis of financial data using the freely available;

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Corporate Risk Management

also explores Conditional Value at Risk (CVaR), which is central to the debate on the measurement of market risk under Basel III. This;

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Why Is Cvar Superior to Var?

Until recently, Value-at-Risk (VaR) has been a widely used risk measure in portfolio optimization. The recently frequent bank failures show;

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Derivatives and Internal Models

continues with this philosophy covering new and more advanced topics including terms structure models, second-order value at risk, time series;

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Modeling Volatility in Financial Time Series

and option prices. The results are used to produce volatility forecasts which in their turn are evaluated in a Value at Risk setup. The;

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Liquidity Risk Modeling Using Artificial Neural Networks

liquidity risk using artificial neural networks, which has been oriented in focused delay and recurrent neural networks due to their capability to;

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Credit Risk

foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries;

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Portfolio Risk Analysis

insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical;

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Elements of Financial Risk Management

integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with;

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Market risk in transition countries - Value at Risk Approach

When using Value at Risk (VaR) models, created and suited for developed and liquid markets, in developing transition markets practitioners;

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Statistics for Finance

tools can be used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students' financial;

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Statistics for Finance

used to improve value-at-risk calculations and other issues. In addition, end-of-chapter exercises develop students' financial reasoning skills.;

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Measuring Financial Risk Modelling

Value at Risk or in short VaR. VaR has become the standard measurement technique that financial analysts use to quantify risk. This technique;

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Advances in Heavy Tailed Risk Modeling

methods and practices of operational risk modeling used by both financial and non-financial institutions Advances in Heavy Tailed Risk;

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The VaR Modeling Handbook

Value-at-Risk (VaR) is a powerful toolfor assessing market risk in real time-a critical insight when making trading andhedging decisions;

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Credit Risk Management In and Out of the Financial Crisis

new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting;

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Financial Risk and Financial Risk Management

risk measurement models and empirical findings that will extend their understanding of the financial risk environment. This volume contains;

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Bubble Value At Risk

did much to debunk the much touted powers of Value at Risk (VaR) as a risk metric. Unlike most authors on VaR who focus on what it can do;

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Quantitative Financial Risk Management

: * Value at risk * Stress testing * Credit risk * Liquidity risk * Factor analysis * Expected shortfall * Copulas;

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Risk, Value And Default

discount rate to be used in a sophisticated valuation model. In today's world, however, the very risk of survival, especially for financial;

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Market Risk Analysis

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four;

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Corporate Risk Management for Value Creation

at a global aluminium and packaging company. Corporate Risk Management and Value Creation presents a synthesis of academic research and;

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Modeling Risk

evolution of risk analysis tools and theories has changed the way we look at this important business element. In the Second Edition of Analyzing and;

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