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Financial Market Risk: Measurement and Analysis (Routledge International Studies in Money and Banking) - Tapa blanda

Libro 14 de 115: Routledge International Studies in Money and Banking

Los, Cornelis

 
9780415771139: Financial Market Risk: Measurement and Analysis (Routledge International Studies in Money and Banking)
Tapa blanda
ISBN 10: 0415771137 ISBN 13: 9780415771139
Editorial: Routledge, 2007

Sinopsis

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.

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Acerca del autor

Cornelis A. Los is Associate Professor of Finance at Kent State University, USA. In the past he has been a Senior Economist of the Federal Reserve Bank of New York and of Nomura Research Institute (America), Inc., and Chief Economist of ING Bank, New York. He has also been a Professor in Finance at Nanyang Technological University in Singapore and at Adelaide and Deakin Universities in Australia.

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Editorial
Routledge
Año de publicación
2007
Idioma
Inglés
ISBN 10 
0415771137
ISBN 13 
9780415771139
Encuadernación
Tapa blanda
Número de edición
1
Número de páginas
496
Contacto del fabricante
Taylor and Francis, GPSR Taylor and Francis
gpsr@taylorandfrancis.com

Taylor & Francis Verlag GmbH, Kaufingerstraße 24
München
80331
Alemania