ISBN: 9780470997888 - market risk analysis, value at risk models (the wiley finance series) (28 resultados)

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Hardcover. Condición: Very Good. Market Risk Analysis: Value at Risk Models v. 4: Volume IV: Value at Risk Models This book is in very good condition and will be shipped within 24 hours of ordering. The cover may have some limited signs of wear but the pages are clean, intact and the spine remains undamaged. This book has clearly been well maintained and looked after thus far. Money back guarantee if you are not satisfied. See all our books here, order more than 1 book and get discounted shipping.…

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Condición: Very Good. : Este libro, escrito por la destacada académica en riesgo de mercado, la profesora Carol Alexander, forma parte del conjunto de cuatro volúmenes de Market Risk Analysis. Basándose en los tres volúmenes anteriores, este libro ofrece el tratamiento más completo, riguroso y detallado de los modelos VaR de mercado. Se basa en el conocimiento básico de matemáticas financieras y estadística adquirido en el Volumen I, de modelos de factores, análisis de componentes principales, modelos estadísticos de volatilidad y correlación y cópulas del Volumen II y, del Volumen III, conocimiento de la fijación de precios y cobertura de instrumentos financieros y de la asignación de carteras de instrumentos similares a factores de riesgo. Una característica unificadora de la serie es el enfoque pedagógico de ejemplos prácticos que son relevantes para el análisis del riesgo de mercado en la práctica. En conjunto, el conjunto de cuatro volúmenes de Market Risk Analysis ilustra virtualmente cada concepto o fórmula con un ejemplo práctico, numérico o un estudio de caso empírico más extenso. A través de los cuatro volúmenes hay aproximadamente 300 ejemplos numéricos y empíricos, 400 gráficos y figuras y 30 estudios de caso, muchos de los cuales están contenidos en hojas de cálculo interactivas de Excel disponibles en el CD-ROM adjunto. EAN: 9780470997888 Tipo: Libros Categoría: Negocios y Economía|Tecnología Título: Market Risk Analysis, Value at Risk Models Autor: Carol Alexander Editorial: Wiley Idioma: en Páginas: 492 Formato: tapa dura.…

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Hardcover. Condición: new. Hardcover. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);New formulae for VaR based on autocorrelated returns;Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;Backtesting and the assessment of risk model risk;Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.…

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Hardback. Condición: New. Volume IV. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);New formulae for VaR based on autocorrelated returns;Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;Backtesting and the assessment of risk model risk;Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.…

Condición: New. pp. 492.

Condición: New. pp. 492.

Condición: New. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. Series: Wiley Finance Series. Num Pages: 492 pages, black & white tables, figures. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 173 x 252 x 34. Weight in Grams: 1014. . 2009. Volume IV. Hardcover. . . . .…

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Condición: New. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. Series: Wiley Finance Series. Num Pages: 492 pages, black & white tables, figures. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 173 x 252 x 34. Weight in Grams: 1014. . 2009. Volume IV. Hardcover. . . . . Books ship from the US and Ireland.…

Gebunden. Condición: New. Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager s International Association (PRMIA). She is the author of Market Models: A Guide to Fina.

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Hardcover. Condición: new. Hardcover. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);New formulae for VaR based on autocorrelated returns;Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;Backtesting and the assessment of risk model risk;Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.…

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Kombiprodukt. Condición: Neu. Neuware - Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice.All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:\* Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);\* New formulae for VaR based on autocorrelated returns;\* Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;\* Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;\* Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;\* Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;\* Backtesting and the assessment of risk model risk;\* Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.…

Hardback. Condición: New. Volume IV. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);New formulae for VaR based on autocorrelated returns;Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;Backtesting and the assessment of risk model risk;Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL.…

Hardcover. Condición: new. Hardcover. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. It rests on the basic knowledge of financial mathematics and statistics gained from Volume I, of factor models, principal component analysis, statistical models of volatility and correlation and copulas from Volume II and, from Volume III, knowledge of pricing and hedging financial instruments and of mapping portfolios of similar instruments to risk factors. A unifying characteristic of the series is the pedagogical approach to practical examples that are relevant to market risk analysis in practice. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Parametric linear value at risk (VaR)models: normal, Student t and normal mixture and their expected tail loss (ETL);New formulae for VaR based on autocorrelated returns;Historical simulation VaR models: how to scale historical VaR and volatility adjusted historical VaR;Monte Carlo simulation VaR models based on multivariate normal and Student t distributions, and based on copulas;Examples and case studies of numerous applications to interest rate sensitive, equity, commodity and international portfolios;Decomposition of systematic VaR of large portfolios into standard alone and marginal VaR components;Backtesting and the assessment of risk model risk;Hypothetical factor push and historical stress tests, and stress testing based on VaR and ETL. Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models forms part four of the Market Risk Analysis four volume set. Building on the three previous volumes this book provides by far the most comprehensive, rigorous and detailed treatment of market VaR models. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.…