Estimacion De Metricas De Riesgo De Mercado Usando Mixturas Gaussianas Estimating Market Risk Metrics Using Gaussian Mixtures

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Measuring Market Risk with Value at Risk

Author : Pietro Penza
Publisher : John Wiley & Sons
ISBN 13 : 9780471393139
Total Pages : 324 pages
Book Rating : 4.3/5 (931 download)

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Book Synopsis Measuring Market Risk with Value at Risk by : Pietro Penza

Download or read book Measuring Market Risk with Value at Risk written by Pietro Penza and published by John Wiley & Sons. This book was released on 2001 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book, Measuring Market Risk with Value at Risk by Vipul Bansal and Pietro Penza, has three advantages over earlier works on the subject. First, it takes a decidedly global approach-an essential ingredient for any comprehensive work on market risk. Second, it ties the scientifically grounded, yet intuitively appealing, VaR measure to earlier, more idiosyncratic measures of market risk that are used in specific market environs (e.g., duration in fixed income). Finally, it encompasses all of the accepted approaches to calculating a VaR measure and presents them in a clearly explained fashion with supporting illustrations and completely worked-out examples." -from the Foreword by John F. Marshall, PhD, Principal, Marshall, Tucker & Associates, LLC "Measuring Market Risk with Value at Risk offers a much-needed intellectual bridge, a translation from the esoteric realm of mathematical finance to the domain of financial managers who seek guidance in applying developments from this important field of research as well as that of MBA-level graduate instruction. I believe the authors have done a commendable job of providing a carefully crafted, highly readable, and most useful work, and intend to recommend it to all those involved in business risk management applications." -Anthony F. Herbst, PhD, Professor of Finance and C.R. and D.S. Carter Chair, The University of Texas, El Paso and Founding editor of The Journal of Financial Engineering (1991-1998) "Finally there's a book that strikes a balance between rigor and application in the area of risk management in the banking industry. This innovative book is a MUST for both novices and professionals alike." -Robert P. Yuyuenyongwatana, PhD, Associate Professor of Finance, Cameron University "Measuring Market Risk with Value at Risk is one of the most complete discussions of this emerging topic in finance that I have seen. The authors develop a logical and rigorous framework for using VaR models, providing both historical references and analytical applications." -Kevin Wynne, PhD, Associate Professor of Finance, Lubin School of Business, Pace University

The Measurement of Market Risk

Author : Pierre-Yves Moix
Publisher :
ISBN 13 : 9783642564826
Total Pages : 292 pages
Book Rating : 4.5/5 (648 download)

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Book Synopsis The Measurement of Market Risk by : Pierre-Yves Moix

Download or read book The Measurement of Market Risk written by Pierre-Yves Moix and published by . This book was released on 2014-01-15 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Measurement of Market Risk

Author : Pierre-Yves Moix
Publisher : Springer Science & Business Media
ISBN 13 : 364256481X
Total Pages : 281 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis The Measurement of Market Risk by : Pierre-Yves Moix

Download or read book The Measurement of Market Risk written by Pierre-Yves Moix and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a revised version of my doctoral dissertation submitted to the University of St. Gallen in October 1999. I would like to thank Dr. oec. Marc Wildi whose careful reading of much of the text led to many improvements. All errors remain mine. Pfiiffikon SZ, Switzerland, March 2001 Pierre-Yves Moix Preface to the dissertation "Education is man's going forward from cocksure ignorance to thoughtful uncertainty" Don Clark's Scrapbook quoted in Wonnacott and Wonnacott (1990). After several years of banking practice, I decided to give up some of my certitudes and considered this thesis project a good opportunity to study some of the quantitative tools necessary for the modelling of uncertainty. lowe very much to Prof. Dr. Karl Frauendorfer, the referee of my thesis, for the time he took to read the manuscript and for the numerous valuable suggestions he made. I am also very grateful to Prof. Dr. Klaus Spremann who kindly accepted to co-refer my thesis and who strengthened my inter est in finance during my study period. During my time at the Institute for Operations Research of the University of St. Gallen (lfU-HSG) I had the opportunity to participate in the project "RiskLab" which provides a very profitable link between finance practice and academics. I would especially like to thank Dr. Christophe Rouvinez from Credit Suisse for his comments and all the data he provided so generously.

Market Risk Modelling

Author : Nigel Da Costa Lewis
Publisher :
ISBN 13 : 9781904339076
Total Pages : 238 pages
Book Rating : 4.3/5 (39 download)

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Book Synopsis Market Risk Modelling by : Nigel Da Costa Lewis

Download or read book Market Risk Modelling written by Nigel Da Costa Lewis and published by . This book was released on 2003 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides the practitioner, consultant and academic with vital quantitative expertise in an authoritative and up-to-date treatment of the most crucial innovations in the application of statistical methods to market risk modelling.