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Extreme Financial Risks And Asset Allocation
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Book Synopsis Extreme Financial Risks And Asset Allocation by : Christian Walter
Download or read book Extreme Financial Risks And Asset Allocation written by Christian Walter and published by World Scientific. This book was released on 2014-01-21 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.
Book Synopsis Extreme Financial Risks by : Yannick Malevergne
Download or read book Extreme Financial Risks written by Yannick Malevergne and published by Springer Science & Business Media. This book was released on 2006-01-16 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Clearly elucidates extreme financial risks associated with rare events such as financial crashes. The highlight of the book is the delineation of various copulas in conjunction with financial dependences among different assets of a portfolio. In particular, the insightful discussion on quadrant and orthant dependences casts new light on the connection between marginal models and financial dependence...brings a vivid portrayal of the subject." -- MATHEMATICAL REVIEWS
Book Synopsis Post Modern Investment by : Garry B. Crowder
Download or read book Post Modern Investment written by Garry B. Crowder and published by John Wiley & Sons. This book was released on 2012-11-08 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: Debunking outdated and inaccurate beliefs about investment management and reveals the new realities of the post-modern financial markets There have been a lot of big changes in the investment world over the past decade, and many long-cherished beliefs about the structures and performance of various investments no longer apply. Unfortunately the news seems not to have reached many thought leaders and investment professionals who persist in trying, and failing, to apply 20th-century thinking to 21st-century portfolio management. Nowhere is this more true than when it comes to the subject of alternative investments. Written by an all-star team of investment management experts, this book debunks common myths and misconceptions about most classes of alternative investments and offers valuable advice on how to develop investment management and asset allocation strategies consistent with the new realities of the ever-changing world of alternative investments. Covers most alternative asset classes, including private equity, real estate, managed futures, hedge funds, commodity indices, and more Debunks long-held assumptions about the structure and performance of various investment classes that continue to dominate the industry Explores the implications for investment managers of the proliferation of international marketable securities and global financial markets Provides an overview of both the micro and the macro aspects of each alternative investment class
Book Synopsis Managing Extreme Financial Risk by : Karamjeet Paul
Download or read book Managing Extreme Financial Risk written by Karamjeet Paul and published by Elsevier. This book was released on 2013-09-16 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: Managing Extreme Financial Risk addresses the need for better management strategies in light of increased market risk and volatility in financial institutions' revenue models. Top officials from the financial and regulatory industries point to real corporate issues, showing how institutions react to financial crises. From first-hand experiences, they explain how effective sustainability management does not just prevent being blindsided; it also leads to proactive solutions that enhance an institution's strength to weather a sudden financial crisis, add significant shareholder value, and reduce systemic risk. Readable, coherent, and logical, Managing Extreme Financial Risk shows how extreme risk needs to be handled when the cost of being wrong means the difference between life and death of the institution. Based on the firsthand experiences and perspectives of senior-level executives Concentrates on extreme risk, when the cost of being wrong is not the loss of profits, but the death of the institution Written to be easily understood without algorithms, models, and quants
Book Synopsis Handbook of Financial Risk Management by : Thierry Roncalli
Download or read book Handbook of Financial Risk Management written by Thierry Roncalli and published by CRC Press. This book was released on 2020-04-23 with total page 987 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874
Book Synopsis Scenarios for Risk Management and Global Investment Strategies by : Rachel E. S. Ziemba
Download or read book Scenarios for Risk Management and Global Investment Strategies written by Rachel E. S. Ziemba and published by John Wiley & Sons. This book was released on 2008-07-31 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses scenarios for risk management and developing global investment strategies. What are the chances that various future events will occur over time and how should these events and probable occurrence influence investment decisions? Assessing all possible outcomes is fundamental to risk management, financial engineering and investment and hedge fund strategies. A careful consideration of future scenarios will lead to better investment decisions and avoid financial disasters. The book presents tools and case studies around the world for analyzing a wide variety of investment strategies, building scenarios to optimize returns.
Book Synopsis Quantitative Financial Risk Management by : Michael B. Miller
Download or read book Quantitative Financial Risk Management written by Michael B. Miller and published by John Wiley & Sons. This book was released on 2018-11-13 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: A mathematical guide to measuring and managing financial risk. Our modern economy depends on financial markets. Yet financial markets continue to grow in size and complexity. As a result, the management of financial risk has never been more important. Quantitative Financial Risk Management introduces students and risk professionals to financial risk management with an emphasis on financial models and mathematical techniques. Each chapter provides numerous sample problems and end of chapter questions. The book provides clear examples of how these models are used in practice and encourages readers to think about the limits and appropriate use of financial models. Topics include: • Value at risk • Stress testing • Credit risk • Liquidity risk • Factor analysis • Expected shortfall • Copulas • Extreme value theory • Risk model backtesting • Bayesian analysis • . . . and much more
Book Synopsis Extreme Events in Finance by : Francois Longin
Download or read book Extreme Events in Finance written by Francois Longin and published by John Wiley & Sons. This book was released on 2016-10-17 with total page 638 pages. Available in PDF, EPUB and Kindle. Book excerpt: A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and a practical understanding of market behavior including both ordinary and extraordinary conditions. Beginning with a fascinating history of EVTs and financial modeling, the handbook introduces the historical implications that resulted in the applications and then clearly examines the fundamental results of EVT in finance. After dealing with these theoretical results, the handbook focuses on the EVT methods critical for data analysis. Finally, the handbook features the practical applications and techniques and how these can be implemented in financial markets. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications includes: Over 40 contributions from international experts in the areas of finance, statistics, economics, business, insurance, and risk management Topical discussions on univariate and multivariate case extremes as well as regulation in financial markets Extensive references in order to provide readers with resources for further study Discussions on using R packages to compute the value of risk and related quantities The book is a valuable reference for practitioners in financial markets such as financial institutions, investment funds, and corporate treasuries, financial engineers, quantitative analysts, regulators, risk managers, large-scale consultancy groups, and insurers. Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications is also a useful textbook for postgraduate courses on the methodology of EVTs in finance.
Book Synopsis Multi-moment Asset Allocation and Pricing Models by : Emmanuel Jurczenko
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Download or read book Extreme Money written by Satyajit Das and published by FT Press. This book was released on 2011 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Everything from home mortgages to climate change has become financialized, as vast fortunes are generated by individuals who build nothing of lasting value. Das shows how "extreme money" has become ever more unreal; how "voodoo banking" continues to generate massive phony profits even now; and how a new generation of "Masters of the Universe" has come to domiinate the world.
Book Synopsis Extremes, Dependence and Asset Allocation by : Brendan O. Bradley
Download or read book Extremes, Dependence and Asset Allocation written by Brendan O. Bradley and published by . This book was released on 2003 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset and Risk Management by : Louis Esch
Download or read book Asset and Risk Management written by Louis Esch and published by John Wiley & Sons. This book was released on 2005-09-27 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to study three essential components of modern finance – Risk Management, Asset Management and Asset and Liability Management, as well as the links that bind them together. It is divided into five parts: Part I sets out the financial and regulatory contexts that explain the rapid development of these three areas during the last few years and shows the ways in which the Risk Management function has developed recently in financial institutions. Part II is dedicated to the underlying theories of Asset Management and deals in depth with evaluation of financial assets and with theories relating to equities, bonds and options. Part III deals with a central theory of Risk Management, the general theory of Value at Risk or VaR, its estimation techniques and the setting up of the methodology. Part IV is the point at which Asset Management and Risk Management meet. It deals with Portfolio Risk Management (the application of risk management methods to private asset management), with an adaptation of Sharpe’s simple index method and the EGP method to suit VaR and application of the APT method to investment funds in terms of behavioural analysis. Part V is the point at which Risk Management and Asset and Liability Management (ALM) meet, and touches on techniques for measuring structural risks within the on and off balance sheet. The book is aimed both at financial professionals and at students whose studies contain a financial aspect. "Esch, Kieffer and Lopez have provided us with a comprehensive and well written treatise on risk. This is a must read, must keep volume for all those who need or aspire to a professional understanding of risk and its management." —Harry M Markowitz, San Diego, USA
Book Synopsis Portfolio Risk Analysis by : Gregory Connor
Download or read book Portfolio Risk Analysis written by Gregory Connor and published by Princeton University Press. This book was released on 2010-03-15 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.
Book Synopsis Quantitative Risk Management by : Alexander J. McNeil
Download or read book Quantitative Risk Management written by Alexander J. McNeil and published by Princeton University Press. This book was released on 2015-05-26 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the most comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management. Whether you are a financial risk analyst, actuary, regulator or student of quantitative finance, Quantitative Risk Management gives you the practical tools you need to solve real-world problems. Describing the latest advances in the field, Quantitative Risk Management covers the methods for market, credit and operational risk modelling. It places standard industry approaches on a more formal footing and explores key concepts such as loss distributions, risk measures and risk aggregation and allocation principles. The book's methodology draws on diverse quantitative disciplines, from mathematical finance and statistics to econometrics and actuarial mathematics. A primary theme throughout is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. Proven in the classroom, the book also covers advanced topics like credit derivatives. Fully revised and expanded to reflect developments in the field since the financial crisis Features shorter chapters to facilitate teaching and learning Provides enhanced coverage of Solvency II and insurance risk management and extended treatment of credit risk, including counterparty credit risk and CDO pricing Includes a new chapter on market risk and new material on risk measures and risk aggregation
Book Synopsis Extreme Events in Finance by : Francois Longin
Download or read book Extreme Events in Finance written by Francois Longin and published by Wiley. This book was released on 2016-10-10 with total page 640 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market behavior including both ordinary and extraordinary conditions"--
Book Synopsis Financial Risk Modelling and Portfolio Optimization with R by : Bernhard Pfaff
Download or read book Financial Risk Modelling and Portfolio Optimization with R written by Bernhard Pfaff and published by John Wiley & Sons. This book was released on 2016-08-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimization with risk constraints. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.
Book Synopsis Financial Risk Management For Dummies by : Aaron Brown
Download or read book Financial Risk Management For Dummies written by Aaron Brown and published by John Wiley & Sons. This book was released on 2015-12-14 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: Take the risk out of financial risk management Written by bestselling author and past winner of the GARP Award's Risk Manager of the Year, Aaron Brown, Financial Risk Management For Dummies offers thorough and accessible guidance on successfully managing and controlling financial risk within your company. Through easy-to-follow instruction, you'll find out how to manage risk, firstly by understanding it, and then by taking control of it. Plus, you'll discover how to measure and value financial risk, set limits, stop losses, control drawdowns and hedge bets. Financial risk management uses financial instruments to manage exposure to risk within firms, large and small—particularly credit risk and market risk. From managing and measuring risk to working in financial institutions and knowing how to communicate risk to your company and clients, Financial Risk Management For Dummies makes it easy to make sense of the management of risk when working in various different financial institutions and concludes by covering the topic of how to communicate risk — how to report it properly and how to deal with and comply with all of the regulations. Covers managing risk and working as a financial risk manager Provides everything you need to know about measuring financial risk Walks you through working in financial institutions Demonstrates how to communicate risk If you work in the financial sector and want to make financial risk management your mission, you've come to the right place!