Teoría de cópulas y control de riesgo financiero[

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Publisher :
ISBN 13 :
Total Pages : 182 pages
Book Rating : 4.:/5 (954 download)

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Book Synopsis Teoría de cópulas y control de riesgo financiero[ by : Rosario Cintas del Río

Download or read book Teoría de cópulas y control de riesgo financiero[ written by Rosario Cintas del Río and published by . This book was released on 2007 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: La gestión del riesgo operacional representa para las entidades financieras una de las tareas de mayor importancia en sus diferentes etapas de identificación, medida y control. Es en este entorno donde surge el problema de la modelización de series de retornos financieros, como ayuda para predecir la volatilidad en periodos futuros y probabilidades asociadas a ella. Dado que lo habitual es diseñar una cartera de tipo lineal de forma que se maximice el rendimiento esperado, sujeto a alguna restricción sobre el VaR (Valor en Riesgo) de la misma, resulta esencial determinar la distribución conjunta de los precios de activos implicados en su construcción. Las técnicas convencionales aplicadas al cálculo del VaR se basan en la hipótesis de normalidad multivariante para esta distribución conjunta, hipótesis cuestionable dadas las peculiaridades de dichas series de retornos. En esta tesis se crean y adaptan modelos basados en funciones cópulas, tanto estáticos como dinámicos, capaces de capturar rasgos relevantes de series financieras bivariantes, con el fin de ser útiles en el control y valoración de riesgos potenciales de mercados financieros. Dichos modelos extienden la hipótesis gaussiana tradicional a otras más generales, en las que la aproximación vía cópulas permite distinguir entre el comportamiento conjunto y el marginal de las series de retornos. Los modelos propuestos se utilizan para analizar el comportamiento de pérdidas extremas, reflejado en las colas inferiores del modelo bivariante, de los índices Dow Jones e Ibex35. Se efectúa la valoración del riesgo mediante la cuantificación del VaR y la ES (pérdida esperada) para los modelos marginales y para el conjunto, prestando especial interés a la dependencia en colas presente en los modelos bivariantes propuestos.

Medidas de riesgo financiero usando cópulas

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Publisher :
ISBN 13 :
Total Pages : 93 pages
Book Rating : 4.:/5 (79 download)

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Book Synopsis Medidas de riesgo financiero usando cópulas by : Oscar Reinaldo Becerra Camargo

Download or read book Medidas de riesgo financiero usando cópulas written by Oscar Reinaldo Becerra Camargo and published by . This book was released on 2008 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Medici¢n y control de riesgos financieros

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Publisher : Editorial Limusa
ISBN 13 : 9789681864446
Total Pages : 228 pages
Book Rating : 4.8/5 (644 download)

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Book Synopsis Medici¢n y control de riesgos financieros by : Alfonso de Lara Haro

Download or read book Medici¢n y control de riesgos financieros written by Alfonso de Lara Haro and published by Editorial Limusa. This book was released on 2005 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reseña: La administración de riesgos, con todo y la complejidad de sus conceptos matemáticos, es una actividad que ha registrado un crecimiento muy importante en nuestro país y en el ámbito internacional en los últimos años. l costo de que una institución o un inversionista tenga en posición de riesgo algún instrumento financiero que no sea plenamente entendido, puede ser devastador.Este es un esfuerzo para difundir los principales conceptos en la medición de riesgos desde un punto de vista pragmático, de tal suerte que las metodologías puedan ser entendidas por ejecutivos y estudiantes no expertos en la materia.Este libro tiene las siguientes características: Explicaciones accesibles, tanto de los instrumentos financieros, como de las metodologías de medición y control de riesgos.Ejemplos numéricos y aplicaciones en la medición de riesgos que facilitan la comprensión de los temas.Énfasis en el concepto conocido como valor riesgo (VaR), que se ha convertido hoy en día en modelo que es norma en la industria, es decir, en paradigma. El valor en riesgo (VaR) es una herramienta esencial para cualquier administrador de riesgos. Probablemente su fortaleza consiste en que su alcance cubre a cualquier instrumento o portafolios, desde lo más simple hasta lo más complejo.El VaR resume en un solo número el conjunto de correlaciones, volatilidad y factores de riesgo que se encuentran en una posición de riesgo. Se explican otras herramientas que son indispensables para una efectiva administración de riesgo con visión integral, tales como pruebas de stress, de back testing, indicadores de desempeño, entre otros.Este es un libro introductorio que provee los conceptos básicos de una rama de las finanzas, pero también sirve como libro de consulta y referencia para aquellos interesados en este campo.

RETRACTED BOOK: 151 Trading Strategies

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Publisher : Springer
ISBN 13 : 3030027929
Total Pages : 480 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis RETRACTED BOOK: 151 Trading Strategies by : Zura Kakushadze

Download or read book RETRACTED BOOK: 151 Trading Strategies written by Zura Kakushadze and published by Springer. This book was released on 2018-12-13 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides detailed descriptions, including more than 550 mathematical formulas, for more than 150 trading strategies across a host of asset classes and trading styles. These include stocks, options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles, structured assets, volatility, real estate, distressed assets, cash, cryptocurrencies, weather, energy, inflation, global macro, infrastructure, and tax arbitrage. Some strategies are based on machine learning algorithms such as artificial neural networks, Bayes, and k-nearest neighbors. The book also includes source code for illustrating out-of-sample backtesting, around 2,000 bibliographic references, and more than 900 glossary, acronym and math definitions. The presentation is intended to be descriptive and pedagogical and of particular interest to finance practitioners, traders, researchers, academics, and business school and finance program students.

S=EX2

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Publisher : Springer
ISBN 13 : 3319317261
Total Pages : 373 pages
Book Rating : 4.3/5 (193 download)

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Book Synopsis S=EX2 by : Pere Estupinyà

Download or read book S=EX2 written by Pere Estupinyà and published by Springer. This book was released on 2016-08-25 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: You have in your hands the most rigorous, complete and readable book ever written about the fascinating science of human sexuality. This book goes beyond the well-worn sexual education advice and the usual evolutionist psychology. After The Brain Snatcher, Pere Estupinyà comes back with the first popular science book on sex aimed at a wide audience. While there are some tips for the more adventurous, there is also a wealth of new information to be discovered. Distancing himself from the many books on advice or techniques, Estupinyà brings sex to another dimension by combining popular beliefs and science. Do you want proof that our decision-making in the “heat of the moment” is less rational than we think? Did you know that mind and vagina each go their own way? Are you interested in learning about the effects of yoga on sexual pleasure? Did you know about the attempts in the 60s to “cure” homosexuals with electric shock therapy, the chemical analysis of female ejaculation, or the fundamental relationship between the sympathetic and parasympathetic nervous system? The author has spoken directly with asexual and intersexual individuals, fetishists, multi-orgasmic women, women who never have orgasms through penetration, and men who have no refractory period. He has also participated in sadomasochistic events; learned tantric techniques with a couple of coaches, spoken with porn performers at Barcelona’s Bagdad, and attended workshops in which a woman teaches how to have orgasms with your mind and breathing. The result is an incredible miscellany of information that appeals to both the scientific community and the curious.

Employment in Metropolitan Areas

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Publisher :
ISBN 13 :
Total Pages : 126 pages
Book Rating : 4.:/5 (319 download)

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Book Synopsis Employment in Metropolitan Areas by : United States. Bureau of Labor Statistics

Download or read book Employment in Metropolitan Areas written by United States. Bureau of Labor Statistics and published by . This book was released on 1947 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Systemic Risk, Crises, and Macroprudential Regulation

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Publisher : MIT Press
ISBN 13 : 0262028697
Total Pages : 487 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Systemic Risk, Crises, and Macroprudential Regulation by : Xavier Freixas

Download or read book Systemic Risk, Crises, and Macroprudential Regulation written by Xavier Freixas and published by MIT Press. This book was released on 2015-06-19 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: A framework for macroprudential regulation that defines systemic risk and macroprudential policy, describes macroprudential tools, and surveys the effectiveness of existing macroprudential regulation. The recent financial crisis has shattered all standard approaches to banking regulation. Regulators now recognize that banking regulation cannot be simply based on individual financial institutions' risks. Instead, systemic risk and macroprudential regulation have come to the forefront of the new regulatory paradigm. Yet our knowledge of these two core aspects of regulation is still limited and fragmented. This book offers a framework for understanding the reasons for the regulatory shift from a microprudential to a macroprudential approach to financial regulation. It defines systemic risk and macroprudential policy, cutting through the generalized confusion as to their meaning; contrasts macroprudential to microprudential approaches; discusses the interaction of macroprudential policy with macroeconomic policy (monetary policy in particular); and describes macroprudential tools and experiences with macroprudential regulation around the world. The book also considers the remaining challenges for establishing effective macroprudential policy and broader issues in regulatory reform. These include the optimal size and structure of the financial system, the multiplicity of regulatory bodies in the United States, the supervision of cross-border financial institutions, and the need for international cooperation on macroprudential policies.

Dynamic Models for Volatility and Heavy Tails

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Publisher : Cambridge University Press
ISBN 13 : 1107328780
Total Pages : 281 pages
Book Rating : 4.1/5 (73 download)

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Book Synopsis Dynamic Models for Volatility and Heavy Tails by : Andrew C. Harvey

Download or read book Dynamic Models for Volatility and Heavy Tails written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 2013-04-22 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have provided the principal means of analyzing, modeling and monitoring such changes. Taking into account that financial returns typically exhibit heavy tails - that is, extreme values can occur from time to time - Andrew Harvey's new book shows how a small but radical change in the way GARCH models are formulated leads to a resolution of many of the theoretical problems inherent in the statistical theory. The approach can also be applied to other aspects of volatility. The more general class of Dynamic Conditional Score models extends to robust modeling of outliers in the levels of time series and to the treatment of time-varying relationships. The statistical theory draws on basic principles of maximum likelihood estimation and, by doing so, leads to an elegant and unified treatment of nonlinear time-series modeling.

Big Data for Twenty-First-Century Economic Statistics

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Publisher : University of Chicago Press
ISBN 13 : 022680125X
Total Pages : 502 pages
Book Rating : 4.2/5 (268 download)

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Book Synopsis Big Data for Twenty-First-Century Economic Statistics by : Katharine G. Abraham

Download or read book Big Data for Twenty-First-Century Economic Statistics written by Katharine G. Abraham and published by University of Chicago Press. This book was released on 2022-03-11 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction.Big data for twenty-first-century economic statistics: the future is now /Katharine G. Abraham, Ron S. Jarmin, Brian C. Moyer, and Matthew D. Shapiro --Toward comprehensive use of big data in economic statistics.Reengineering key national economic indicators /Gabriel Ehrlich, John Haltiwanger, Ron S. Jarmin, David Johnson, and Matthew D. Shapiro ;Big data in the US consumer price index: experiences and plans /Crystal G. Konny, Brendan K. Williams, and David M. Friedman ;Improving retail trade data products using alternative data sources /Rebecca J. Hutchinson ;From transaction data to economic statistics: constructing real-time, high-frequency, geographic measures of consumer spending /Aditya Aladangady, Shifrah Aron-Dine, Wendy Dunn, Laura Feiveson, Paul Lengermann, and Claudia Sahm ;Improving the accuracy of economic measurement with multiple data sources: the case of payroll employment data /Tomaz Cajner, Leland D. Crane, Ryan A. Decker, Adrian Hamins-Puertolas, and Christopher Kurz --Uses of big data for classification.Transforming naturally occurring text data into economic statistics: the case of online job vacancy postings /Arthur Turrell, Bradley Speigner, Jyldyz Djumalieva, David Copple, and James Thurgood ;Automating response evaluation for franchising questions on the 2017 economic census /Joseph Staudt, Yifang Wei, Lisa Singh, Shawn Klimek, J. Bradford Jensen, and Andrew Baer ;Using public data to generate industrial classification codes /John Cuffe, Sudip Bhattacharjee, Ugochukwu Etudo, Justin C. Smith, Nevada Basdeo, Nathaniel Burbank, and Shawn R. Roberts --Uses of big data for sectoral measurement.Nowcasting the local economy: using Yelp data to measure economic activity /Edward L. Glaeser, Hyunjin Kim, and Michael Luca ;Unit values for import and export price indexes: a proof of concept /Don A. Fast and Susan E. Fleck ;Quantifying productivity growth in the delivery of important episodes of care within the Medicare program using insurance claims and administrative data /John A. Romley, Abe Dunn, Dana Goldman, and Neeraj Sood ;Valuing housing services in the era of big data: a user cost approach leveraging Zillow microdata /Marina Gindelsky, Jeremy G. Moulton, and Scott A. Wentland --Methodological challenges and advances.Off to the races: a comparison of machine learning and alternative data for predicting economic indicators /Jeffrey C. Chen, Abe Dunn, Kyle Hood, Alexander Driessen, and Andrea Batch ;A machine learning analysis of seasonal and cyclical sales in weekly scanner data /Rishab Guha and Serena Ng ;Estimating the benefits of new products /W. Erwin Diewert and Robert C. Feenstra.

Financial Modeling Under Non-Gaussian Distributions

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Publisher : Springer Science & Business Media
ISBN 13 : 1846286964
Total Pages : 541 pages
Book Rating : 4.8/5 (462 download)

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Book Synopsis Financial Modeling Under Non-Gaussian Distributions by : Eric Jondeau

Download or read book Financial Modeling Under Non-Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

Bank Size and Systemic Risk

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Publisher : International Monetary Fund
ISBN 13 : 1484363728
Total Pages : 34 pages
Book Rating : 4.4/5 (843 download)

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Book Synopsis Bank Size and Systemic Risk by : Mr.Luc Laeven

Download or read book Bank Size and Systemic Risk written by Mr.Luc Laeven and published by International Monetary Fund. This book was released on 2014-05-08 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proposed SDN documents the evolution of bank size and activities over the past 20 years. It discusses whether this evolution can be explained by economies of scale or “too big to fail” subsidies. The paper then presents evidence on the extent to which bank size and market-based activities contribute to systemic risk. The paper concludes with policy messages in the area of capital regulation and activity restrictions to reduce the systemic risk posed by large banks. The analysis of the paper complements earlier Fund work, including SDN 13/04 and the recent GFSR chapter on “too big to fail” subsidies, and its policy message is in line with this earlier work.

Bailouts Or Bail-Ins?

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Publisher : Peterson Institute
ISBN 13 : 9780881325300
Total Pages : 462 pages
Book Rating : 4.3/5 (253 download)

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Book Synopsis Bailouts Or Bail-Ins? by : Nouriel Roubini

Download or read book Bailouts Or Bail-Ins? written by Nouriel Roubini and published by Peterson Institute. This book was released on 2004-04-30 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study calls for a two-track strategy: first, deep multilateral liberalization involving phased but complete elimination of industrial-county protection and deep reduction of protection by at least the middle-income developing countries, albeit on a more gradual schedule; and second, immediate free entry for imports from high risk low-income countries (heavily indebted poor countries, least developed countries, and sub-Saharan Africa), coupled with a 10-year tax holiday for direct investment in these countries.

Hedge Funds

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Publisher : Wiley
ISBN 13 : 9780470844779
Total Pages : 0 pages
Book Rating : 4.8/5 (447 download)

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Book Synopsis Hedge Funds by : François-Serge Lhabitant

Download or read book Hedge Funds written by François-Serge Lhabitant and published by Wiley. This book was released on 2002-05-22 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Full coverage of how hedge funds work, from risks to rewards L'Habitant discusses--from an investor's perspective--the potential uses, risks, and returns in hedge funds, while offering both the qualitative and quantitative tools investors need to access these types of funds. Topics not normally covered in discussions of hedge funds are included, such as how to include hedge funds in traditional portfolios, database differences, and non-transparency. A practical guide to a growing, yet little understood, segment of the financial industry. Francois-Serge L'Habitant, PhD (Geneva, Switzerland), is Head of Quantitative Risk Management at Union Bancaire Privee in Geneva, Switzerland. A former computer engineer, he previously served as Director of UBS Private Banking Division. Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Health Econometrics

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Publisher : Emerald Group Publishing
ISBN 13 : 1787145425
Total Pages : 406 pages
Book Rating : 4.7/5 (871 download)

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Book Synopsis Health Econometrics by : Badi H. Baltagi

Download or read book Health Econometrics written by Badi H. Baltagi and published by Emerald Group Publishing. This book was released on 2018-05-30 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume covers a wide range of existing and emerging topics in applied health economics, including behavioural economics, medical care risk, social insurance, discrete choice models, cost-effectiveness analysis, health and immigration, and more.

Control of Chagas Disease

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Publisher : World Health Organization
ISBN 13 : 9241209054
Total Pages : 120 pages
Book Rating : 4.2/5 (412 download)

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Book Synopsis Control of Chagas Disease by : World Health Organization

Download or read book Control of Chagas Disease written by World Health Organization and published by World Health Organization. This book was released on 2002-05 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: This report of a WHO Expert Committee reviews current knowledge of Chagas disease and its pathogenesis discusses the causative parasite the triatomine vectors and the natural reservoirs of infection and considers the epidemiology and incidence trends of the disease. Prevention and control strategies are described as are the various formal initiatives for interruption of disease transmission. The report concludes by identifying priorities for research and offering guidance for the planning implementation and strengthening of national control programmes. ... this book makes an extremely valuable contribution toward understanding Chagas disease and promoting solid prevention and control efforts. It will no doubt be an important addition to the library of anyone student and expert alike with interests in Chagas disease. The authors are to be congratulated on the completion of a work of excellence - an extremely difficult endeavour at a time when our knowledge of vectors parasites and methodologies is expanding so rapidly. - Transactions of the Royal Society of Tropical Medicine and Hygiene

Stochastic Processes with Applications to Finance

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Publisher : CRC Press
ISBN 13 : 1439884846
Total Pages : 345 pages
Book Rating : 4.4/5 (398 download)

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Book Synopsis Stochastic Processes with Applications to Finance by : Masaaki Kijima

Download or read book Stochastic Processes with Applications to Finance written by Masaaki Kijima and published by CRC Press. This book was released on 2016-04-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools

Goal Programming and Extensions

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Publisher :
ISBN 13 :
Total Pages : 296 pages
Book Rating : 4.3/5 (97 download)

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Book Synopsis Goal Programming and Extensions by : James P. Ignizio

Download or read book Goal Programming and Extensions written by James P. Ignizio and published by . This book was released on 1976 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: