The Risks Of Financial Modeling

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Financial Risk Management and Modeling

Author : Constantin Zopounidis
Publisher : Springer Nature
ISBN 13 : 3030666913
Total Pages : 480 pages
Book Rating : 4.0/5 (36 download)

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Book Synopsis Financial Risk Management and Modeling by : Constantin Zopounidis

Download or read book Financial Risk Management and Modeling written by Constantin Zopounidis and published by Springer Nature. This book was released on 2021-09-13 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.

Market Risk and Financial Markets Modeling

Author : Didier Sornette
Publisher : Springer Science & Business Media
ISBN 13 : 3642279317
Total Pages : 268 pages
Book Rating : 4.6/5 (422 download)

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Book Synopsis Market Risk and Financial Markets Modeling by : Didier Sornette

Download or read book Market Risk and Financial Markets Modeling written by Didier Sornette and published by Springer Science & Business Media. This book was released on 2012-02-03 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.

Financial Risk Forecasting

Author : Jon Danielsson
Publisher : John Wiley & Sons
ISBN 13 : 1119977118
Total Pages : 307 pages
Book Rating : 4.1/5 (199 download)

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Book Synopsis Financial Risk Forecasting by : Jon Danielsson

Download or read book Financial Risk Forecasting written by Jon Danielsson and published by John Wiley & Sons. This book was released on 2011-04-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Financial Risk Modelling and Portfolio Optimization with R

Author : Bernhard Pfaff
Publisher : John Wiley & Sons
ISBN 13 : 1119119685
Total Pages : 448 pages
Book Rating : 4.1/5 (191 download)

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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.

Operational Risk Modeling in Financial Services

Author : Patrick Naim
Publisher : John Wiley & Sons
ISBN 13 : 1119508509
Total Pages : 327 pages
Book Rating : 4.1/5 (195 download)

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Book Synopsis Operational Risk Modeling in Financial Services by : Patrick Naim

Download or read book Operational Risk Modeling in Financial Services written by Patrick Naim and published by John Wiley & Sons. This book was released on 2019-05-28 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: Transform your approach to oprisk modelling with a proven, non-statistical methodology Operational Risk Modeling in Financial Services provides risk professionals with a forward-looking approach to risk modelling, based on structured management judgement over obsolete statistical methods. Proven over a decade’s use in significant banks and financial services firms in Europe and the US, the Exposure, Occurrence, Impact (XOI) method of operational risk modelling played an instrumental role in reshaping their oprisk modelling approaches; in this book, the expert team that developed this methodology offers practical, in-depth guidance on XOI use and applications for a variety of major risks. The Basel Committee has dismissed statistical approaches to risk modelling, leaving regulators and practitioners searching for the next generation of oprisk quantification. The XOI method is ideally suited to fulfil this need, as a calculated, coordinated, consistent approach designed to bridge the gap between risk quantification and risk management. This book details the XOI framework and provides essential guidance for practitioners looking to change the oprisk modelling paradigm. Survey the range of current practices in operational risk analysis and modelling Track recent regulatory trends including capital modelling, stress testing and more Understand the XOI oprisk modelling method, and transition away from statistical approaches Apply XOI to major operational risks, such as disasters, fraud, conduct, legal and cyber risk The financial services industry is in dire need of a new standard — a proven, transformational approach to operational risk that eliminates or mitigates the common issues with traditional approaches. Operational Risk Modeling in Financial Services provides practical, real-world guidance toward a more reliable methodology, shifting the conversation toward the future with a new kind of oprisk modelling.

Deep Dive into Financial Models

Author : Mathieu Le Bellac
Publisher : World Scientific Publishing Company
ISBN 13 : 981314212X
Total Pages : 232 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Deep Dive into Financial Models by : Mathieu Le Bellac

Download or read book Deep Dive into Financial Models written by Mathieu Le Bellac and published by World Scientific Publishing Company. This book was released on 2016-11-14 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since 2007, the repeated financial crises around the world have brought to the headlines financial practices and models considered to fuel the economic instabilities. Deep Dive into Financial Models: Modeling Risk and Uncertainty comes handy in demystifying the underlying quantitative finance concepts. With a limited use of mathematical formalism, the book explains thoroughly the models, their hypotheses, principles and other building blocks. A particular care is given to model limitations and their misuse for investment strategies, asset pricing, or risk management. Its reader-friendly nature provides readers with a head start in quantitative finance. Request Inspection Copy Contents:Interest RatesCredit Risk ModelingPortfolio Management TheoriesNo-arbitrage TheoryThe Black-Scholes ModelVolatility ModelsNumerical MethodsValue at Risk (VaR)Non-Gaussian Models Readership: Undergraduate and graduate students who are taking up Quantitative Finance courses and those who possess college mathematical background.

Financial Risk Management

Author : Allan M. Malz
Publisher : John Wiley & Sons
ISBN 13 : 1118022912
Total Pages : 752 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis Financial Risk Management by : Allan M. Malz

Download or read book Financial Risk Management written by Allan M. Malz and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 752 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial risk has become a focus of financial and nonfinancial firms, individuals, and policy makers. But the study of risk remains a relatively new discipline in finance and continues to be refined. The financial market crisis that began in 2007 has highlighted the challenges of managing financial risk. Now, in Financial Risk Management, author Allan Malz addresses the essential issues surrounding this discipline, sharing his extensive career experiences as a risk researcher, risk manager, and central banker. The book includes standard risk measurement models as well as alternative models that address options, structured credit risks, and the real-world complexities or risk modeling, and provides the institutional and historical background on financial innovation, liquidity, leverage, and financial crises that is crucial to practitioners and students of finance for understanding the world today. Financial Risk Management is equally suitable for firm risk managers, economists, and policy makers seeking grounding in the subject. This timely guide skillfully surveys the landscape of financial risk and the financial developments of recent decades that culminated in the crisis. The book provides a comprehensive overview of the different types of financial risk we face, as well as the techniques used to measure and manage them. Topics covered include: Market risk, from Value-at-Risk (VaR) to risk models for options Credit risk, from portfolio credit risk to structured credit products Model risk and validation Risk capital and stress testing Liquidity risk, leverage, systemic risk, and the forms they take Financial crises, historical and current, their causes and characteristics Financial regulation and its evolution in the wake of the global crisis And much more Combining the more model-oriented approach of risk management-as it has evolved over the past two decades-with an economist's approach to the same issues, Financial Risk Management is the essential guide to the subject for today's complex world.

Introduction to Credit Risk Modeling

Author : Christian Bluhm
Publisher : CRC Press
ISBN 13 : 1584889934
Total Pages : 386 pages
Book Rating : 4.5/5 (848 download)

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Book Synopsis Introduction to Credit Risk Modeling by : Christian Bluhm

Download or read book Introduction to Credit Risk Modeling written by Christian Bluhm and published by CRC Press. This book was released on 2016-04-19 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin

The Risks of Financial Modeling

Author : United States. Congress
Publisher : Createspace Independent Publishing Platform
ISBN 13 : 9781983426766
Total Pages : 156 pages
Book Rating : 4.4/5 (267 download)

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Book Synopsis The Risks of Financial Modeling by : United States. Congress

Download or read book The Risks of Financial Modeling written by United States. Congress and published by Createspace Independent Publishing Platform. This book was released on 2017-12-30 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: The risks of financial modeling : VaR and the economic meltdown : hearing before the Subcommittee on Investigations and Oversight, Committee on Science and Technology, House of Representatives, One Hundred Eleventh Congress, first session, September 10, 2009.

The Risks of Financial Institutions

Author : Mark Carey
Publisher : University of Chicago Press
ISBN 13 : 0226092984
Total Pages : 670 pages
Book Rating : 4.2/5 (26 download)

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Book Synopsis The Risks of Financial Institutions by : Mark Carey

Download or read book The Risks of Financial Institutions written by Mark Carey and published by University of Chicago Press. This book was released on 2007-11-01 with total page 670 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until about twenty years ago, the consensus view on the cause of financial-system distress was fairly simple: a run on one bank could easily turn to a panic involving runs on all banks, destroying some and disrupting the financial system. Since then, however, a series of events—such as emerging-market debt crises, bond-market meltdowns, and the Long-Term Capital Management episode—has forced a rethinking of the risks facing financial institutions and the tools available to measure and manage these risks. The Risks of Financial Institutions examines the various risks affecting financial institutions and explores a variety of methods to help institutions and regulators more accurately measure and forecast risk. The contributors--from academic institutions, regulatory organizations, and banking--bring a wide range of perspectives and experience to the issue. The result is a volume that points a way forward to greater financial stability and better risk management of financial institutions.

The Oxford Guide to Financial Modeling

Author : Thomas S. Y. Ho
Publisher : Oxford University Press
ISBN 13 : 0199923981
Total Pages : 768 pages
Book Rating : 4.1/5 (999 download)

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Book Synopsis The Oxford Guide to Financial Modeling by : Thomas S. Y. Ho

Download or read book The Oxford Guide to Financial Modeling written by Thomas S. Y. Ho and published by Oxford University Press. This book was released on 2004-01-15 with total page 768 pages. Available in PDF, EPUB and Kindle. Book excerpt: The essential premise of this book is that theory and practice are equally important in describing financial modeling. In it the authors try to strike a balance in their discussions between theories that provide foundations for financial models and the institutional details that provide the context for applications of the models. The book presents the financial models of stock and bond options, exotic options, investment grade and high-yield bonds, convertible bonds, mortgage-backed securities, liabilities of financial institutions--the business model and the corporate model. It also describes the applications of the models to corporate finance. Furthermore, it relates the models to financial statements, risk management for an enterprise, and asset/liability management with illiquid instruments. The financial models are progressively presented from option pricing in the securities markets to firm valuation in corporate finance, following a format to emphasize the three aspects of a model: the set of assumptions, the model specification, and the model applications. Generally, financial modeling books segment the world of finance as "investments," "financial institutions," "corporate finance," and "securities analysis," and in so doing they rarely emphasize the relationships between the subjects. This unique book successfully ties the thought processes and applications of the financial models together and describes them as one process that provides business solutions. Created as a companion website to the book readers can visit www.thomasho.com to gain deeper understanding of the book's financial models. Interested readers can build and test the models described in the book using Excel, and they can submit their models to the site. Readers can also use the site's forum to discuss the models and can browse server based models to gain insights into the applications of the models. For those using the book in meetings or class settings the site provides Power Point descriptions of the chapters. Students can use available question banks on the chapters for studying.

Modeling Financial Markets

Author : Benjamin Van Vliet
Publisher : McGraw Hill Professional
ISBN 13 : 007144288X
Total Pages : 304 pages
Book Rating : 4.0/5 (714 download)

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Book Synopsis Modeling Financial Markets by : Benjamin Van Vliet

Download or read book Modeling Financial Markets written by Benjamin Van Vliet and published by McGraw Hill Professional. This book was released on 2004-01-22 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Limitations in today's software packages for financial modeling system development can threaten the viability of any system--not to mention the firm using that system. Modeling Financial Markets is the first book to take financial professionals beyond those limitations to introduce safer, more sophisticated modeling methods. It contains dozens of techniques for financial modeling in code that minimize or avoid current software deficiencies, and addresses the crucial crossover stage in which prototypes are converted to fully coded models.

The Risks of Financial Modeling

Author : United States Congress
Publisher : Createspace Independent Publishing Platform
ISBN 13 : 9781978264182
Total Pages : 156 pages
Book Rating : 4.2/5 (641 download)

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Book Synopsis The Risks of Financial Modeling by : United States Congress

Download or read book The Risks of Financial Modeling written by United States Congress and published by Createspace Independent Publishing Platform. This book was released on 2017-10-14 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: The risks of financial modeling: VaR and the economic meltdown : hearing before the Subcommittee on Investigations and Oversight, Committee on Science and Technology, House of Representatives, One Hundred Eleventh Congress, first session, September 10, 2009.

Interest Rate Risk Modeling

Author : Sanjay K. Nawalkha
Publisher : John Wiley & Sons
ISBN 13 : 0471737445
Total Pages : 429 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis Interest Rate Risk Modeling by : Sanjay K. Nawalkha

Download or read book Interest Rate Risk Modeling written by Sanjay K. Nawalkha and published by John Wiley & Sons. This book was released on 2005-05-31 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.

The Risks of Financial Modeling

Author : United States House of Representatives
Publisher :
ISBN 13 : 9781697931419
Total Pages : 156 pages
Book Rating : 4.9/5 (314 download)

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Book Synopsis The Risks of Financial Modeling by : United States House of Representatives

Download or read book The Risks of Financial Modeling written by United States House of Representatives and published by . This book was released on 2019-10-06 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: The risks of financial modeling: VaR and the economic meltdown: hearing before the Subcommittee on Investigations and Oversight, Committee on Science and Technology, House of Representatives, One Hundred Eleventh Congress, first session, September 10, 2009.

Financial Modeling, Actuarial Valuation and Solvency in Insurance

Author : Mario V. Wüthrich
Publisher : Springer Science & Business Media
ISBN 13 : 3642313922
Total Pages : 438 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Financial Modeling, Actuarial Valuation and Solvency in Insurance by : Mario V. Wüthrich

Download or read book Financial Modeling, Actuarial Valuation and Solvency in Insurance written by Mario V. Wüthrich and published by Springer Science & Business Media. This book was released on 2013-04-04 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk management for financial institutions is one of the key topics the financial industry has to deal with. The present volume is a mathematically rigorous text on solvency modeling. Currently, there are many new developments in this area in the financial and insurance industry (Basel III and Solvency II), but none of these developments provides a fully consistent and comprehensive framework for the analysis of solvency questions. Merz and Wüthrich combine ideas from financial mathematics (no-arbitrage theory, equivalent martingale measure), actuarial sciences (insurance claims modeling, cash flow valuation) and economic theory (risk aversion, probability distortion) to provide a fully consistent framework. Within this framework they then study solvency questions in incomplete markets, analyze hedging risks, and study asset-and-liability management questions, as well as issues like the limited liability options, dividend to shareholder questions, the role of re-insurance, etc. This work embeds the solvency discussion (and long-term liabilities) into a scientific framework and is intended for researchers as well as practitioners in the financial and actuarial industry, especially those in charge of internal risk management systems. Readers should have a good background in probability theory and statistics, and should be familiar with popular distributions, stochastic processes, martingales, etc.

Managing Risk of Financial Models

Author : Aruna Joshi
Publisher :
ISBN 13 : 9781976510342
Total Pages : 100 pages
Book Rating : 4.5/5 (13 download)

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Book Synopsis Managing Risk of Financial Models by : Aruna Joshi

Download or read book Managing Risk of Financial Models written by Aruna Joshi and published by . This book was released on 2017-09-20 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: How can a reputable hedge fund with sophisticated financial models collapse?Why do two borrowers with similar FICO scores pay different mortgage rates?What is the hype about stress testing for big banks?This book is for you if:You are a math nerd considering a career in financeYou financial institution is trying to grow its nascent model risk management programYou are interested in risk managementThis book is a simple, step-by-step guide to how top institutions determine what is a model, how to identify, assess, and mitigate model risk, and how to report to senior management.Using practical examples, this book gives an overview of the state of the art methods applied in establishing and maintaining a strong model risk management program at a financial institution.