Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Three Essays On Improving Financial Risk Estimation Forecasting And Backtesting full books in PDF, epub, and Kindle. Read online Three Essays On Improving Financial Risk Estimation Forecasting And Backtesting ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Download or read book Three Essays on Improving Financial Risk Estimation, Forecasting and Backtesting written by and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sebastian Bayer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Three Essays on Improving Financial Risk Estimation, Forecasting and Backtesting written by Sebastian Bayer and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Timo Dimitriadis
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (115 download)
Download or read book Three Essays on Estimation, Forecasting and Evaluation of Financial Risk written by Timo Dimitriadis and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lidan Grossmass
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (128 download)
Download or read book Three Essays on Using High Frequency Data in Estimating Financial Risks written by Lidan Grossmass and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maria Pacurar
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (11 download)
Download or read book Three Essays on High Frequency Financial Data and Their Use for Risk Management written by Maria Pacurar and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Serge Luther Nyawa Womo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (17 download)
Download or read book Three Essays on Financial Risks Using High Frequency Data written by Serge Luther Nyawa Womo and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is about financial risks and high frequency data, with a particular focus on financial systemic risk, the risk of high dimensional portfolios and market microstructure noise. It is organized on three chapters. The first chapter provides a continuous time reduced-form model for the propagation of negative idiosyncratic shocks within a financial system. Using common factors and mutually exciting jumps both in price and volatility, we distinguish between sources of systemic failure such as macro risk drivers, connectedness and contagion. The estimation procedure relies on the GMM approach and takes advantage of high frequency data. We use models' parameters to define weighted, directed networks for shock transmission, and we provide new measures for the financial system fragility. We construct paths for the propagation of shocks, firstly within a number of key US banks and insurance companies, and secondly within the nine largest S&P sectors during the period 2000-2014. We find that beyond common factors, systemic dependency has two related but distinct channels: price and volatility jumps. In the second chapter, we develop a new factor-based estimator of the realized covolatility matrix, applicable in situations when the number of assets is large and the high-frequency data are contaminated with microstructure noises. Our estimator relies on the assumption of a factor structure for the noise component, separate from the latent systematic risk factors that characterize the cross-sectional variation in the frictionless returns. The new estimator provides theoretically more efficient and finite-sample more accurate estimates of large-scale integrated covolatility, correlation, and inverse covolatility matrices than other recently developed realized estimation procedures. These theoretical and simulation-based findings are further corroborated by an empirical application related to portfolio allocation and risk minimization involving several hundred individual stocks. The last chapter presents a factor-based methodology to estimate microstructure noise characteristics and frictionless prices under a high dimensional setup. We rely on factor assumptions both in latent returns and microstructure noise. The methodology is able to estimate rotations of common factors, loading coefficients and volatilities in microstructure noise for a huge number of stocks. Using stocks included in the S&P500 during the period spanning January 2007 to December 2011, we estimate microstructure noise common factors and compare them to some market-wide liquidity measures computed from real financial variables. We obtain that: the first factor is correlated to the average spread and the average number of shares outstanding; the second and third factors are related to the spread; the fourth and fifth factors are significantly linked to the closing log-price. In addition, volatilities of microstructure noise factors are widely explained by the average spread, the average volume, the average number of trades and the average trade size.
Author : Valeri Voev
Publisher :
ISBN 13 :
Total Pages : 222 pages
Book Rating : 4.:/5 (315 download)
Download or read book Three Essays on Estimation and Dynamic Modelling of Multivariate Market Risks Using High Frequency Financial Data written by Valeri Voev and published by . This book was released on 2008 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Mücher
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (138 download)
Download or read book Three Essays on Estimating, Filtering, and Predicting Financial Volatility written by Christian Mücher and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhang, Xi
Publisher :
ISBN 13 :
Total Pages : 124 pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays on Risk Management of Financial Market with Bayesian Estimation written by Zhang, Xi and published by . This book was released on 2017 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on modeling financial risk under Bayesian framework. The first essay compares the performances of Maximum Likelihood Estimation (MLE), Probability-Weighted Moments (PWM), Maximum Product of Spacings (MPS) and Bayesian estimation by using the Monte Carlo Experiments on simulated data from GEV distribution. I compare not only how close the estimates are to the true parameters, but also how close the combination of the three parameters in terms of estimated Value-at-Risk (VaR) to the true VaR. The Block Maxima Method based on student-t distribution is used for analysis to mimic the real world situation. The Monte Carlo Experiments show that the Bayesian estimation provides the smallest standard deviations of estimates for all cases. VaR estimates of the MLE and the PWM are closer to the true VaR, but we need to choose the initial values carefully for MLE. MPS gives the worst approximation in general. The second essay analyzes the movement of implied volatility surface from 2005 to 2014. The study period is divided into four sub-periods: Pre-Crisis, Crisis, Adjustment period and Post-Crisis. The Black-Scholes model based daily implied volatility (IV) is constructed and the time series of IV given different moneyness and time to maturity is fitted into a stochastic differential equation with mean-reverting drift and constant elasticity of variance. After estimating the parameters using a Bayesian Metropolis Hastings algorithm, the comparison across different time periods is conducted. As it is natural to expect abnormality in Crisis and Adjustment period, it is interesting to see the difference between Post-Crisis movement and the Pre-Crisis's. The results reveal that if the catastrophe does not permanently change the investment behavior, the effect from Crisis may last longer than expected. It is unwise to assume the market movement or investment behavior would be identical in Pre-Crisis and Post-Crisis periods. Market participants learn from Crisis and behave differently in Post-Crisis comparing to Pre-Crisis. The third essay attempts to predict financial stress by identifying leading indicators under a Bayesian variable selection framework. Stochastic search variable selection (SSVS) formulation of George and McCulloch (1993) is used to select more informative variables as leading indicators among a number of financial variables. Both linear model and Probit model under normal error assumption and fat tail assumption are used for analysis. Financial stress indexes issued by Federal Reserve Banks combined with Bloom(2009) and Ng(2015)'s paper are used to identify financial stress. An ex-post approach based on historical perspective and ex ante approach combined with rolling window are used for analysis. The results show promising predictive power and the selection of variables can be used to signal financial crisis period.
Author : Wei He
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (133 download)
Download or read book Three Essays on the Risk and Distribution of a Portfolio's Future Losses written by Wei He and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This Ph.D. dissertation contains three individual and internally related essays. The first essay applies the least-squares Monte-Carlo (LSM) methodology to derive the distribution of the exotic option values at a future time. LSM presents a powerful statistical procedure that efficiently yields derivative distributions for exotic options that do not possess analytic solutions. By means of several examples, using options with closed-from solutions, this essay demonstrates the ability of LSM to produce excellent estimates of derivative distribution at a reasonable computational cost. The second and third essays compare two of the major credit risk portfolio models used by two prominent financial companies: J. P. Morgan's CreditMetrics and Credit Swiss First Boston's CreditRisk+. The second essay compares the two models from a methodological and an empirical point of view. Factor Analysis is utilized to link the different input data employed by these two models. The third essay creates a hypothetical world in which the true transition matrices are known so that a benchmark distribution of portfolio loss is derived to evaluate the model's performance. The results suggest that despite the fact that the recommendations made by each approach to a financial institution trying to determine how much economic capital to hold is different, these two models perform equally well when credit-rating-change risk is eliminated from the CreditMetrics approach.
Author : David Fritz
Publisher : Books on Demand
ISBN 13 : 9783746096599
Total Pages : 224 pages
Book Rating : 4.0/5 (965 download)
Download or read book Essays on Qualitative and Quantitative Risk Management written by David Fritz and published by Books on Demand. This book was released on 2018-02-09 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is based on the Ph.D. thesis "Essays on Qualitative and Quantitative Risk Management" written by the author of this book. It consists out of three essays on text mining applications in finance and the validation of a credit risk model. To be more precise, the three essays address the following research questions: What kind of text mining measures are suitable in the finance area for analyzing text such as annual reports and can we use these measures to predict short-term performance or the reporting quality? Can we measure the tone of a document by using automatically calculated sentiment scores? How can we build a sentiment score, that captures keywords within a larger context? Do the chapters/sections of an annual report have a different influence on the whole content of the report? How can banks validate their credit risk model with a special focus on an analytical model? This book addresses practitioners, consultants, analysts, and bankers as well as students, researchers, and lecturers with focus on text mining applications in finance and the validation of credit risk models.
Author : Geoffrey McLachlan
Publisher : John Wiley & Sons
ISBN 13 : 047165406X
Total Pages : 419 pages
Book Rating : 4.4/5 (716 download)
Download or read book Finite Mixture Models written by Geoffrey McLachlan and published by John Wiley & Sons. This book was released on 2004-03-22 with total page 419 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date, comprehensive account of major issues in finitemixture modeling This volume provides an up-to-date account of the theory andapplications of modeling via finite mixture distributions. With anemphasis on the applications of mixture models in both mainstreamanalysis and other areas such as unsupervised pattern recognition,speech recognition, and medical imaging, the book describes theformulations of the finite mixture approach, details itsmethodology, discusses aspects of its implementation, andillustrates its application in many common statisticalcontexts. Major issues discussed in this book include identifiabilityproblems, actual fitting of finite mixtures through use of the EMalgorithm, properties of the maximum likelihood estimators soobtained, assessment of the number of components to be used in themixture, and the applicability of asymptotic theory in providing abasis for the solutions to some of these problems. The author alsoconsiders how the EM algorithm can be scaled to handle the fittingof mixture models to very large databases, as in data miningapplications. This comprehensive, practical guide: * Provides more than 800 references-40% published since 1995 * Includes an appendix listing available mixture software * Links statistical literature with machine learning and patternrecognition literature * Contains more than 100 helpful graphs, charts, and tables Finite Mixture Models is an important resource for both applied andtheoretical statisticians as well as for researchers in the manyareas in which finite mixture models can be used to analyze data.
Author : Söhnke M. Bartram
Publisher : CFA Institute Research Foundation
ISBN 13 : 195292703X
Total Pages : 95 pages
Book Rating : 4.9/5 (529 download)
Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Author : Riccardo Rebonato
Publisher : John Wiley & Sons
ISBN 13 : 0470091401
Total Pages : 864 pages
Book Rating : 4.4/5 (7 download)
Download or read book Volatility and Correlation written by Riccardo Rebonato and published by John Wiley & Sons. This book was released on 2005-07-08 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.... The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion...A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School
Author : Ser-Huang Poon
Publisher : John Wiley & Sons
ISBN 13 : 0470856157
Total Pages : 236 pages
Book Rating : 4.4/5 (78 download)
Download or read book A Practical Guide to Forecasting Financial Market Volatility written by Ser-Huang Poon and published by John Wiley & Sons. This book was released on 2005-08-19 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bernhard Pfaff
Publisher : John Wiley & Sons
ISBN 13 : 1119119685
Total Pages : 448 pages
Book Rating : 4.1/5 (191 download)
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.
