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Market Risk Analysis, Practical Financial Econometrics (Volume II), by Carol Alexander
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Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet.
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:
- Factor analysis with orthogonal regressions and using principal component factors;
- Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters;
- Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization;
- Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management;
- Simulation of normal mixture and Markov switching GARCH returns;
- Cointegration based index tracking and pairs trading, with error correction and impulse response modelling;
- Markov switching regression models (Eviews code);
- GARCH term structure forecasting with volatility targeting;
- Non-linear quantile regressions with applications to hedging.
- Sales Rank: #1437173 in Books
- Published on: 2008-05-27
- Original language: English
- Number of items: 1
- Dimensions: 9.70" h x 1.20" w x 6.80" l, 1.90 pounds
- Binding: Hardcover
- 416 pages
From the Inside Flap
Market Risk Analysis is a series of four volumes:
Volume I: Quantitative Methods in Finance
Volume II: Practical Financial Econometrics
Volume III: Pricing, Hedging and Trading Financial Instruments
Volume IV: Value at Risk Models.
Although the four volumes are very much interlinked, each containing numerous cross-references to other volumes, they are written as self-contained texts.
Volume I covers the essential mathematical and financial background for subsequent volumes. There are six comprehensive chapters covering all the calculus, linear algebra, probability and statistics, numerical methods and portfolio mathematics that are necessary for market risk analysis. It is a complete and pedagogical introduction to quantitative methods applied to finance.
Volume II provides a detailed understanding of financial econometrics, with a unique focus on applications to asset pricing, fund management and market risk analysis. It covers equity factor models, including a detailed analysis of the Barra model and tracking error, principal component analysis, volatility and correlation, GARCH, cointegration, copulas, Markov switching, quantile regression, discrete choice models, non-linear regression, forecasting and model evaluation.
Volume III has five extensive chapters on the pricing, hedging and trading of bonds and swaps, futures and forwards, options and volatility, and detailed descriptions of mapping portfolios of these financial instruments to their risk factors. There are numerous examples, all coded in interactive Excel spreadsheets, including many pricing formulae for exotic options but excluding the calibration of stochastic volatility models, for which Matlab code is provided.
Volume IV builds on the three previous volumes to provide a comprehensive and detailed treatment of market VaR models. The exposition starts at an elementary level but, as in all the other volumes, the pedagogical approach accompanied by numerous interactive Excel spreadsheets allows readers to experience the application of parametric linear, historical simulation and Monte Carlo VaR models to increasingly complex portfolios. Starting with simple positions, readers are soon applying risk models to large international securities portfolios, commodity futures, path dependent options and much else. This rigorous treatment includes many new results and applications to regulatory and economic capital allocation, measurement of VaR model risk and stress testing.
Each volume is accompanied by a CD-ROM which features numerous interactive Excel spreadsheets that illustrate the vast majority of the problems and case studies in these texts. For further information see the accompanying CD-ROM
From the Back Cover
Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet.
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:
- Factor analysis with orthogonal regressions and using principal component factors;
- Estimation of symmetric and asymmetric, normal and Student tGARCH and E-GARCH parameters;
- Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization;
- Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management;
- Simulation of normal mixture and Markov switching GARCH returns;
- Cointegration based index tracking and pairs trading, with error correction and impulse response modelling;
- Markov switching regression models (Eviews code);
- GARCH term structure forecasting with volatility targeting;
- Non-linear quantile regressions with applications to hedging.
About the Author
Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager’s International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis(John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager’s Handbook(McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world’s leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander
Most helpful customer reviews
0 of 0 people found the following review helpful.
Five Stars
By david j. blackstone
Nice book.
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Three Stars
By Kattamuri S. Sarma
Useful
0 of 0 people found the following review helpful.
No words !
By Tinu
I am not to the level to comment on the work of Prof Alexander Carol. I have a high respect for her. This book is a magic, eye opener for all who want to learn the practicalities of various Factor Models, GArch Models, Copula's, PCA, there simulations, there limitations and there uses in different scenarios.
The best thing about any of the book of Madame Carol are the Excel examples, from which one can learn a lot. It is really really important that one goes through those examples , figures, case studies to visualize and learn.
I would suggest to definitely go through the first part Quantitative Finance before you start with the 2nd as they are very much related and understanding of PCA and regression analysis especially the MLE are very important for part 2
Once again thanks very very much Prof Carol, i am personally very greateful for these series and it has given me so much confidence and steep learning curve, which my Masters in Fin Eng was missing being very theoretical
-Viv
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