Econometrics of Risk

Econometrics of Risk
Author: Van-Nam Huynh,Vladik Kreinovich,Songsak Sriboonchitta,Komsan Suriya
Publsiher: Springer
Total Pages: 498
Release: 2014-12-15
ISBN: 3319134493
Category: Technology & Engineering
Language: EN, FR, DE, ES & NL

Econometrics of Risk Book Excerpt:

This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.

The Econometrics of Individual Risk

The Econometrics of Individual Risk
Author: Christian Gourieroux,Joann Jasiak
Publsiher: Princeton University Press
Total Pages: 256
Release: 2015-07-28
ISBN: 0691168210
Category: Business & Economics
Language: EN, FR, DE, ES & NL

The Econometrics of Individual Risk Book Excerpt:

The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can be just as devastating as macroevents such as share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts.

Market Risk Analysis Practical Financial Econometrics

Market Risk Analysis  Practical Financial Econometrics
Author: Carol Alexander
Publsiher: John Wiley & Sons
Total Pages: 426
Release: 2008-04-30
ISBN: 0470771038
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Market Risk Analysis Practical Financial Econometrics Book Excerpt:

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.

Risk Measurement Econometrics and Neural Networks

Risk Measurement  Econometrics and Neural Networks
Author: Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollmer
Publsiher: Springer Science & Business Media
Total Pages: 306
Release: 2012-12-06
ISBN: 3642582729
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Risk Measurement Econometrics and Neural Networks Book Excerpt:

This book comprises the articles of the 6th Econometric Workshop in Karlsruhe, Germany. In the first part approaches from traditional econometrics and innovative methods from machine learning such as neural nets are applied to financial issues. Neural Networks are successfully applied to different areas such as debtor analysis, forecasting and corporate finance. In the second part various aspects from Value-at-Risk are discussed. The proceedings describe the legal framework, review the basics and discuss new approaches such as shortfall measures and credit risk.

Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures

Financial Econometrics Modeling  Market Microstructure  Factor Models and Financial Risk Measures
Author: G. Gregoriou,R. Pascalau
Publsiher: Springer
Total Pages: 257
Release: 2010-12-13
ISBN: 0230298109
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures Book Excerpt:

This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics
Author: Simone Manganelli
Publsiher: Unknown
Total Pages: 240
Release: 2000
ISBN: 1928374650XXX
Category: Autoregression (Statistics)
Language: EN, FR, DE, ES & NL

Conditional Autoregressive Value at Risk and Other Essays in Financial Econometrics Book Excerpt:

Financial Econometrics

Financial Econometrics
Author: Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Publsiher: John Wiley & Sons
Total Pages: 560
Release: 2007-03-22
ISBN: 0470121521
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Financial Econometrics Book Excerpt:

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

The dynamics of cooperate credit risk An intensity based econometric

The dynamics of cooperate credit risk  An intensity based econometric
Author: Anonim
Publsiher: Rozenberg Publishers
Total Pages: 218
Release: 2008
ISBN: 9051709293
Category: Electronic Book
Language: EN, FR, DE, ES & NL

The dynamics of cooperate credit risk An intensity based econometric Book Excerpt:

Theory and Econometrics of Financial Asset Pricing

Theory and Econometrics of Financial Asset Pricing
Author: Kian Guan Lim
Publsiher: Walter de Gruyter GmbH & Co KG
Total Pages: 402
Release: 2022-08-22
ISBN: 3110674017
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Theory and Econometrics of Financial Asset Pricing Book Excerpt:

This book will provide a firm foundation in the understanding of financial economics applied to asset pricing. It carries the real world perspective of how the market works, including behavioral biases, and also wraps that understanding in the context of a rigorous economics framework of investors’ risk preferences, underlying price dynamics, rational choice in the large, and market equilibrium other than inexplicable irrational bubbles. It concentrates on analyses of stock, credit, and option pricing. Existing highly cited finance models in pricing of these assets are covered in detail, and theory is accompanied by rigorous applications of econometrics. Econometrics contain elucidations of both the statistical theory as well as the practice of data analyses. Linear regression methods and some nonlinear methods are also covered. The contribution of this book, and at the same time, its novelty, is in employing materials in probability theory, economics optimization, econometrics, and data analyses together to provide a rigorous and sharp intellect for investment and financial decision-making. Mistakes are often made with far too often sweeping pragmatism without deeply knowing the underpinnings of how the market economics works. This book is written at a level that is both academically rigorous for university courses in investment, derivatives, risk management, as well as not too mathematically deep so that finance and banking graduate professionals can have a real journey into the frontier financial economics thinking and rigorous data analytical findings.

Advances in Economics and Econometrics Theory and Applications

Advances in Economics and Econometrics  Theory and Applications
Author: Econometric Society. World Congress,Japan) Econometric Society World Congress 1995 (Tokyo
Publsiher: Cambridge University Press
Total Pages: 368
Release: 1997-02-20
ISBN: 9780521589826
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Advances in Economics and Econometrics Theory and Applications Book Excerpt:

These books comprise papers examining the latest developments in economic theory, applied economics and econometrics presented at the Seventh World Congress of the Econometric Society in Tokyo in August 1995. The topics were carefully selected to represent the most active fields in the discipline over the past five years. Written by the leading authorities in their fields, eac h paper provides a unique survey of the current state of knowledge in economics. Designed to make the material accessible to a general audience of economists, these volumes should be helpul to anyone with a good undergraduate training in economics who wishes to follow new ideas and tendencies in the subject.

Advances in Economics and Econometrics

Advances in Economics and Econometrics
Author: Econometric Society. World Congress
Publsiher: Cambridge University Press
Total Pages: 308
Release: 2003-01-20
ISBN: 9780521524131
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Advances in Economics and Econometrics Book Excerpt:

Sample Text

Time Series and Panel Data Econometrics

Time Series and Panel Data Econometrics
Author: M. Hashem Pesaran
Publsiher: Oxford University Press
Total Pages: 592
Release: 2015-10-01
ISBN: 0191058475
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Time Series and Panel Data Econometrics Book Excerpt:

This book is concerned with recent developments in time series and panel data techniques for the analysis of macroeconomic and financial data. It provides a rigorous, nevertheless user-friendly, account of the time series techniques dealing with univariate and multivariate time series models, as well as panel data models. It is distinct from other time series texts in the sense that it also covers panel data models and attempts at a more coherent integration of time series, multivariate analysis, and panel data models. It builds on the author's extensive research in the areas of time series and panel data analysis and covers a wide variety of topics in one volume. Different parts of the book can be used as teaching material for a variety of courses in econometrics. It can also be used as reference manual. It begins with an overview of basic econometric and statistical techniques, and provides an account of stochastic processes, univariate and multivariate time series, tests for unit roots, cointegration, impulse response analysis, autoregressive conditional heteroskedasticity models, simultaneous equation models, vector autoregressions, causality, forecasting, multivariate volatility models, panel data models, aggregation and global vector autoregressive models (GVAR). The techniques are illustrated using Microfit 5 (Pesaran and Pesaran, 2009, OUP) with applications to real output, inflation, interest rates, exchange rates, and stock prices.

Principles of Econometrics

Principles of Econometrics
Author: R. Carter Hill,William E. Griffiths,Guay C. Lim
Publsiher: John Wiley & Sons
Total Pages: 912
Release: 2018-02-21
ISBN: 1118452275
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Principles of Econometrics Book Excerpt:

Principles of Econometrics, Fifth Edition, is an introductory book for undergraduate students in economics and finance, as well as first-year graduate students in a variety of fields that include economics, finance, accounting, marketing, public policy, sociology, law, and political science. Students will gain a working knowledge of basic econometrics so they can apply modeling, estimation, inference, and forecasting techniques when working with real-world economic problems. Readers will also gain an understanding of econometrics that allows them to critically evaluate the results of others’ economic research and modeling, and that will serve as a foundation for further study of the field. This new edition of the highly-regarded econometrics text includes major revisions that both reorganize the content and present students with plentiful opportunities to practice what they have read in the form of chapter-end exercises.

Nonlinear Financial Econometrics Forecasting Models Computational and Bayesian Models

Nonlinear Financial Econometrics  Forecasting Models  Computational and Bayesian Models
Author: G. Gregoriou,R. Pascalau
Publsiher: Springer
Total Pages: 195
Release: 2010-12-21
ISBN: 0230295223
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Nonlinear Financial Econometrics Forecasting Models Computational and Bayesian Models Book Excerpt:

This book investigates several competing forecasting models for interest rates, financial returns, and realized volatility, addresses the usefulness of nonlinear models for hedging purposes, and proposes new computational techniques to estimate financial processes.

A History of Econometrics in France

A History of Econometrics in France
Author: Philippe Le Gall
Publsiher: Routledge
Total Pages: 296
Release: 2007-03-22
ISBN: 1134352557
Category: Business & Economics
Language: EN, FR, DE, ES & NL

A History of Econometrics in France Book Excerpt:

This text challenges the traditional view of the history of econometrics and provides a more complete story. In doing so, the book sheds light on the hitherto under-researched contribution of French thinkers to econometrics. Fascinating and authoritative, it is a comprehensive overview of what went on to be one of the defining subsets within t

Continuous Time Econometrics

Continuous Time Econometrics
Author: G. Gandolfo
Publsiher: Springer Science & Business Media
Total Pages: 267
Release: 2012-12-06
ISBN: 9401115427
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Continuous Time Econometrics Book Excerpt:

Continuous-time econometrics is no longer an esoteric subject although most still regard it as such, so much so that it is hardly mentioned in standard textbooks on econometrics. Thanks to the work done in the last 20 years, both the theoretical and the applied side are by now well developed. Methods of estimation have been theoretically elaborated and practically implemented through computer programs. Continuous-time macroeconometric models for different countries have been constructed, estimated and used. Being myself involved in these developments, it was with great pleasure that I accepted the invitation to organize a session on continuous-time econometrics in the context of the International Symposium on Economic Modelling (jointly organized by the University of Urbino and the book series International Studies in Economic Modelling, and co-sponsored by the Consiglio Nazionale delle Ricerche). The reaction of 'continuists' from all over the world was so enthusiastic that I was able to arrange two sessions, one on the theory and the other on the applications. The symposium was held in Urbino on 23-25 July 1990. The papers presented in Urbino have been revised in the light of the discussion at the symposium and the referees' comments. Hence, what is published here should become another standard reference in the field of continuous-time econometrics.

Foundations Of Modern Econometrics A Unified Approach

Foundations Of Modern Econometrics  A Unified Approach
Author: Yongmiao Hong
Publsiher: World Scientific
Total Pages: 524
Release: 2020-07-13
ISBN: 9811220204
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Foundations Of Modern Econometrics A Unified Approach Book Excerpt:

Modern economies are full of uncertainties and risk. Economics studies resource allocations in an uncertain market environment. As a generally applicable quantitative analytic tool for uncertain events, probability and statistics have been playing an important role in economic research. Econometrics is statistical analysis of economic and financial data. In the past four decades or so, economics has witnessed a so-called 'empirical revolution' in its research paradigm, and as the main methodology in empirical studies in economics, econometrics has been playing an important role. It has become an indispensable part of training in modern economics, business and management.This book develops a coherent set of econometric theory, methods and tools for economic models. It is written as a textbook for graduate students in economics, business, management, statistics, applied mathematics, and related fields. It can also be used as a reference book on econometric theory by scholars who may be interested in both theoretical and applied econometrics.

Encyclopedia of Quantitative Risk Analysis and Assessment

Encyclopedia of Quantitative Risk Analysis and Assessment
Author: Anonim
Publsiher: John Wiley & Sons
Total Pages: 2176
Release: 2008-09-02
ISBN: 0470035498
Category: Mathematics
Language: EN, FR, DE, ES & NL

Encyclopedia of Quantitative Risk Analysis and Assessment Book Excerpt:

Leading the way in this field, the Encyclopedia of Quantitative Risk Analysis and Assessment is the first publication to offer a modern, comprehensive and in-depth resource to the huge variety of disciplines involved. A truly international work, its coverage ranges across risk issues pertinent to life scientists, engineers, policy makers, healthcare professionals, the finance industry, the military and practising statisticians. Drawing on the expertise of world-renowned authors and editors in this field this title provides up-to-date material on drug safety, investment theory, public policy applications, transportation safety, public perception of risk, epidemiological risk, national defence and security, critical infrastructure, and program management. This major publication is easily accessible for all those involved in the field of risk assessment and analysis. For ease-of-use it is available in print and online.

Risk Econometrics

Risk Econometrics
Author: Elena Goldman
Publsiher: Academic Press
Total Pages: 250
Release: 2020-08
ISBN: 9780128178645
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Risk Econometrics Book Excerpt:

Risk Econometrics: A Practical Guide to Bayesian and Frequentist Methods serves as a guide to mastering a growing number of applications in network analysis, environmental science and healthcare. By avoiding a focus either on time series or cross-sectional/panel data methods and adopting either Frequentist (Classical) or Bayesian approaches, it trains readers to recognize the most important aspects of applied Frequentist and Bayesian statistics, emphasizing methods, insights, and popular advances widely used during the last ten years. Sections dive deeply into the assumptions and pros and cons of statistical methods. Based on R and Python, and accompanied by both exercises and research projects, this book reinforces a balance between theory and practice that other books, wedded to only one statistical method, cannot match. Combines Frequentist and Bayesian methods in time series, cross sectional and panel data settings with an emphasis on risk modeling using R and Python Includes exercises and applications in new industry projects, such as Risk and return of environmental funds, Systemic risk measures using Bayesian and Frequentist methods, Initial margin setting for Central Clearing Counterparties (CCPs), and Measuring overall risk associated with a security relative to the market using MSCI Barra Factor Models

Random Sets in Econometrics

Random Sets in Econometrics
Author: Ilya Molchanov,Francesca Molinari
Publsiher: Cambridge University Press
Total Pages: 135
Release: 2018-04-05
ISBN: 1108650740
Category: Business & Economics
Language: EN, FR, DE, ES & NL

Random Sets in Econometrics Book Excerpt:

Random set theory is a fascinating branch of mathematics that amalgamates techniques from topology, convex geometry, and probability theory. Social scientists routinely conduct empirical work with data and modelling assumptions that reveal a set to which the parameter of interest belongs, but not its exact value. Random set theory provides a coherent mathematical framework to conduct identification analysis and statistical inference in this setting and has become a fundamental tool in econometrics and finance. This is the first book dedicated to the use of the theory in econometrics, written to be accessible for readers without a background in pure mathematics. Molchanov and Molinari define the basics of the theory and illustrate the mathematical concepts by their application in the analysis of econometric models. The book includes sets of exercises to accompany each chapter as well as examples to help readers apply the theory effectively.