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Dynamic Hedging: Managing Vanilla and Exotic Options
Dynamic Hedging is the definitive source on derivatives risk. It provides a real-world methodology for managing portfolios containing any nonlinear security. It presents risks from the vantage point of the option market maker and arbitrage operator. The only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner's environment. As a larger share of market exposure...
516 p itc 08/01/2013 335 1
Từ khóa: Hedging, Market makers, Risk management, Economic management, Market, Measuring risks, Trading, ...
Modeling Liquidity Risk: With Implications for Traditional Market Risk Measurement and Management
Market risk management under normal conditions traditionally has focused on the distribution of portfolio value changes resulting from moves in the mid-price. Hence the market risk is really in a "pure" form: risk in an idealized market with no "friction" in obtaining the fair price. However, many markets possess an additional liquidity component that arises from a trader not realizing the mid-price when liquidating her position, but rather...
18 p itc 08/01/2013 328 1
Từ khóa: market risk management, market securities, simple liquidity risk methodology, modeling liquidity risk, traditional market risk measurement, quản lý rủi ro thị trường chứng khoán
Measuring Risk in Complex Stochastic Systems
During the last decade, problems in the world of finance have been the main driving force for developing sophisticated mathematical methods which may be used for identifying and measuring risk. The focus is still on quantifying market and credit risk, but general operational risks will become more important in the future. In this book the reader will find approaches from economic theory, allocation problems, credit scoring, volatility...
251 p itc 08/01/2013 301 2
Từ khóa: measuring risk in complex stochastic systems, sophisticated mathematical methods, market and credit risk, economic theory, credit scoring, volatility structures, general market risk, tài chính tín dụng
This book offers an extensive and up-to-date review of market risk measurement, focusing particularly on the estimation of value at risk (VaR) and expected tail loss (ETL). Measuring Market Risk provides coverage of parametric and non-parametric risk estimation, simulation, numerical methods, liquidity risks, risk decomposition and budgeting, backtesting, stress testing, and model risk, as well as appendices on mapping delta-gamma...
395 p itc 08/01/2013 308 1
Từ khóa: Financial Risk, Measuring Market Risk, Risk measurement, Risk market, Statistics parameter market, Market Management.
Financial Market Risk: Measurement & Analysis
This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets,...
493 p itc 08/01/2013 350 1
Từ khóa: finance accounting, finance economics, accounting, financial market risk, rủi ro thị trường tài chính, financial market risk measurement and analysis
Comonotonicity: From Risk Measurement to Risk Management
the last 5 years of my professional career have been a hell of a life but ... also a lot of fun. I want to start by thanking my 2 advisors, Jan Dhaene and Marc Goovaerts. They gave me the opportunity to combine research activities with other professional ambitions. Jan has an unquenchable curiosity and love for science. Moreover, he has the rare talent to transform ambryonic and sometimes very vague ideas into relatively easy-to-read papers.
175 p itc 03/01/2013 278 1
Từ khóa: Comonotonicity, Risk Measurement, Risk Management, from risk measurement to risk management, quản lý rủi ro, đo lường rủi ro
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