Articoli correlati a Financial Market Risk: Measurement and Analysis

Financial Market Risk: Measurement and Analysis - Rilegato

Libro 14 di 115: Routledge International Studies in Money and Banking

Los, Cornelis

 
9780415278669: Financial Market Risk: Measurement and Analysis
Rilegato
ISBN 10: 041527866X ISBN 13: 9780415278669
Casa editrice: Routledge, 2003

Sinossi

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, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.

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Informazioni sull'autore

Cornelis A. Los is Associate Professor of Finance at Kent State University, USA. In the past he has been a Senior Economist of the Federal Reserve Bank of New York and of Nomura Research Institute (America), Inc., and Chief Economist of ING Bank, New York. He has also been a Professor in Finance at Nanyang Technological University in Singapore and at Adelaide and Deakin Universities in Australia.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Routledge
Data di pubblicazione
2003
Lingua
Inglese
ISBN 10 
041527866X
ISBN 13 
9780415278669
Rilegatura
Copertina rigida
Numero edizione
1
Numero di pagine
496
Contatto del produttore
Taylor and Francis, GPSR Taylor and Francis
gpsr@taylorandfrancis.com

Taylor & Francis Verlag GmbH, Kaufingerstraße 24
München
80331
Germania