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Portfolio risk forecasting has been and continues to be an active research field for both academics and practitioners. Almost all institutional investment management firms use quantitative models for their portfolio forecasting, and researchers have explored models' econometric foundations, relative performance, and implications for capital market behavior and asset pricing equilibrium. Portfolio Risk Analysis provides an insightful and thorough overview of financial risk modeling, with an emphasis on practical applications, empirical reality, and historical perspective. Beginning with mean-variance analysis and the capital asset pricing model, the authors give a comprehensive and detailed account of factor models, which are the key to successful risk analysis in every economic climate. Topics range from the relative merits of fundamental, statistical, and macroeconomic models, to GARCH and other time series models, to the properties of the VIX volatility index. The book covers both mainstream and alternative asset classes, and includes in-depth treatments of model integration and evaluation. Credit and liquidity risk and the uncertainty of extreme events are examined in an intuitive and rigorous way. An extensive literature review accompanies each topic. The authors complement basic modeling techniques with references to applications, empirical studies, and advanced mathematical texts. This book is essential for financial practitioners, researchers, scholars, and students who want to understand the nature of financial markets or work toward improving them.

Investment management --- Portfolio management --- -Risk management --- -332.6 --- Insurance --- Management --- Investment analysis --- Investments --- Securities --- Electronic information resources --- E-books --- AA / International- internationaal --- 339.42 --- 305.91 --- Financiële analyse. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Portfolio management. --- Portfolios. --- Risk management. --- Risk management --- Finance --- Investment & Speculation --- Business & Economics --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële analyse

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Computational Finance presents a modern computational approach to mathematical finance within the Windows environment, and contains financial algorithms, mathematical proofs and computer code in C/C++. The author illustrates how numeric components can be developed which allow financial routines to be easily called by the complete range of Windows applications, such as Excel, Borland Delphi, Visual Basic and Visual C++.These components permit software developers to call mathematical finance functions more easily than in corresponding packages. Although these packages may offer

305.91 --- AA / International- internationaal --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Finance --- Mathematical models. --- Data processing. --- Computer programs. --- Mathematical models --- Data processing --- Computer programs --- E-books --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles

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"Project Theory and the classical models in finance (e.g., the CAPM) seemingly contradict each other, creating a teachin and a research dilemma to professors in finanace and econommics, This tension is particualrly strong for professors who teach both the CAPM and behavioral finance. This book bridges between Prospect Theory and the Classical Models in finance showing that there is no contradictions between them"--

Capital asset pricing model --- Capital assets pricing model --- AA / International- internationaal --- 305.91 --- 339.42 --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Finance --- Investments --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Financiële analyse. --- Mathematical models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Financiële analyse --- Business, Economy and Management --- Economics --- Capital asset pricing model. --- Capital assets pricing model.

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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

Risk management --- Hedging (Finance) --- -Hedging (Finance) --- Hedging (Finance). --- Financial Economics --- Risk management. --- Options (Finance) --- Speculation --- Financial futures --- Insurance --- Management --- Investment management --- Quantitative methods (economics) --- International financial management --- E-books --- Social Sciences and Humanities. Economics --- Financial Economics. --- AA / International- internationaal --- 305.91 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Économétrie --- Marché financier --- Risque financier --- Économétrie --- Marché financier

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The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of c

Private finance --- International finance --- Derivative securities --- Risk management. --- Mathematical models. --- -AA / International- internationaal --- Risk management --- 333.109 --- 333.605 --- 333.70 --- 305.91 --- 332.6457 --- Insurance --- Management --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Mathematical models --- Veiligheid. Bankovervallen. Bankrisico's. --- Nieuwe financiële instrumenten. --- Theorie en organisatie van het bankkrediet. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- AA / International- internationaal --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Veiligheid. Bankovervallen. Bankrisico's --- Nieuwe financiële instrumenten --- Theorie en organisatie van het bankkrediet --- Risque financier