Articles liés à Financial Market Risk: Measurement & Analysis

Financial Market Risk: Measurement & Analysis - Couverture rigide

Livre 14 sur 115: Routledge International Studies in Money and Banking

Los, Cornelis

 
9780415278669: Financial Market Risk: Measurement & Analysis
Couverture rigide
ISBN 10 : 041527866X ISBN 13 : 9780415278669
Editeur : Routledge, 2003

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

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.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Routledge
Date d'édition
2003
Langue
anglais
ISBN 10 
041527866X
ISBN 13 
9780415278669
Reliure
Relié
Nombre de pages
460
Coordonnées du fabricant
non disponible
Personne responsable
GPSR Kontakt
gpsr@libri.de

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