Elements of Financial Risk ManagementThe Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their own data. Its unified GARCH modeling approach, empirically sophisticated and relevant yet easy to implement, sets this book apart from others. Five new chapters and updated end-of-chapter questions and exercises, as well as Excel-solutions manual, support its step-by-step approach to choosing tools and solving problems.
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American put option approach asset returns assume asymmetric t distribution autocorrelation backtesting bivariate Bollerslev BSM model calculate call option Chapter Christoffersen compute consider copula covariance credit risk daily returns day t+ DCC model defined definition delta density dynamic Econ example excess kurtosis Expected Shortfall extreme value theory Figure file Finance financial firm first fit function gamma GARCH model histogram Historical Simulation horizon implied volatility likelihood likelihood function linear log returns loss matrix Monte Carlo simulation multivariate nonnormal normal distribution Notes observations option pricing option pricing model parameters portfolio return portfolio value probability put option quantile range-based realized variance regression retums risk management risk measures risk models RiskMetrics RV estimator sample shocks shows simple skewness specific squared returns standard deviation standard normal standardized returns tail threshold correlations today’s tomorrow’s univariate value at risk Value-at-Risk variable variance variance model vector volatility forecast volatility models zero