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Managing Risk in Financial Markets

  • Kartonierter Einband
  • 176 Seiten
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Managing Risk in Financial Markets takes a quantitative approach to mitigating specific financial risks arising from uncertainty. ... Weiterlesen
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Beschreibung

Managing Risk in Financial Markets takes a quantitative approach to mitigating specific financial risks arising from uncertainty. The book is divided into two parts, each addressing a specific type of financial risk. Part I examines Market Risk in a high-frequency trading context. Linear and nonlinear Granger causality tests are used to examine the quality of contribution that knowledge of past volume movements has in terms of improving short-run forecasts of current and future movements in securities prices, and vice versa, within the parametric and non-parametric frameworks. Part II addresses Enterprise Risk. Two sources of risk are discussed; namely, credit risk and leverage. First, an innovative modeling approach is introduced, allowing for more precise estimates of short- and long-run relationships between obligor ratings and idiosyncratic and systematic risk factors. Second, a dynamic relationship between a firm's accounting, financial and economic performances and its capital structure is examined under short- and long-run horizons, revealing unique market inconsistencies.

Autorentext

Alysa V. Shcherbakova is a Financial Economist, currently practicing in the areas of credit and market risk modeling and bank supervision. Dr. Shcherbakova holds a PhD in economics from Emory University, as well as an MBA and bachelor degrees in mathematics and economics from Willamette University.

Produktinformationen

Titel: Managing Risk in Financial Markets
Untertitel: A Quantitative Approach
Autor:
EAN: 9783639196788
ISBN: 978-3-639-19678-8
Format: Kartonierter Einband
Herausgeber: VDM Verlag Dr. Müller
Genre: Wirtschaft
Anzahl Seiten: 176
Gewicht: 245g
Größe: H220mm x B220mm
Jahr: 2012