×


 x 

Shopping cart
Jon Danielsson - Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab - 9780470669433 - V9780470669433
Stock image for illustration purposes only - book cover, edition or condition may vary.

Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab

€ 68.67
FREE Delivery in Ireland
Description for Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab Hardcover. Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Series: Wiley Finance Series. Num Pages: 296 pages, black & white illustrations, black & white tables, figures. BIC Classification: GPQD; KFF. Category: (P) Professional & Vocational. Dimension: 256 x 175 x 22. Weight in Grams: 666.
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques.

Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods ... Read more

Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book.

The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing.

The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.

Show Less

Product Details

Format
Hardback
Publication date
2011
Publisher
John Wiley & Sons Inc United Kingdom
Number of pages
296
Condition
New
Series
Wiley Finance Series
Number of Pages
304
Place of Publication
New York, United States
ISBN
9780470669433
SKU
V9780470669433
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50

About Jon Danielsson
Jón Daníelsson has a PhD in the economics of financial markets and is a reader in finance at the London School of Economics. His research interests include financial stability, extreme market movements, risk, market liquidity and financial crisis. He has published extensively in both academic and practitioner journals, has consulted with a variety of private sector and public institutions, frequently ... Read more

Reviews for Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab

Goodreads reviews for Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab


Subscribe to our newsletter

News on special offers, signed editions & more!