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Elements of Financial Risk Management
The 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. Examines market risk, credit risk, and operational risk Provides exceptional coverage of GARCH models Features online Excel-based empirical exercises
Long
Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show that little is to be gained from estimating such regressions for horizons greater than one time period. We also show that in small to medium samples the long-horizon procedure gives rise to spurious evidence of predictive power. A simulation study demonstrates that even when using this technique on two independent series, estimates, diagnostic statistics and graphical evidence incorrectly suggest a high degree of predictability of the dependent variable.
Elements of Financial Risk Management
"Elements of Financial Risk Management" focuses on implementation, especially techniques which facilitate "bridging the gap" between standard textbooks on risk and real-life risk management systems. This title should appeal to practitioners in the financial services and investment industries, as well as graduate students and advanced undergraduates who want exposure to these techniques.
Handbook of Economic Forecasting
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range...
Walking on Water
When the long walk from Seattle to Key West finally nears an end, Alan Christoffersen must return to the west and face yet another crisis just as he has begun to heal from so much loss.
Option Pricing Models and Volatility Using Excel-VBA
This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers....
The Good Society
Denmark and Switzerland are small and successful countries with exceptionally content populations. However, they have very different political institutions and economic models. They have followed the general tendency in the West toward economic convergence, but both countries have managed to stay on top. They both have a strong liberal tradition, but otherwise their economic strategies are a welfare state model for Denmark and a safe haven model for Switzerland. The Danish welfare state is tax-based, while the expenditures for social welfare are insurance-based in Switzerland. The political institutions are a multiparty unicameral system in Denmark, and a permanent coalition system with many referenda and strong local government in Switzerland. Both approaches have managed to ensure smoothly working political power-sharing and economic systems that allocate resources in a fairly efficient way. To date, they have also managed to adapt the economies to changes in the external environment with a combination of stability and flexibility.
IMF Staff Papers, Volume 50, No. 1
Forty years ago, Marcus Fleming and Robert Mundell developed independent models of macroeconomic policy in open economies. Why do we link the two, and why do we call the result the Mundell-Fleming, rather than Fieming-Mundell model?
Major Financial Institutions of Europe 1993
The fifth edition of this directory supplies data on over 1000 financial institutions in Western Europe, principally banks, investment companies, insurance companies and leasing companies. Among the details given are names of chairman and board members and positions of senior management.
The Heston Model and Its Extensions in VBA
Practical options pricing for better-informed investment decisions. The Heston Model and Its Extensions in VBA is the definitive guide to options pricing using two of the derivatives industry's most powerful modeling tools—the Heston model, and VBA. Light on theory, this extremely useful reference focuses on implementation, and can help investors more efficiently—and accurately—exploit market information to better inform investment decisions. Coverage includes a description of the Heston model, with specific emphasis on equity options pricing and variance modeling, The book focuses not only on the original Heston model, but also on the many enhancements and refinements that have been a...
