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Market Risk Analysis : (Record no. 6651)

000 -LEADER
fixed length control field 02883cam a22002532 b4500
003 - CONTROL NUMBER IDENTIFIER
control field OSt
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20230610133526.0
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 071125e20080611njua s|||||||| 2|eng|d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780470998014
International Standard Book Number 9780470997994
041 ## - Language
Language code of text/sound track or separate title eng
050 #0 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG6024.A3
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.015195
Edition number 22
Item number A374
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Alexander, Carol.
9 (RLIN) 7006
245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE
Title Market Risk Analysis :
Remainder of title Practical financial econometrics /
Statement of responsibility, etc Carol Alexander.
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Hoboken, N.J :
Name of publisher, distributor, etc Wiley,
Date of publication, distribution, etc 2008
300 ## - PHYSICAL DESCRIPTION
Extent 426 p.
Other physical details ill.
Dimensions 25.000 x 017.500 cm. +
Accompanying material 2 CD-ROM.
440 #0 - SERIES STATEMENT/ADDED ENTRY--TITLE
9 (RLIN) 24025
Title Market risk analysis ;
Volume number/sequential designation 2
506 ## - RESTRICTIONS ON ACCESS NOTE
Terms governing access Access restricted to BGSU students, faculty and staff.
520 8# - SUMMARY, ETC.
Summary, etc Annotation
Expansion of summary note Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis. The book covers material for a one–semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet.

All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD–ROM . Empirical examples and case studies specific to this volume include:

  • Factor analysis with orthogonal regressions and using principal component factors;
  • Estimation of symmetric and asymmetric, normal and Student t GARCH and E–GARCH parameters;
  • Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization;
  • Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management;
  • Simulation of normal mixture and Markov switching GARCH returns;
  • Cointegration based index tracking and pairs trading, with error correction and impulse response modelling;
  • Markov switching regression models (Eviews code);
  • GARCH term structure forecasting with volatility targeting;
  • Non–linear quantile regressions with applications to hedging.
521 ## - TARGET AUDIENCE NOTE
Target audience note Trade
Source John Wiley & Sons, Incorporated.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
9 (RLIN) 256
Topical term or geographic name as entry element Risk management
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Item type Book
Copies
Price effective from Permanent location Date last seen Not for loan Date acquired Source of classification or shelving scheme Koha item type Lost status Cost, normal purchase price Withdrawn status Source of acquisition Materials specified (bound volume or other part) Cost, replacement price Damaged status Barcode Current location Public note Full call number
2012-06-21AUM Main Library2013-05-16 2013-05-16 Book 56.80 Jordan Book Centrev.239.76 AUM-001480AUM Main LibraryJBC/2012/6152332.015195 A374
2012-06-21AUM Main Library2013-06-18 2013-06-18 Book 51.48 Jordan Book Centrev.236.03 AUM-001481AUM Main LibraryJBC/2012/6152332.015195 A374