Los Financial Market Risk

Measurement and Analysis
1. Auflage 2006
ISBN: 978-1-134-46931-4
Verlag: CRC Press
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 496 Seiten

Reihe: Routledge International Studies in Money and Banking

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.

Autoren/Hrsg.

Los, Cornelis

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Part I: Financial Risk Processes

1. Risk: Asset Class, Horizon, and Time

2. Competing Financial Market Hypotheses

3. Stable Scaling Distributions in Finance

4. Persistence of Financial Risk

Part II: Financial Risk Measurement

5. Frequency Analysis of Financial Risk

6. Fourier Time - Frequency Analysis of Risk

7. Wavelet Time - Scale Analysis of Risk

8. Multiresolution Analysis of Local Risk

Part III: Term Structure Dynamics

9. Chaos: Nonunique Equilibrium Processes

10. Measuring Term Structure Dynamics

11. Financial Turbulence: Measurement and Simulation

Part 4: Financial Risk Management

12. Managing VaR and Extreme Values

Über Autor(innen)

Cornelis A. Los is Associate Professor of Finance at Kent State University, USA. In the past he has been a Senior Economist of the Federal Reserve Bank of New York and of Nomura Research Institute (America), Inc., and Chief Economist of ING Bank, New York. He has also been a Professor in Finance at Nanyang Technological University in Singapore and at Adelaide and Deakin Universities in Australia.