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003 OCoLC
005 20171224113739.0
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008 111114s2011 enka ob 001 0 eng d
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019 _a778620975
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020 _a9781119205869
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020 _a1119205867
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020 _a9781119977100
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020 _a111997710X
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020 _a1119977118
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020 _a9781119977124
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020 _a1119977126
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020 _z9780470669433
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035 _a(OCoLC)760884478
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072 7 _aBUS
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082 0 4 _a658.1550112
_222
049 _aMAIN
100 1 _aDaníelsson, Jón.
245 1 0 _aFinancial risk forecasting :
_bthe theory and practice of forecasting market risk, with implementation in R and Matlab /
_cJón Daníelsson.
260 _aChichester :
_bJohn Wiley,
_c2011.
300 _a1 online resource (xxi, 274 pages) :
_billustrations.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
380 _aBibliography
490 1 _aWiley finance series
504 _aIncludes bibliographical references and index.
500 _aFormerly CIP.
_5Uk
588 0 _aPrint version record.
520 _aFinancial 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 pres.
505 0 _aCover; Dedication; Title page; Copyright; Preface; Acknowledgments; Abbreviations; Notation; 1 Financial markets, prices and risk; 1.1 Prices, returns and stock indices; 1.2 S & P 500 returns; 1.3 The stylized facts of financial returns; 1.4 Volatility; 1.5 Nonnormality and fat tails; 1.6 Identification of fat tails; 1.7 Nonlinear dependence; 1.8 Copulas; 1.9 Summary; 2 Univariate volatility modeling; 2.1 Modeling Volatility; 2.2 Simple volatility models; 2.3 GARCH and conditional volatility; 2.4 Maximum likelihood estimation of volatility models; 2.5 Diagnosing volatility models.
650 0 _aFinancial risk management
_xForecasting.
650 0 _aFinancial risk management
_xSimulation methods.
650 7 _aBUSINESS & ECONOMICS
_xInsurance
_xRisk Assessment & Management.
_2bisacsh
655 4 _aElectronic books.
776 0 8 _iPrint version:
_aDaníelsson, Jón.
_tFinancial risk forecasting.
_dChichester : John Wiley, 2011
_z9780470669433
_w(OCoLC)726091330
830 0 _aWiley finance series.
856 4 0 _uhttp://onlinelibrary.wiley.com/book/10.1002/9781119205869
_zWiley Online Library
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