| 查看: 1138 | 回复: 22 | |||||||||
| 【奖励】 本帖被评价19次，作者springburn增加金币 15 个 | |||||||||
[资源]
【MATLAB书籍111】《金融风险预测：市场风险预测的理论与实践，用R和MATLAB实现》
|
|||||||||
|
【MATLAB书籍111】《Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab》(英文版)【已搜索，无重复】 作者：Jón Daníelsson 出版时间：2011年 页码：298 页 语言：英文 文件格式：PDF 书籍简介： 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 used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value–at–risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta–normal VaR and duration–normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use that risk is exogenous and what happens when those assumptions are violated. 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. . 书籍封面： . 。  |
回复此楼» 本帖附件资源列表
-
欢迎监督和反馈：小木虫仅提供交流平台，不对该内容负责。
本内容由用户自主发布，如果其内容涉及到知识产权问题，其责任在于用户本人，如对版权有异议，请联系邮箱：xiaomuchong@tal.com - 附件 1 : Financial_Risk_Forecasting_The_Theory_and_Practice_of_Forecasting_Market_Risk,_with_Implementation_in_R_and_Matlab_2011.pdf
2015-06-05 05:24:42, 3.08 M
» 收录本帖的淘帖专辑推荐
 书籍下载网站 | 专业书籍（外文版）WM | 软件学习书籍WM | 科研资料 |
| Matlab书籍 | 自己的收藏 | 随意123 |
» 猜你喜欢
材料考研调剂
已经有3人回复
-
材料调剂
已经有12人回复
-
英一数一408，总分284，二战真诚求调剂
已经有14人回复
-
085410 一志愿211 22408分数359求调剂
已经有4人回复
-
271求调剂
已经有19人回复
-
385分 生物学（071000）求调剂
已经有3人回复
-
一志愿安徽大学计算机科学与技术学硕，331分求调剂
已经有3人回复
-
318求调剂，计算材料方向
已经有8人回复
-
291求调剂
已经有25人回复
-
一志愿北京科技大学085601材料工程英一数二初试总分335求调剂
已经有6人回复
简单回复
osd18882楼
2015-06-07 04:53
回复
三星好评 顶一下，感谢分享！
wmnick3楼
2015-06-07 23:02
回复
五星好评 顶一下，感谢分享！
2015-06-11 06:17
回复
五星好评 顶一下，感谢分享！
东风215楼
2015-06-17 17:32
回复
五星好评 顶一下，感谢分享！
qqchun6楼
2015-06-23 06:25
回复
五星好评 顶一下，感谢分享！
lyanghsu7楼
2015-06-24 17:06
回复
五星好评 顶一下，感谢分享！
小小红叶8楼
2015-06-25 22:25
回复
五星好评 顶一下，感谢分享！
2015-07-23 07:04
回复
五星好评 顶一下，感谢分享！
julinomber10楼
2015-11-06 21:46
回复
五星好评 顶一下，感谢分享！
yzg53145015711楼
2015-11-07 06:57
回复
感谢分享， 发自小木虫IOS客户端
上杉景信12楼
2015-11-07 14:52
回复
五星好评 顶一下，感谢分享！
surgeonmandu13楼
2015-12-07 11:01
回复
五星好评 顶一下，感谢分享！
wmm52114楼
2016-03-10 16:44
回复
五星好评 顶一下，感谢分享！
cw2006anda15楼
2016-03-25 16:35
回复
顶一下，感谢分享！
zxlzq16楼
2016-04-13 08:53
回复
五星好评 顶一下，感谢分享！
ajivatj17楼
2016-07-06 12:07
回复
五星好评 顶一下，感谢分享！
tarawa201418楼
2016-07-09 17:32
回复
五星好评 顶一下，感谢分享！
jjchiou19楼
2016-09-27 08:21
回复
五星好评 顶一下，感谢分享！
Bryan.Lee20楼
2016-09-27 11:13
回复
五星好评 顶一下，感谢分享！
kurt_hsiao21楼
2018-10-12 23:54
回复
五星好评 顶一下，感谢分享！
52633135022楼
2019-03-13 14:48
回复
五星好评 顶一下，感谢分享！
wmnick23楼
2020-02-18 19:49
回复
顶一下，感谢分享！
