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Author: Kimmo Soramäki Publisher: ISBN: 9781782724322 Category : Financial risk Languages : en Pages : 0
Book Description
With new innovations in the field, this new edition of Network Theory and Financial Risk has been fully updated and expanded. A hands-on guide to analysing and modelling financial networks, authors Kimmo Soramäki and Samantha Cook provide an in-depth introduction to network theory and examine the general tools for network analysis. [Resumen de editor]
Author: Kimmo Soramäki Publisher: ISBN: 9781782724322 Category : Financial risk Languages : en Pages : 0
Book Description
With new innovations in the field, this new edition of Network Theory and Financial Risk has been fully updated and expanded. A hands-on guide to analysing and modelling financial networks, authors Kimmo Soramäki and Samantha Cook provide an in-depth introduction to network theory and examine the general tools for network analysis. [Resumen de editor]
Author: Anindya S. Chakrabarti Publisher: Springer Nature ISBN: 9811383197 Category : Business & Economics Languages : en Pages : 454
Book Description
This book presents the latest findings on network theory and agent-based modeling of economic and financial phenomena. In this context, the economy is depicted as a complex system consisting of heterogeneous agents that interact through evolving networks; the aggregate behavior of the economy arises out of billions of small-scale interactions that take place via countless economic agents. The book focuses on analytical modeling, and on the econometric and statistical analysis of the properties emerging from microscopic interactions. In particular, it highlights the latest empirical and theoretical advances, helping readers understand economic and financial networks, as well as new work on modeling behavior using rich, agent-based frameworks. Innovatively, the book combines observational and theoretical insights in the form of networks and agent-based models, both of which have proved to be extremely valuable in understanding non-linear and evolving complex systems. Given its scope, the book will capture the interest of graduate students and researchers from various disciplines (e.g. economics, computer science, physics, and applied mathematics) whose work involves the domain of complexity theory.
Author: Jon Danielsson Publisher: John Wiley & Sons ISBN: 1119977118 Category : Business & Economics Languages : en Pages : 307
Book Description
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. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.
Author: Sergio Consoli Publisher: Springer Nature ISBN: 3030668916 Category : Application software Languages : en Pages : 357
Book Description
This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.
Author: Bertrand K. Hassani Publisher: Springer ISBN: 3319250566 Category : Business & Economics Languages : en Pages : 171
Book Description
This book focuses on identifying and explaining the key determinants of scenario analysis in the context of operational risk, stress testing and systemic risk, as well as management and planning. Each chapter presents alternative solutions to perform reliable scenario analysis. The author also provides technical notes and describes applications and key characteristics for each of the solutions. In addition, the book includes a section to help practitioners interpret the results and adjust them to real-life management activities. Methodologies, including those derived from consensus strategies, extreme value theory, Bayesian networks, Neural networks, Fault Trees, frequentist statistics and data mining are introduced in such a way as to make them understandable to readers without a quantitative background. Particular emphasis is given to the added value of the implementation of these methodologies.
Author: Joseph G. Haubrich Publisher: University of Chicago Press ISBN: 0226319288 Category : Business & Economics Languages : en Pages : 286
Book Description
In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.
Author: Thierry Roncalli Publisher: CRC Press ISBN: 1351385224 Category : Business & Economics Languages : en Pages : 1430
Book Description
Developed over 20 years of teaching academic courses, the Handbook of Financial Risk Management can be divided into two main parts: risk management in the financial sector; and a discussion of the mathematical and statistical tools used in risk management. This comprehensive text offers readers the chance to develop a sound understanding of financial products and the mathematical models that drive them, exploring in detail where the risks are and how to manage them. Key Features: Written by an author with both theoretical and applied experience Ideal resource for students pursuing a master’s degree in finance who want to learn risk management Comprehensive coverage of the key topics in financial risk management Contains 114 exercises, with solutions provided online at www.crcpress.com/9781138501874
Author: Marco A Espinosa-Vega Publisher: International Monetary Fund ISBN: 1455200646 Category : Business & Economics Languages : en Pages : 29
Book Description
Effective cross-border financial surveillance requires the monitoring of direct and indirect systemic linkages. This paper illustrates how network analysis could make a significant contribution in this regard by simulating different credit and funding shocks to the banking systems of a number of selected countries. After that, we show that the inclusion of risk transfers could modify the risk profile of entire financial systems, and thus an enriched simulation algorithm able to account for risk transfers is proposed. Finally, we discuss how some of the limitations of our simulations are a reflection of existing information and data gaps, and thus view these shortcomings as a call to improve the collection and analysis of data on cross-border financial exposures.
Author: Jean-Pierre Fouque Publisher: Cambridge University Press ISBN: 1107023432 Category : Business & Economics Languages : en Pages : 993
Book Description
The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Author: Kimmo Soramäki
Author: Kimmo Soramäki
Author: Anindya S. Chakrabarti
Author: Jon Danielsson
Author: Sergio Consoli
Author: Bertrand K. Hassani
Author: PAUL. NEWSON
Author: Joseph G. Haubrich
Author: Thierry Roncalli
Author: Marco A Espinosa-Vega
Author: Jean-Pierre Fouque