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Více informací o knize Managing Risk in Financial Markets

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Anotace knihy

Managing Risk in Financial Markets takes a quantitative approach to mitigating specific financial risks arising from uncertainty. The book is divided into two parts, each addressing a specific type of financial risk. Part I examines Market Risk in a high-frequency trading context. Linear and nonlinear Granger causality tests are used to examine the quality of contribution that knowledge of past volume movements has in terms of improving short-run forecasts of current and future movements in securities prices, and vice versa, within the parametric and non-parametric frameworks. Part II addresses Enterprise Risk. Two sources of risk are discussed; namely, credit risk and leverage. First, an innovative modeling approach is introduced, allowing for more precise estimates of short- and long-run relationships between obligor ratings and idiosyncratic and systematic risk factors. Second, a dynamic relationship between a firm's accounting, financial and economic performances and its capital structure is examined under short- and long-run horizons, revealing unique market inconsistencies.

Parametry knihy

• Plný název: Managing Risk in Financial Markets
• Podnázev: A Quantitative Approach
• Autor: Alysa V. Shcherbakova
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 176
• EAN: 9783639196788
• ID: 06827746
• Nakladatelství: VDM Verlag Dr. Müller
• Rozměry: 220 × 150 × 11 mm
• Rok vydání: 2009

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