Link to the ebook : http://ezproxy.univ-catholille.fr/login?url=https://www.vleb...

eISBN : 978-0080922430

Contents : Part 1. Background
Risk Management and Financial Returns
The Dangers of VaR and Historical Simulation.
A Primer on Financial Econometrics.

Part 22 Portfolio Level Risk Models
Volatility Modeling using Daily Returns
Volatility Modeling using Intraday Returns.
Modeling the Conditional Distribution

Part 3. Asset Level Risk Models
Correlation Modeling
Copula Models and Integrated Risk Management.
Simulating the Term Structure of Risk

Part 4. Further Topics
Option Pricing
Option Risk Management
CDS Pricing and Credit Risk Management.
Backtesting and Stress Testing

Language : English

Print : 2ème

Figure(s) : Schémas ; Tableau(x)

Location : Nice Library

Material : Electronic

Statement : Présent

Owner : Bibliothèque