Bookcover of Managing Risk in Financial Markets
Booktitle:

Managing Risk in Financial Markets

A Quantitative Approach

VDM Verlag Dr. Müller (2009-10-07 )

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ISBN-13:

978-3-639-19678-8

ISBN-10:
3639196783
EAN:
9783639196788
Book language:
English
Blurb/Shorttext:
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.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Alysa V. Shcherbakova
Number of pages:
176
Published on:
2009-10-07
Stock:
Available
Category:
Economics
Price:
68.00 €
Keywords:
finance, investment, banking, Market Risk, Credit Risk, Enterprise Risk

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