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Financial Risk Forecasting

Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and MATLAB

Written for undergraduate and graduate students and professionals, this book provides a complete introduction to practical quantitative risk management, with a focus on market risk. The book brings together the three key disciplines of finance, statistics, and modeling (programming) to provide a thorough grounding in risk management techniques. Topics include financial markets, prices and risk, volatility, univariate volatility modeling, and risk measures.

MATLAB is introduced and used to solve numerous examples in the book. In addition, a supplemental set of MATLAB code files is available for download.

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About This Book

Jon Danielsson, London School of Economics

John Wiley & Sons, Inc., 2011

ISBN: 978-0-470-66943-3
Language: English