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VDM Verlag Managing Risk in Financial Markets: A Quantitative Approach

Name: Managing Risk in Financial Markets: A Quantitative Approach
Brand: VDM Verlag
Price: 55.0 GBP
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Description

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.

Product Specifications

Brand: VDM Verlag
Format: paperback
ASIN: 3639196783
Category: Books > Subjects
Domain: Amazon UK
Release Date: 07 October 2009
Listed Since: 12 October 2009

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