Author : Elisa Luciano
Publisher : MDPI
Page : 224 pages
File Size : 16,75 MB
Release : 2019-10-16
Category : Business & Economics
ISBN : 3039216244
Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
Author : Shigeyuki Hamori
Publisher : MDPI
Page : 276 pages
File Size : 31,23 MB
Release : 2019-03-25
Category : Business & Economics
ISBN : 3038977063
There is no denying the role of empirical research in finance and the remarkable progress of empirical techniques in this research field. This Special Issue focuses on the broad topic of “Empirical Finance” and includes novel empirical research associated with financial data. One example includes the application of novel empirical techniques, such as machine learning, data mining, wavelet transform, copula analysis, and TV-VAR, to financial data. The Special Issue includes contributions on empirical finance, such as algorithmic trading, market efficiency, market microstructure, portfolio theory and asset allocation, asset pricing models, liquidity risk premium, currency crisis, return predictability, and volatility modeling.
Author : Jon Danielsson
Publisher : John Wiley & Sons
Page : 307 pages
File Size : 50,68 MB
Release : 2011-04-20
Category : Business & Economics
ISBN : 1119977118
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The book includes four appendices. The first introduces basic concepts in statistics and financial time series referred to throughout the book. The second and third introduce R and MATLAB, providing a discussion of the basic implementation of the software packages. And the final looks at the concept of maximum likelihood, especially issues in implementation and testing. The book is accompanied by a website - www.financialriskforecasting.com – which features downloadable code as used in the book.
Author : Corey L.M. Keyes
Publisher : Psychology Press
Page : 191 pages
File Size : 16,58 MB
Release : 2018-12-07
Category : Psychology
ISBN : 1135066922
This special issue is devoted to the topic of "risk and resilience" in human development, a topic that epitomizes the complexity of human development as a process of constancy and change throughout life. The three empirical papers in this issue represent strong contributions to the growing corpus of research on risk and resilience in human development. The first one focuses on the uniquely vulnerable population of urban ethnic minority adolescent males. The second paper focuses on the risk and resilience from trauma in a sample of mostly Caucasian individuals from rural Iowa, who were at the last assessment, in the midst of transition into young adulthood. It measures an array of mental disorders outcomes and reveals the theoretical importance of timing of the risk factor. The last paper is a study begun in 1978 of a cohort of individuals with serious adolescent-onset mental disorder. It compares these individuals against the risk and resilience profiles of a matched sample without serious adolescent-onset psychiatric disorder. In sum this issue adds to the corpus of the frontiers of resilience research.
Author : Terje Aven
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 20,5 MB
Release : 2004-01-09
Category : Mathematics
ISBN : 0470871237
Everyday we face decisions that carry an element of risk and uncertainty. The ability to analyse, communicate and control the level of risk entailed by these decisions remains one of the most pressing challenges to the analyst, scientist and manager. This book presents the foundational issues in risk analysis ? expressing risk, understanding what risk means, building risk models, addressing uncertainty, and applying probability models to real problems. The principal aim of the book is to give the reader the knowledge and basic thinking they require to approach risk and uncertainty to support decision making. Presents a statistical framework for dealing with risk and uncertainty. Includes detailed coverage of building and applying risk models and methods. Offers new perspectives on risk, risk assessment and the use of parametric probability models. Highlights a number of applications from business and industry. Adopts a conceptual approach based on elementary probability calculus and statistical theory. Foundations of Risk Analysis provides a framework for understanding, conducting and using risk analysis suitable for advanced undergraduates, graduates, analysts and researchers from statistics, engineering, finance, medicine and the physical sciences, as well as for managers facing decision making problems involving risk and uncertainty.
Author : Kenneth David Strang
Publisher :
Page : 106 pages
File Size : 10,55 MB
Release : 2014
Category : Contingency theory (Management)
ISBN : 9781466656277
Author : Andrés Díez-Herrero
Publisher :
Page : 348 pages
File Size : 35,28 MB
Release : 2020-09-09
Category :
ISBN : 9783039369386
In recent years, a considerable volume of technical literature has been published on flood hazard analysis, and more recently, on flood vulnerability and resilience. Nevertheless, there is still a shortage of scientific studies and practical experience of real flood risk assessment (both social and economic), including hazard, exposure and vulnerability analyses and their integration. As there are so few references available, applications of flood risk assessment to the design of preventive measures and early warning systems, landscape and urban planning, civil protection, insurance systems, and risk-based information and education, cannot reach their full potential development. This is because the research products available, such as hazard data and maps, do not serve to ensure the efficient prioritization of mitigation measures or communities at risk. Meanwhile, flooding is the natural disaster that causes the greatest loss on a global scale, and due to climate change, this situation is expected to continue. The research manuscripts involved in this book try to offer flood risk managers new tools, data and maps to improve risk mitigation, both preventive and corrective. A wide variety of topics have been covered, including: flood risk data sources; techniques and methodologies for flood risk analysis; flood risk mapping; or flood risk analysis calibrations.
Author : Terje Aven
Publisher : Routledge
Page : 427 pages
File Size : 42,22 MB
Release : 2021-09-12
Category : Technology & Engineering
ISBN : 1000435032
Risk science is becoming increasingly important as businesses, policymakers and public sector leaders are tasked with decision-making and investment using varying levels of knowledge and information. Risk Science: An Introduction explores the theory and practice of risk science, providing concepts and tools for understanding and acting under conditions of uncertainty. The chapters in this work cover the fundamental concepts, principles, approaches, methods and models for how to understand, assess, communicate, manage and govern risk. These topics are presented and examined in a way which details how they relate, for example, how to characterize and communicate risk with particular emphasis on reflecting uncertainties; how to distinguish risk perception and professional risk judgments; how to assess risk and guide decision-makers, especially for cases involving large uncertainties and value differences; and how to integrate risk assessment with resilience-based strategies. The text provides a variety of examples and case studies that relate to highly visible and relevant issues facing risk academics, practitioners and non-risk leaders who must make risk-related decisions. Presenting both the foundational and most recent advancements in the subject matter, this work particularly suits students of risk science courses at college and university level. The book also provides broader key reading for students and scholars in other domains, including business, engineering and public health.
Author : Michael McAleer
Publisher : MDPI
Page : 536 pages
File Size : 25,71 MB
Release : 2019-07-23
Category : Business & Economics
ISBN : 3038974439
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
Author : Marvin Rausand
Publisher : John Wiley & Sons
Page : 784 pages
File Size : 35,90 MB
Release : 2020-03-31
Category : Mathematics
ISBN : 1119377234
Introduces risk assessment with key theories, proven methods, and state-of-the-art applications Risk Assessment: Theory, Methods, and Applications remains one of the few textbooks to address current risk analysis and risk assessment with an emphasis on the possibility of sudden, major accidents across various areas of practice—from machinery and manufacturing processes to nuclear power plants and transportation systems. Updated to align with ISO 31000 and other amended standards, this all-new 2nd Edition discusses the main ideas and techniques for assessing risk today. The book begins with an introduction of risk analysis, assessment, and management, and includes a new section on the history of risk analysis. It covers hazards and threats, how to measure and evaluate risk, and risk management. It also adds new sections on risk governance and risk-informed decision making; combining accident theories and criteria for evaluating data sources; and subjective probabilities. The risk assessment process is covered, as are how to establish context; planning and preparing; and identification, analysis, and evaluation of risk. Risk Assessment also offers new coverage of safe job analysis and semi-quantitative methods, and it discusses barrier management and HRA methods for offshore application. Finally, it looks at dynamic risk analysis, security and life-cycle use of risk. Serves as a practical and modern guide to the current applications of risk analysis and assessment, supports key standards, and supplements legislation related to risk analysis Updated and revised to align with ISO 31000 Risk Management and other new standards and includes new chapters on security, dynamic risk analysis, as well as life-cycle use of risk analysis Provides in-depth coverage on hazard identification, methodologically outlining the steps for use of checklists, conducting preliminary hazard analysis, and job safety analysis Presents new coverage on the history of risk analysis, criteria for evaluating data sources, risk-informed decision making, subjective probabilities, semi-quantitative methods, and barrier management Contains more applications and examples, new and revised problems throughout, and detailed appendices that outline key terms and acronyms Supplemented with a book companion website containing Solutions to problems, presentation material and an Instructor Manual Risk Assessment: Theory, Methods, and Applications, Second Edition is ideal for courses on risk analysis/risk assessment and systems engineering at the upper-undergraduate and graduate levels. It is also an excellent reference and resource for engineers, researchers, consultants, and practitioners who carry out risk assessment techniques in their everyday work.
