496 Pages
by
Routledge
496 Pages
by
Routledge
496 Pages
by
Routledge
Also available as eBook on:
This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and... Read more
Part I: Financial Risk Processes 1. Risk: Asset Class, Horizon, and Time2. Competing Financial Market Hypotheses3. Stable Scaling Distributions in Finance4. Persistence of Financial RiskPart II: Financial Risk Measurement 5. Frequency Analysis of Financial Risk6. Fourier Time - Frequency Analysis of Risk7. Wavelet Time - Scale Analysis of Risk8. Multiresolution Analysis of Local RiskPart III: Term Structure Dynamics 9. Chaos: Nonunique Equilibrium Processes10. Measuring Term Structure Dynamics11. Financial Turbulence: Measurement and SimulationPart 4: Financial Risk Management 12. Managing VaR and Extreme Values
Biography
Cornelis A. Los is Associate Professor of Finance at Kent State University, USA. In the past he has been a Senior Economist of the Federal Reserve Bank of New York and of Nomura Research Institute (America), Inc., and Chief Economist of ING Bank, New York. He has also been a Professor in Finance at Nanyang Technological University in Singapore and at Adelaide and Deakin Universities in Australia.
