Financial Risk Management with Bayesian Estimation of GARCH Models
Language: en
Pages: 206
Authors: David Ardia
Categories: Business & Economics
Type: BOOK - Published: 2008-05-08 - Publisher: Springer Science & Business Media

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This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essent
Bayesian Estimation of Single-regime and Regime-switching GARCH Models
Language: en
Pages: 165
Authors: David Ardia
Categories:
Type: BOOK - Published: 2008 - Publisher:

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Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis
Language: en
Pages: 34
Authors: Cathy W. S. Chen
Categories:
Type: BOOK - Published: 2015 - Publisher:

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Value-at-Risk (VaR) forecasting via a computational Bayesian framework is considered. A range of parametric models are compared, including standard, threshold n
Bayesian Risk Management
Language: en
Pages: 238
Authors: Matt Sekerke
Categories: Business & Economics
Type: BOOK - Published: 2015-08-19 - Publisher: John Wiley & Sons

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A risk measurement and management framework that takes model risk seriously Most financial risk models assume the future will look like the past, but effective
Quantitative Financial Risk Management
Language: en
Pages: 338
Authors: Desheng Dash Wu
Categories: Business & Economics
Type: BOOK - Published: 2011-06-25 - Publisher: Springer Science & Business Media

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The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within comp