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Jun 21

Financial Risk Forecasting

Posted by abiao at 09:53 | Paper Review | Comments(27) | Reads(12585)
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.

Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and MatlabContents include:
Financial markets, prices and risk
Univariate volatility modeling
Multivariate volatility models
Risk measures
Implementing risk forecasts
Analytical value-at-risk for options and bonds
Simulation methods for VaR for options and bonds
Backtesting and stress testing
Extreme value theory
Endogenous risk

You can download the Matlab and R codes at http://www.financialriskforecasting.com/book-code, I would recommend the book “Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab” to anyone who work as a risk analyst and need an introductory, practical book, on top of that, with enough programming codes to play with.

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