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Multi-asset risk modeling : techniques for a global economy in an electronic and algorithmic trading era / Morton Glantz, Robert Kissell

By: Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Publisher: San Diego, California ; ; Waltham, Massachusetts ; ; Oxford, England : Academic Press, 2014Edition: Online-AusgDescription: Online-Ressource (1 online resource (545 p.))ISBN:
  • 0124016944
  • 9781306189934
  • 1306189934
  • 9780124016941
Subject(s): Additional physical formats: 9780124016941 | 9780124016903 | Erscheint auch als: Multi-Asset Risk Modeling : Techniques for a Global Economy in an Electronic and Algorithmic Trading Era Druck-Ausgabe | Erscheint auch als: Multi-asset risk modeling. Druck-Ausgabe Amsterdam : Elsevier, 2014. XXVII, 516 S.DDC classification:
  • 332.63
  • 332.63/23
  • 332.6323
  • 332.63 332.63/23 332.6323
  • 332.015118
RVK: RVK: QK 800LOC classification:
  • HG4651
Online resources: Summary: Front Cover -- Multi-Asset Risk Modeling -- Copyright Page -- Contents -- Preface -- About The Authors -- Acknowledgements -- 1 Introduction to Multi-Asset Risk Modeling-Lessons from the Debt Crisis -- Types of Risk -- Credit Risk -- Interest Rate and Market Risk -- Liquidity Risk -- Price Risk -- Foreign Exchange Risk -- Transaction Risk -- Compliance Risk -- Strategic Risk -- Reputation Risk -- Faulted Risk Models -- Financial Models Breaking Down in the Equity Markets -- Covariance Models -- Correlation Modeling -- Algorithm Trading Issues -- Risk Models Breaking Down -- Deterministic Optimization -- Simplistic Investment Models -- Deterministic or Static Forecasting -- References -- 2 A Primer on Risk Mathematics -- Introduction -- Regression Analysis -- Linear Regression -- Model Evaluation Metrics -- Model Assumptions -- Regression Analysis Statistics -- T-Test -- F-Test -- R2 Goodness of Fit -- Unbiased Estimators -- Matrix Algebra Techniques -- Estimate Parameters -- Linear Regression: Graphic Example -- Log-Linear Regression Model -- Log-Transformation: Graphic Example -- Non-Linear Regression Model -- Probability Models -- Model Formulation -- Mean and Variance -- Logit Model -- Probit Model -- Comparison of Logit and Probit Models -- Probability Distributions -- Extreme Value Functions -- Descriptive Statistics -- Probability Distribution Functions -- Continuous Distribution Functions -- Normal Distribution -- Standard Normal Distribution -- Student's T-Distribution -- Student's T-Distribution: Interesting Notes -- Log-Normal Distribution -- Uniform Distribution -- Exponential Distribution -- Beta Distribution -- Gamma Distribution -- Chi Square Distribution -- Logistic Distribution -- Cauchy Distribution -- Triangular Distribution -- Extreme Value Functions -- Gumbel Distribution -- Frechet Distribution -- Weibull Distribution.PPN: PPN: 80720482XPackage identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PAD | ZDB-30-PBE | ZDB-30-PQE
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