Description
Market Risk and Financial Markets Modeling, 2012
Coordinators: Sornette Didier, Ivliev Sergey, Woodard Hilary
Language: EnglishSubjects for Market Risk and Financial Markets Modeling:
Publication date: 02-2014
268 p. · 15.5x23.5 cm · Paperback
Publication date: 01-2012
268 p. · 15.5x23.5 cm · Paperback
Description
/li>Contents
/li>Comment
/li>
Financial Market and Systemic Risks.- On the development of master in finance & it program in a perm state national research university.-Questions of top management to risk management.- Estimation of market resiliency from high-frequency micex shares trading data.-Market liquidity measurement and econometric modeling.- Modeling of russian equity market microstructure (MICEX: HYDR case).- Asset pricing in a fractional market under transaction costs.- Influence of behavioral finance on the share market.- Hedging with futures: multivariate dynamic conditional correlation GARCH.- A note on the dynamics of hedge-fund-alpha determinants.- Equilibrium on the Interest Rate Market Analysis.- Term structure models.- Current trends in prudential regulation of market risk: from Basel I to Basel III.- Belarusian banking system: market risk factors.- The psychological aspects of human interactions through trading and risk management process.- Options: risk reducing or creating?.- Hierarchical and ultrametric models of financial crashes.- Catastrophe theory in forecasting financial crises.- A mathematical model for market manipulations.- Adaptation of world experience in insider dealing regulation to the specificity of the russian market.- Agent-based model of the stock market.- How can information on CDS contracts be used to estimate liquidity premium in the bond market.- Adelic theory of the stock market.
More than 20 articles addressing the most demanded topics in market risk management from crashes modeling to Basel III backtesting
A special chapter on psychological interactions analysis in trading and risk management process
Includes the look from the industry to turn a mind on the questions of top-managers that wait to be answered
Includes supplementary material: sn.pub/extras