Market Risk and Financial Markets Modeling
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Beschreibung
The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.
The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market, hedge funds performance and many more.
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
Autor*in
Didier Sornette
Themen in »Market Risk and Financial Markets Modeling«
Asset pricing models Basel III Financial market modeling Market risk