Market Risk Analysis, Volume II, Practical Financial Econometrics (PDF)

List of Figures. List of Tables. List of Examples. Foreword. Preface to Volume II. II.1 Factor Models. II.1.1 Introduction. II.1.2 Single Factor Models. II.13 Multi-Factor Models. II.1.4 Case Study: Estimation of Fundamental Factor Models. II.1.5 Analysis of Barra Model. II.1.6 Tracking Error and Active Risk. II.1.7 Summary and Conclusions. II.2 Principal Component Analysis. II.2.1 Introduction. II.2.2 Review of Principal Component Analysis. II.2.3 Case Study: PCA of UK Government Yield Curves. II.2.4 Term Structure Factor Models. II.2.5 Equity PCA Factor Models. II.2.6 Summary and Conclusions. II.3 Classical Models of Volatility and Correlation. II.3.1 Introduction. II.3.2 Variance and Volatility. II.3.3 Covariance and Correlation. II.3.4 Equally Weighted Averages. II.3.5 Precision of Equally Weighted Estimates. II.3.6 Case Study: Volatility and Correlation of US Treasuries. II.3.7 Equally Weighted Moving Averages. II.3.8 Exponentially Weighted Moving Averages. II.3.9 Summary and Conclusions. II.4 Introduction to GARCH Models. II.4.1 Introduction. II.4.2 The Symmetric Normal GARCH Model. II.4.3 Asymmetric GARCH Models. II.4.4 Non-Normal GARCH Models. II.4.5 GARCH Covariance Matrices. II.4.6 Orthogonal GARCH. II.4.7 Monte Carlo Simulation with GARCH Models. II.4.8 Applications of GARCH Models. II.4.9 Summary and Conclusions. II.5 Time Series Models and Cointegration. II.5.1 Introduction. II.5.2 Stationary Processes. II.5.3 Stochastic Trends. II.5.4 Long Term Equilibrium. II.5.5 Modelling Short Term Dynamics. II.5.6 Summary and Conclusions. II.6 Introduction to Copulas. II.6.1 Introduction. II.6.2 Concordance Metrics. II.6.3 Copulas and Associated Theoretical Concepts. II.6.4 Examples of Copulas. II.6.5 Conditional Copula Distributions and Quantile Curves. II.6.6 Calibrating Copulas. II.6.7 Simulation with Copulas. II.6.8 Market Risk Applications. II.6.9 Summary and Conclusions. II.7 Advanced Econometric Models. II.7.1 Introduction. II.7.2 Quantile Regression. II.7.3

Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager's International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis(John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager's Handbook(McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world's leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander.

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