Science/Engineering Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (3540786562)

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This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in particular the possibility of obtaining small-sample results and integrating these results in a formal decision model. The first two chapters introduce the work and give an overview of the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the linear regression models with conditionally Normal-GJR and Student-t-GJR errors. The sixth chapter shows how agents facing different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov-switching GJR model. download link2

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	Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications David Ardia “Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications" Springer \| 2008-07-01 \| ISBN: 3540786562 \| 206 pages \| PDF \| 5,1 Mb RS Mirror
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	Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management Summarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and risk control ...
	Understanding Risk: The Theory and Practice of Financial Risk Management (Chapman Author: David MurphyPublisher: Chapman & Hall/CRC (2008)Binding: Paperback, 472 pagespricer: $79.95ISBN-10: 1584888938editorialreviewsSound risk management often involves a combination of both mathematical and practical aspects. Taking ...
	Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management "- О! Причем тут деньги! Такая ночь и вдруг какие-то деньги." (C) /Ильф и Петров. 12 стульев/Думается мне, Киса все-таки был не прав. С этими ...
	Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Lecture Notes in Economics and Mathematical Systems) Author: David ArdiaPublisher: Springer (2008)Binding: Paperback, 206 pagespricer: $99.00ISBN-10: 3540786562editorialreviewsThis book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk ...

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