Measurement of financial market risk and empirical research(Chinese Edition)
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Von Händler/Antiquariat, liu xing [54261761], JiangSu, JS, China.
Ship out in 2 business day, And Fast shipping, Free Tracking number will be provided after the shipment.Pages Number: 266 Publisher: Economic Management Publishing House Pub. Date :2008-10-1. Financial market risk measurement methods and empirical research. the measure of risk in financial markets had a positive approach to research and explore. First. the book systematically analyzes the effectiveness of China's securities market. fluctuations and the nonlinear behavior of the statistical characteristics of return distribution. revealing that the Chinese stock market volatility in the short term performance of the nonlinear stochastic process. and in the long-term within the system is ***ted by decisive; Shanghai and Shenzhen stock market return distribution is fat-tailed distribution with a peak variance of the distribution of the limited features. The researchers then adapt to the market risk measure these features cutting-edge theory and technology. the VaR or Expected Shorffall semi-parametric estimation methods. including extreme value theory. quantile regression theory. hybrid density neural network theory is described in detail. At the same time. it is estimated the Shanghai and Shenzhen market portfolio and the United States. Britain and Hong Kong market portfolio VaR. Finally. the authors based on fractal market hypothesis of stock price does not fully reflect all information of the view that historical stock information is not complete Fuzzy group information. fuzzy information distribution model based on the financial markets made the concept of probability distribution of income. and thus can be used as a market risk measurement tools of fuzzy. Contents: Chapter 1 Introduction Section of the problem and research significance an international range of financial risk management is imperative Second. the status quo of China's financial risk management. three or market risk - the quantitative risk management trends Fourth. the study of financial market risk measure the importance of five methods to study the meaning of Section status of an international study. the effectiveness of financial market theory two. three non-linear characteristics of financial markets. the empirical distribution yields characteristic four. five financial market risk measurement models . indicators of financial market risk measure six problems in the third quarter of the study. objectives and content of one study two. three research objectives. contents Chapter overview of financial market risk measurement methods and the classification of financial risk section the process of a financial risk management. financial risk classification Second. the process of financial market risk management of financial market risk Section Measurement of A. VaR measure indicators two. CVaR measure indicators of three methods of fuzzy measures of market risk the China Securities Chapter market efficiency and nonlinearity test section and an efficient market hypothesis. EMH development and classification of two. EMH test methods three Empirical Analysis Section Fractal Market Hypothesis and test A. RS analysis two. RS empirical analysis Third. the volatility term structure of four. BDS test nonlinear third quarter financial market related rate of return characteristics of a chaotic. HP filter to eliminate long-term trends Second. determine the largest Lyapunov exponent three. to determine the correlation dimension four. near the Chapter IV back testing the statistical measure of financial market risk-based Section stable distribution. Pareto distribution and the distribution of a truncated Levy stable distribution and parameter estimation Second. the asymptotic distribution and the Pareto tail index is estimated that three truncated Levy distribution of four. Section asymptotic truncated Levy flight distribution of China's stock market gains an empirical analysis. distribution fitting with stable income distribution II fitted with a truncated Levy flight TLF.

Von Händler/Antiquariat, liu xing [54261761], JiangSu, JS, China.
Ship out in 2 business day, And Fast shipping, Free Tracking number will be provided after the shipment.Pages Number: 266 Publisher: Economic Management Publishing House Pub. Date :2008-10-1. Financial market risk measurement methods and empirical research. the measure of risk in financial markets had a positive approach to research and explore. First. the book systematically analyzes the effectiveness of China's securities market. fluctuations and the nonlinear behavior of the statistical characteristics of return distribution. revealing that the Chinese stock market volatility in the short term performance of the nonlinear stochastic process. and in the long-term within the system is ***ted by decisive; Shanghai and Shenzhen stock market return distribution is fat-tailed distribution with a peak variance of the distribution of the limited features. The researchers then adapt to the market risk measure these features cutting-edge theory and technology. the VaR or Expected Shorffall semi-parametric estimation methods. including extreme value theory. quantile regression theory. hybrid density neural network theory is described in detail. At the same time. it is estimated the Shanghai and Shenzhen market portfolio and the United States. Britain and Hong Kong market portfolio VaR. Finally. the authors based on fractal market hypothesis of stock price does not fully reflect all information of the view that historical stock information is not complete Fuzzy group information. fuzzy information distribution model based on the financial markets made the concept of probability distribution of income. and thus can be used as a market risk measurement tools of fuzzy. Contents: Chapter 1 Introduction Section of the problem and research significance an international range of financial risk management is imperative Second. the status quo of China's financial risk management. three or market risk - the quantitative risk management trends Fourth. the study of financial market risk measure the importance of five methods to study the meaning of Section status of an international study. the effectiveness of financial market theory two. three non-linear characteristics of financial markets. the empirical distribution yields characteristic four. five financial market risk measurement models . indicators of financial market risk measure six problems in the third quarter of the study. objectives and content of one study two. three research objectives. contents Chapter overview of financial market risk measurement methods and the classification of financial risk section the process of a financial risk management. financial risk classification Second. the process of financial market risk management of financial market risk Section Measurement of A. VaR measure indicators two. CVaR measure indicators of three methods of fuzzy measures of market risk the China Securities Chapter market efficiency and nonlinearity test section and an efficient market hypothesis. EMH development and classification of two. EMH test methods three Empirical Analysis Section Fractal Market Hypothesis and test A. RS analysis two. RS empirical analysis Third. the volatility term structure of four. BDS test nonlinear third quarter financial market related rate of return characteristics of a chaotic. HP filter to eliminate long-term trends Second. determine the largest Lyapunov exponent three. to determine the correlation dimension four. near the Chapter IV back testing the statistical measure of financial market risk-based Section stable distribution. Pareto distribution and the distribution of a truncated Levy stable distribution and parameter estimation Second. the asymptotic distribution and the Pareto tail index is estimated that three truncated Levy distribution of four. Section asymptotic truncated Levy flight distribution of China's stock market gains an empirical analysis. distribution fitting with stable income distribution II fitted with a truncated Levy flight TLF.

Von Händler/Antiquariat, liu xing [54261761], JiangSu, JS, China.
Language:Chinese.Pages Number: 266 Publisher: Economic Management Publishing House Pub. Date :2008-10-1. Financial market risk measurement methods and empirical research. the measure of risk in financial markets had a positive approach to research and explore. First. the book systematically analyzes the effectiveness of China's securities market. fluctuations and the nonlinear behavior of the statistical characteristics of return distribution. revealing that the Chinese stock market volatilit.

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Von Händler/Antiquariat, SimonBooks.
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Lieferung aus: Vereinigte Staaten von Amerika, Usually ships in 1-2 business days.
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