Financial Risk Forecasting the Theory and Practice of Forecasting Market Risk With Implementation I

Financial Risk Forecasting is a Complete Introduction to Practical Quantitative Risk Management, With a Focus on Market Risk. Derived From the Authors Teaching Notes and Years Spent Training Practitioners in Risk Management Techniques, It Brings Together the Three Key Disciplines of Finance, Statistics and Modeling (Programming), to Provide a Thorough Grounding in Risk Management Techniques. Written by Renowned Risk Expert Jon Danielsson, the Book Begins With an Introduction to Financial Markets and Market Prices, Volatility Clusters, Fat Tails and Nonlinear Dependence. It Then Goes on to Present Volatility Forecasting With Both Univatiate and Multivatiate Methods, Discussing the Various Methods Used by Industry, With a Special Focus on the Garch Family of Models. the Evaluation of the Quality of Forecasts is Discussed in Detail. Next, the Main Concepts in Risk and Models to Forecast Risk Are Discussed, Especially Volatility, Value-At-Risk and Expected Shortfall. The Focus is Both On