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Market risk and financial markets modeling

Material type: TextTextOriginal language: Spanish Publisher: Barcelona ; Springer ; 2012Description: 267 pISBN: 978-3-642-27930-0Subject(s): Market | Financial market | Market modelLOC classification: HG/4515/M37/2012
Contents:
Contiene: 1. Financial market and systemic risks.- 2. On the development of master in finance & IT program in a Perm state national research university.- 3. Questions of top management to risk management.- 4. Market risk and financial markets modeling.- 5. Estimation of market resiliency from high - frequency micex shares trading data.- 6. Market liquidity measurement and econometric modeling.- 7. Modeling of Russian equity market microstructure.- 8. Asset pricing in a Fractional market under transaction cost.- 9. Influence of behavioral finance on the share market.- 10. Hedging with futures: multivariante dynamic conditional correlation GARCH.- 11. A note on the dynamics of hedge fund alpha determinants.- 12. Equilibrium on the interest rate market analysis.- 13. Terms structure models.- 14. Current trends in prudential regulation of market risk: from Basel I to Basel II.- 15. Belarusian banking system: market risk factors.- 16. The psychological aspects of human interactions through trading and risk management process.- 17. Options: risk reducing or creating?.- 18. Hierarchical and ultrametric: models of financial crashes.- 19. Catastrophe theory in forecasting financial crises.- 20. A mathematical model for market manipulations.- 21. Adaption of world experience in insider dealing regulation to the specifity of the Russian Market.- 22. Agent -based model of the stock market.- 23. How can information on CDS contracts be used to estimate liquidity premium in the bond market.- 24. Adelic theory of the stock market.
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Libros Libros Biblioteca de la Superintendencia del Mercado de Valores - SMV
HG/4515/M37/2012 (Browse shelf) Available 00003719

Contiene: 1. Financial market and systemic risks.- 2. On the development of master in finance & IT program in a Perm state national research university.- 3. Questions of top management to risk management.- 4. Market risk and financial markets modeling.- 5. Estimation of market resiliency from high - frequency micex shares trading data.- 6. Market liquidity measurement and econometric modeling.- 7. Modeling of Russian equity market microstructure.- 8. Asset pricing in a Fractional market under transaction cost.- 9. Influence of behavioral finance on the share market.- 10. Hedging with futures: multivariante dynamic conditional correlation GARCH.- 11. A note on the dynamics of hedge fund alpha determinants.- 12. Equilibrium on the interest rate market analysis.- 13. Terms structure models.- 14. Current trends in prudential regulation of market risk: from Basel I to Basel II.- 15. Belarusian banking system: market risk factors.- 16. The psychological aspects of human interactions through trading and risk management process.- 17. Options: risk reducing or creating?.- 18. Hierarchical and ultrametric: models of financial crashes.- 19. Catastrophe theory in forecasting financial crises.- 20. A mathematical model for market manipulations.- 21. Adaption of world experience in insider dealing regulation to the specifity of the Russian Market.- 22. Agent -based model of the stock market.- 23. How can information on CDS contracts be used to estimate liquidity premium in the bond market.- 24. Adelic theory of the stock market.

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