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Market Risk Analysis: Practical Financial Econometrics, Volume 2 Carol Alexander
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Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set. Market Risk Analysis, Practical Financial Econometrics 2nd edition, Carol Alexander. Volume 2011 (2011), Article ID 708704, 12 pages As a result of this, GARCH has been applied to financial time series before the application of quantitative risk estimation techniques such as value at risk [2]. From these, a paper selection committee comprising staff of the BIS, the MAS and academia chose seven papers organised around the following four themes: (1) lessons from the crisis; (2) house price assessment; (3) housing booms and busts; and (4) property, credit and markets. Carol Alexander, Market Risk Analysis: Practical Financial Econometrics (Volume 2) W..y | 2008 | ISBN: 0470998016 | 426 pages | File type: PDF | 3,4. The focus of this paper is particularly on credit default swaps (CDS), as they have been highlighted as a potential source of systemic risk [3], and as such, the analysis of the marginal distribution of the credit default swap market merits further analysis. Consistent with the title, the second volume in Ms. This volume is a collection of the opening remarks, the keynote speech, revised versions of all the papers presented during the workshop, as well as discussant remarks on these papers. Alexander's series covers common and practical econometric models. Book Details : Title : Market Risk Analysis: Practical Financial Econometrics (Volume II) Author : Carol Alexander Hardcover : 426 pages. Market Risk Analysis is a series of four volumes: Volume I: Quantitative Methods in Finance Volume II: Practical Financial Econometrics Volume III: Pricing, Hedging and Trading Financial Instruments Volume IV: Value at Risk Models.