Market Risk and Financial Markets Modeling
The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter School 2011 propose insights on many key issues and advance...
| Other Authors: | , , |
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2012, 2012
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| Edition: | 1st ed. 2012 |
| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Financial Market and Systemic Risks
- On the development of master in finance & it program in a perm state national research university.-Questions of top management to risk management.- Estimation of market resiliency from high-frequency micex shares trading data.-Market liquidity measurement and econometric modeling.- Modeling of russian equity market microstructure (MICEX: HYDR case).- Asset pricing in a fractional market under transaction costs.- Influence of behavioral finance on the share market.- Hedging with futures: multivariate dynamic conditional correlation GARCH.- A note on the dynamics of hedge-fund-alpha determinants.- Equilibrium on the Interest Rate Market Analysis.- Term structure models.- Current trends in prudential regulation of market risk: from Basel I to Basel III
- Belarusian banking system: market risk factors
- The psychological aspects of human interactions through trading and risk management process
- Options: risk reducing or creating?.- Hierarchical and ultrametric models of financial crashes.- Catastrophe theory in forecasting financial crises
- A mathematical model for market manipulations.- Adaptation of world experience in insider dealing regulation to the specificity of the russian market
- Agent-based model of the stock market.- How can information on CDS contracts be used to estimate liquidity premium in the bond market.- Adelic theory of the stock market