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Francis X. Diebold - Financial Risk Measurement and Management, Inbunden

Inbunden, Engelska, 2012

Financial Risk Measurement and Management

Av Francis X. Diebold

Del 267 i serien The International Library of Critical Writings in Economics series

8754 kr

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Beskrivning
This authoritative volume charts the origins, development, and current frontiers of financial risk management. It emphasizes the role for risk management created by real-world market imperfections, and progresses to consider stochastic financial modeling, the failure of 'normality', and time-varying volatility. Professor Diebold has selected seminal papers by leading academics which cover multiple markets (equities, bonds, etc.), univariate and multivariate perspectives, connectedness and systemic risks, and stress testing. The collection, along with an original introduction by the editor, will be of interest to academics, market participants, and policy-makers, particularly as we chart a new course following the financial crisis of 2007-2008.
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Edited by Francis X. Diebold, University of Pennsylvania, US

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'I have always thought authoritative lists such as "100 books you should read" are fascinating. So it is great to also have such a list available in one's professional field. Professor Diebold's book does just that; it compiles his list of academic research articles one should know in risk measurement and management. Through his central position in financial econometrics, based on his own extensive research, Professor Diebold is one of the few who can make such a list. . . Professor Diebold's fascinating compilation summarizes the history of risk management research, focussing on research prior to the global financial crisis.'

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