Alysa V. Shcherbakova

Managing Risk in Financial Markets

A Quantitative Approach

• Broschiertes Buch

Produktbeschreibung

Managing Risk in Financial Markets takes a quantitative approach to mitigating specific financial risks arising from uncertainty. The book is divided into two parts, each addressing a specific type of financial risk. Part I examines Market Risk in a high-frequency trading context. Linear and nonlinear Granger causality tests are used to examine the quality of contribution that knowledge of past volume movements has in terms of improving short-run forecasts of current and future movements in securities prices, and vice versa, within the parametric and non-parametric frameworks. Part II addresses Enterprise Risk. Two sources of risk are discussed; namely, credit risk and leverage. First, an innovative modeling approach is introduced, allowing for more precise estimates of short- and long-run relationships between obligor ratings and idiosyncratic and systematic risk factors. Second, a dynamic relationship between a firm's accounting, financial and economic performances and its capital structure is examined under short- and long-run horizons, revealing unique market inconsistencies.

Produktdetails

• Verlag: VDM Verlag Dr. Müller
• Seitenzahl: 176
• Englisch
• Abmessung: 220mm
• Gewicht: 245g
• ISBN-13: 9783639196788
• ISBN-10: 3639196783
• Artikelnr.: 27316630

Autorenporträt

Alysa V. Shcherbakova is a Financial Economist, currently practicing in the areas of credit and market risk modeling and bank supervision. Dr. Shcherbakova holds a PhD in economics from Emory University, as well as an MBA and bachelor degrees in mathematics and economics from Willamette University.