Financial Market Risk

Measurement and Analysis

Cornelis Los

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Paperback

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English

Routledge
01 August 2006

Economics; Insurance & actuarial studies

Series: Routledge International Studies in Money and Banking

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex markets, by computing monofractal Hurst exponents and multifractal singularity spectra. It explains how and why financial crises and financial turbulence may occur in the various markets and why we may have to reconsider the current wave of term structure modeling based on affine models. It also uses these persistence measurements to improve the financial risk management of global investment funds, via numerical simulations of the nonlinear diffusion equations describing the underlying high frequency dynamic pricing processes.

By: Cornelis Los
Imprint: Routledge
Country of Publication: United Kingdom
Edition: New edition
Dimensions: Height: 234mm, Width: 156mm,
Weight: 793g
ISBN: 9780415771139
ISBN 10: 0415771137
Series: Routledge International Studies in Money and Banking
Pages: 496
Publication Date: 01 August 2006
Audience: College/higher education , Professional and scholarly , College/higher education , Primary , Undergraduate
Format: Paperback
Publisher's Status: Active

Cornelis A. Los is Associate Professor of Finance at Kent State University, USA. In the past he has been a Senior Economist of the Federal Reserve Bank of New York and of Nomura Research Institute (America), Inc., and Chief Economist of ING Bank, New York. He has also been a Professor in Finance at Nanyang Technological University in Singapore and at Adelaide and Deakin Universities in Australia.