Market Risk Analysis, Volume II, Practical Financial Econometrics

List of Tables.

List of Examples.

Foreword.

Preface to Volume II.

II.1 Factor Models.

II.1.1 Introduction.

II.1.2 Single Factor Models.

II.13 Multi-Factor Models.

II.1.4 Case Study: Estimation of Fundamental Factor Models.

II.1.5 Analysis of Barra Model.

II.1.6 Tracking Error and Active Risk.

II.1.7 Summary and Conclusions.

II.2 Principal Component Analysis.

II.2.1 Introduction.

II.2.2 Review of Principal Component Analysis.

II.2.3 Case Study: PCA of UK Government Yield Curves.

II.2.4 Term Structure Factor Models.

II.2.5 Equity PCA Factor Models.

II.2.6 Summary and Conclusions.

II.3 Classical Models of Volatility and Correlation.

II.3.1 Introduction.

II.3.2 Variance and Volatility.

II.3.3 Covariance and Correlation.

II.3.4 Equally Weighted Averages.

II.3.5 Precision of Equally Weighted Estimates.

II.3.6 Case Study: Volatility and Correlation of US Treasuries.

II.3.7 Equally Weighted Moving Averages.

II.3.8 Exponentially Weighted Moving Averages.

II.3.9 Summary and Conclusions.

II.4 Introduction to GARCH Models.

II.4.1 Introduction.

II.4.2 The Symmetric Normal GARCH Model.

II.4.3 Asymmetric GARCH Models.

II.4.4 Non-Normal GARCH Models.

II.4.5 GARCH Covariance Matrices.

II.4.6 Orthogonal GARCH.

II.4.7 Monte Carlo Simulation with GARCH Models.

II.4.8 Applications of GARCH Models.

II.4.9 Summary and Conclusions.

II.5 Time Series Models and Cointegration.

II.5.1 Introduction.

II.5.2 Stationary Processes.

II.5.3 Stochastic Trends.

II.5.4 Long Term Equilibrium.

II.5.5 Modelling Short Term Dynamics.

II.5.6 Summary and Conclusions.

II.6 Introduction to Copulas.

II.6.1 Introduction.

II.6.2 Concordance Metrics.

II.6.3 Copulas and Associated Theoretical Concepts.

II.6.4 Examples of Copulas.

II.6.5 Conditional Copula Distributions and Quantile Curves.

II.6.6 Calibrating Copulas.

II.6.7 Simulation with Copulas.

II.6.8 Market Risk Applications.

II.6.9 Summary and Conclusions.

II.7 Advanced Econometric Models.

II.7.1 Introduction.

II.7.2 Quantile Regression.

II.7.3 Case Studies on Quantile Regression.

II.7.4 Other Non-Linear Regression Models.

II.7.5 Markov Switching Models.

II.7.6 Modelling Ultra High Frequency Data.

II.7.7 Summary and Conclusions.

II.8 Forecasting and Model Evaluation.

II.8.1 Introduction.

II.8.2 Returns Models.

II.8.3 Volatility Models.

II.8.4 Forecasting the Tails of a Distribution.

II.8.5 Operational Evaluation.

II.8.6 Summary and Conclusions.

References.

Index.