Financial Risk Forecasting
The Theory and Practice of Forecasting Market Risk with Implementation in R and Matlab
Xavier Freixas, Universitat Pompeu Fabra
"I believe that this book covers the spectrum of quantitative techniques that any student of risk management should cover. The book moves gradually from traditional risk measures to downside risk measures and their application in stress testing. Advanced estimation of volatility models and use of extreme value theory are not eschewed and are the way to go for scenario analysis. A great added value of the book is the programs for all routines both in R and MATLAB®. The book ventures into the barren area of endogeneity of risk drivers. If I have to make a prediction, I would venture that this will keep scientists and markets busy for years to come. In short, a highly recommended book for any student of modern risk management techniques and their uses."
Professor Casper de Vries, Chair of Monetary Economics, Departments of Economics and Business, School of Economics, Erasmus University Rotterdam
"This is an outstanding book on empirical finance. I wholeheartedly recommend it."
Professor Oliver B. Linton, Professor of Econometrics, London School of Economics
"Financial Risk Forecasting is a tour de force. It is one of those rare works which successfully combine accessibility with academic rigour; it is copiously and most informatively illustrated. The addition of computer code, in commonly-used programming languages, for the implementation of concepts and techniques demonstrates a profound understanding of practical issues. With risk-based regulation now dominating the financial landscape post-crisis, this book is a timely and authoritative resource for both students and practising financial analysts, of whatever stripe. It will join that select group of works on my bookshelf that have become dog-eared from repeated use over the years."
Con Keating, Market Structure Commission, European Federation of Financial Analysts' Societies
296 pages; ISBN 9781119977117
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