Market Risk Analysis : Practical Financial Econometrics v. 2, Hardback

Market Risk Analysis : Practical Financial Econometrics v. 2 Hardback

Part of the Wiley Finance Series series

5 out of 5 (1 rating)


Written by leading market risk academic, Professor Carol Alexander, Practical Financial Econometrics forms part two of the Market Risk Analysis four volume set.

It introduces the econometric techniques that are commonly applied to finance with a critical and selective exposition, emphasising the areas of econometrics, such as GARCH, cointegration and copulas that are required for resolving problems in market risk analysis.

The book covers material for a one-semester graduate course in applied financial econometrics in a very pedagogical fashion as each time a concept is introduced an empirical example is given, and whenever possible this is illustrated with an Excel spreadsheet. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study.

Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:* Factor analysis with orthogonal regressions and using principal component factors;* Estimation of symmetric and asymmetric, normal and Student t GARCH and E-GARCH parameters;* Normal, Student t, Gumbel, Clayton, normal mixture copula densities, and simulations from these copulas with application to VaR and portfolio optimization;* Principal component analysis of yield curves with applications to portfolio immunization and asset/liability management;* Simulation of normal mixture and Markov switching GARCH returns;* Cointegration based index tracking and pairs trading, with error correction and impulse response modelling;* Markov switching regression models (Eviews code);* GARCH term structure forecasting with volatility targeting;* Non-linear quantile regressions with applications to hedging.


  • Format: Hardback
  • Pages: 426 pages, colour illustrations, black & white tables, figures, charts, graphs
  • Publisher: John Wiley and Sons Ltd
  • Publication Date:
  • Category: Investment & securities
  • ISBN: 9780470998014



Free Home Delivery

on all orders

Pick up orders

from local bookshops


Showing 1 - 1 of 1 reviews.

Review by

Incredible. This is even better than book 1, which makes it the best stats book of all time. She is recommended by many, and it is clear why. She communicates advanced topics in a way I've never before seen. I spent months pouring over awkward mathematicians jargon and incomprehensible sentence before finding this work. 1 hour with this book equates to 1 day with another author. i just wish i found this series when i was younger. in fact, it is so well written, probably i could have understood it when i was in early high school. SHE IS AMAZING!

Also by Carol Alexander   |  View all

Also in the Wiley Finance Series series   |  View all