Elements of Financial Risk Management
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KeywordsARMA; asset returns; Binomial trees; Black-Scholes-Merton model; bootstrapping; coherent stress testing; Cornish-Fisher approximation; correlation; Covariance; credit default swaps; credit VaR; DCC models; Default; dependence; distribution forecast evaluation; distributions; Expected Shortfall; extreme value theory; factor structure; Filtered Historical Simulation; full valuation; GARCH; Gram-Charlier approximation; Historical Simulation; implied volatility functions; leverage effect; linear model; market microstructure noise; maximum likelihood; Merton model; moments; Monte Carlo simulation; moving average; multivariate t distribution; normal copula; Option delta; option gamma; Probability; QQ plots; quadratic model; quasi maximum likelihood; random number generation; range-based volatility; realized covariance; Realized volatility; Real-life VaRs; recovery; regression; RiskMetrics; sampling frequency; stylized facts of returns; t copula; t distribution; Threshold correlations; Types of risk; Value-at-Risk; VAR; VaR violations; Vasicek distribution; Volatility;
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