[[ pdf ]] Anticipating Correlations: A New Paradigm for Risk Management Author Robert Engle – Intimatenights.co.uk

Anticipating Correlations: A New Paradigm for Risk Management Financial markets respond to information virtually instantaneously Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts This fast evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities In Anticipating Correlations, Nobel Prize winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets Dynamic Conditional Correlation DCC Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of US large cap equities Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis and how the correlation models in this book could have foreseen the risks A technical chapter of econometric results also is included Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students

About the Author: Robert Engle

Is a well known author, some of his books are a fascination for readers like in the Anticipating Correlations: A New Paradigm for Risk Management book, this is one of the most wanted Robert Engle author readers around the world.

1 thoughts on “Anticipating Correlations: A New Paradigm for Risk Management

  1. Dr. Chrilly Donninger Dr. Chrilly Donninger says:

    Das Buch ist eine kompakte Einf hrung in die Sch tzverfahren f r Korrelationsmatrizen Diese Matrizen ben tigt man zur Minimierung des Risikos in Portfolios und f r VaR Absch tzungen.Die von Engle neu entwickelte Methode nennt sich Dynamic Conditional Correlation DCC Die Grundidee ist einfach Man normalisi

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