Market risk and financial markets modeling

The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectationsfor upcoming losses originated from market risks. The Proceedings of the PermWinter School 2011 propose insights on many key issues and advances in financial markets modeling and risk measurement aiming to bridge the gap. The key addressed topics include: hierarchical and ultrametric models of financial crashes, dynamic hedging, arbitrage free modeling the term structure of interest rates, agent based modeling of order flow, asset pricing in a fractional market,hedge funds performance and many more. INDICE: Financial Market and Systemic Risks.- On the development of masterin finance & it program in a perm state national research university.-Questions of top management to risk management.- Estimation of market resiliency from high-frequency micex shares trading data.-Market liquidity measurement and econometric modeling.- Modeling of russian equity market microstructure (MICEX: HYDR case).- Asset pricing in a fractional market under transaction costs.- Influence of behavioral finance on the share market.- Hedging with futures: multivariate dynamic conditional correlation GARCH.- A note on the dynamicsof hedge-fund-alpha determinants.- Equilibrium on the Interest Rate Market Analysis.- Term structure models.- Current trends in prudential regulation of market risk: from Basel I to Basel III.- Belarusian banking system: market risk factors.- The psychological aspects of human interactions through trading and risk management process.- Options: risk reducing or creating?.- Hierarchical and ultrametric models of financial crashes.- Catastrophe theory in forecastingfinancial crises.- A mathematical model for market manipulations.- Adaptationof world experience in insider dealing regulation to the specificity of the russian market.- Agent-based model of the stock market.- How can information onCDS contracts be used to estimate liquidity premium in the bond market.- Adelic theory of the stock market.

• ISBN: 978-3-642-27930-0
• Editorial: Springer
• Encuadernacion: Cartoné
• Fecha Publicación: 20/01/2012
• Nº Volúmenes: 1
• Idioma: Inglés