Name: Financial Risk Forecasting: The Theory and Practice of Forecasting Market Risk, with Implementation in R and Matlab
ISBN: 9780470669433

Book information

Authors: Jon Danielsson verified identity
First published: 2012
Editions known: 2
Publishers: Wiley
Languages: eng
ISBN-13: 9780470669433, 9781119205869
Main topics: Risk Management
Also covers: Options and Volatility, Time Series Analysis
Related site topics: Options & Derivatives Pricing, Risk Management & Tail Risk, Volatility Modeling & Forecasting

Overview

Financial Risk Forecasting is a book by Jon Danielsson, first published in 2012. In this catalogue it is classified mainly under Risk Management, with secondary coverage of Options and Volatility and Time Series Analysis.

Audience and depth. The available metadata did not allow a mathematical difficulty estimate, so none is shown; treat the technical level as unknown.

Orientation. The metadata points to an implementation-oriented, applied treatment. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 80% and difficulty confidence is 0%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	66/100 confidence 80% Score 65.6/100. Strongest: quant_relevance 0.93, metadata_completeness 0.85; weakest: practical_applicability 0.42. Evidence: subjects:'financial risk management', openalex_topics:'volatility modeling'. Difficulty unknown (neutral technical_depth).
Mathematical difficulty	Unknown
Practical orientation	Applied
Metadata quality	71%

Difficulty evidence (1 signal)

stochastic_processes matched in openalex_topics: “stochastic processes”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

From Volatility to Variance: A Skew-Enhanced SABR Model and Its Empirical Study in the Chinese Financial Options Market Topic similarity inferred similarity 0.51
Semi-parametric financial risk forecasting incorporating multiple realized measures Topic similarity inferred similarity 0.51
Optimal probabilistic forecasts for risk management Topic similarity inferred similarity 0.50
Bayesian Modeling for Uncertainty Management in Financial Risk Forecasting and Compliance Topic similarity inferred similarity 0.50
Combining Deep Learning and GARCH Models for Financial Volatility and Risk Forecasting Topic similarity inferred similarity 0.49
From Deep Filtering to Deep Econometrics Topic similarity inferred similarity 0.47

Similar books

Mathematics And Statistics For Financial Risk Management inferred similarity 0.45
Handbook of Financial Risk Management inferred similarity 0.45
Model Risk in Financial Markets inferred similarity 0.45
Financial risk management with Bayesian estimation of GARCH models inferred similarity 0.45
Financial Risk Management inferred similarity 0.44

Author profiles

Jon Danielsson verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9781119205869) (search link; may be an affiliate link)

Relationship graph

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