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Market Risk and Financial Markets Modeling

  • Book
  • © 2012

Overview

Editors:
  1. Didier Sornette

    1. Dept. Management,, Technologie und Ökonomie, ETH Zürich, Zürich, Switzerland

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  2. Sergey Ivliev

    1. , Prognoz Risk Lab, Perm State University, Perm, Russia

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    You can also search for this editor in PubMed   Google Scholar

  3. Hilary Woodard

    1. , D-MTEC, ETH Zurich, Zurich, Switzerland

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    You can also search for this editor in PubMed   Google Scholar

  • More than 20 articles addressing the most demanded topics in market risk management from crashes modeling to Basel III backtesting

  • A special chapter on psychological interactions analysis in trading and risk management process

  • Includes the look from the industry to turn a mind on the questions of top-managers that wait to be answered

  • Includes supplementary material: sn.pub/extras

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Table of contents (23 chapters)

  1. Front Matter

    Pages 1-1
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  2. Introduction

    1. Front Matter

      Pages 1-1
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    2. Financial Market and Systemic Risks

      • Didier Sornette, Susanne von der Becke
      Pages 3-6

    3. On the Development of Master in Finance & IT Program in a Perm State National Research University

      • Dmitry Andrianov, Natalya Frolova, Sergey Ivliev
      Pages 7-9

    4. Questions of Top Management to Risk Management

      • Sergey Chernov
      Pages 11-12

  3. Market Risk and Financial Markets Modeling

    1. Front Matter

      Pages 13-13
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    2. Estimation of Market Resiliency from High-Frequency Micex Shares Trading Data

      • Nikolay Andreev
      Pages 15-24

    3. Market Liquidity Measurement and Econometric Modeling

      • Viacheslav Arbuzov, Maria Frolova
      Pages 25-36

    4. Modeling of Russian Equity Market Microstructure (MICEX:HYDR Case)

      • Tatyana Efremova, Sergey Ivliev
      Pages 37-46

    5. Asset Pricing in a Fractional Market Under Transaction Costs

      • Vladimir Gisin, Andrey Markov
      Pages 47-56

    6. Influence of Behavioral Finance on the Share Market

      • Vadim Gribnikov, Dmitry Shevchenko
      Pages 57-61

    7. Hedging with Futures: Multivariante Dynamic Conditional Correlation GARCH

      • Aleksey Kolokolov
      Pages 63-72

    8. A Note on the Dynamics of Hedge-Fund-Alpha Determinants

      • Olga Kolokolova
      Pages 73-97

    9. Equilibrium on the Interest Rate Market Analysis

      • Eva Kvasničková
      Pages 99-113

    10. Term Structure Models

      • Victor Lapshin
      Pages 115-127

    11. Current Trends in Prudential Regulation of Market Risk: From Basel I to Basel III

      • Alexey Lobanov
      Pages 129-139

    12. Belarusian Banking System: Market Risk Factors

      • Svetlana Malykhina
      Pages 141-149

    13. The Psychological Aspects of Human Interactions Through Trading and Risk Management Process

      • Polina Mikhailova
      Pages 151-169

    14. Options: Risk Reducing or Creating?

      • Marianna Morozova
      Pages 171-189

    15. Hierarchical and Ultrametric Models of Financial Crashes

      • Anna Pivovarova
      Pages 191-200
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Keywords

About this book

The current financial crisis has revealed serious flaws in models, measures and, potentially, theories, that failed to provide forward-looking expectations for upcoming losses originated from market risks. The Proceedings of the Perm Winter 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.

Editors and Affiliations

  • Dept. Management,, Technologie und Ökonomie, ETH Zürich, Zürich, Switzerland

    Didier Sornette

  • , Prognoz Risk Lab, Perm State University, Perm, Russia

    Sergey Ivliev

  • , D-MTEC, ETH Zurich, Zurich, Switzerland

    Hilary Woodard

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