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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
5
Page Range:
127-150
Total Pages:
24
 
 
Publisher:
Publication Year:
2005
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$6.00
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:             US$7.00
 
* Order print copy for an additional US$2.00 + shipping & handling (select at checkout)
 
 
 
 
Quantitative Level:
Basic
 
 
Keywords:
 
 
Topics Covered:
Market risk, quantitative analysis, volatility, historical volatility forecasts, exponentially weighted moving average (EWMA) volatility, GARCH models, GARCH(1,1), estimating GARCH models, integrated GARCH, component GARCH, factor GARCH, implied volatility, covariance, correlation, historical covariances and correlations, EWMA covariances, GARCH covariances, forecasting covariance matrices, copula theory, common copulas
 
 
Reading Abstract:
*** Excerpt from book *** This chapter deals with the forecasting of volatilities, covariances and correlations.1 This is one of the most important subjects in modern risk measurement, and is central to equity and derivatives pricing, hedging and portfolio management. It also provides a very important input to parametric (and sometimes semi-parametric) approaches to the estimation of financial risk measures and, as such, forms an essential preliminary to the two chapters on parametric approaches, which follow. This chapter is divided into three main sections. Section 5.1 deals with the estimation of volatilities, and covers each of the four main approaches to volatility estimation: the equal weighted moving average (or historical), exponentially weighted moving average (EWMA), GARCH, and implied volatility approaches. Section 5.2 then deals with the estimation of covariances and correlations, and parallels the earlier treatment of volatilities. Finally, section 5.3 deals with the estimation of variance–covariance and correlation matrices.
 
 
Reading Contents:
5.1 Forecasting volatilities
5.2 Forecasting covariances and correlations
5.3 Forecasting covariance matrices
Appendix Modelling Dependence: Correlations and Copulas
 
 
 
 
Book Review:
*** From the publisher ***

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies. The accompanying CD-ROM includes a Measuring Market Risk toolbox, with about 150 risk measurement functions, a manual and a selection of Excel workbooks illustrating basic risk measurement functions.
 



 
   
GARP Digital Library